When I got up at 5:00 am the ESU was down 0.25 handles. We figured after last week’s earnings, economic reports, and the two-day Fed meeting that things would be slower this week. So far that has been the right guess.
Today’s S&P 500 index trade started with 120,ooo ESUs and 650 SPUs traded. Construction spending numbers came out, followed by the ISM number that came in higher than expected (5.6 vs. est. 5.3). At 8:30 the S&P opened 3 handles lower at 1701.00- 1701.20. After a quick selloff down to 1699.00 the futures rallied back up to the 1703.00 area. With a total of 50 locals in the S&P pit, it felt like the Dog Days of August were upon us.
After a little back and fill the SPU traded up to a new daily high at 1604.70 (matching the 1604.75 GLOBEX high). After a tiny pullback the SPU traded back to the 1704.00 area and got stuck at that level for the next 30 to 40 minutes. It then started to pull back. Just as the ESU was making its high we put this out in the IM-Pro Traders’ Chat Room :
mts2 (10:31:10): desk thinks we are at or “near” the early high. After a very slow burn the SPU traded down to 1701.00. Keep in mind that while you read this total volume on the ESU is 620,000 contracts and that number includes 120,000 contracts from Globex pre-open.
That equals 500,000 ESUs traded in 4 1/2 hours, one of the lowest volumes we have seen in a very long time, including half days and holidays. After a push back up to the 1702.50 level the ESU sold off and retested the 1701.00 level. That’s when we put this out :
mts2 (13:13:38): desk thinks the ESU is trying to hold 1701.
After a few attempts to take out the 1701 level the ESU started moving back up around 2:20 CT. At 2:45 the futures were trading around the 1703.00 area when the cash imbalance showed MOC BUY 170mil. Not long afterward, the ESU sold back off to the 1701.50 area and then traded 1702.44 on the 3:00 cash close and went on to settle at 1702.50 on the 3:15 futures close.
In the end it was the volume or lack of volume that affected the S&P the most today. Total ESU volume was 850k ESUs with 120k of that coming from GLOBEX. That is as low as on a Christmas eve…