Friday’s trade started with an overnight range of 1695.25 to 1686.25 and a total of 650 SPU and 170k ESU traded in Globex and an RTH opening range of 1691.00 to 1691.50. After a small downtick, the ESU got hit by several small index arbitrage buy programs and hitting some very small stops up to an early high of 1696.00, the exact spot that the S&P could not overcome during Thursday’s late push. With the Ned Davis stats showing today being statistically weak (Friday before the Aug expiration up 13 out of the last 29 occasions), the ESU reversed, hitting small sell stops and running some small sell programs down to 1689.20 going into 9:20 CT. The next sell program pushed the futures down to the 1684.50 area only a few minutes later; they bounced up to 92.75 and then sold off again down to a new daily low at 1682.50.
Early on we pointed out how small the buy and sell programs were, but the size and the pace of the programs increased as the morning wore on. After the low the spoos stutter-stepped all the way back up to 1692.00 area around 12:30. They looked great but over the next hour and a half sold off down to 1688.50. Total volume at 2:00 was 1.38mil ESU and 3k SPUs traded, the pit was down to 30 locals.
The SPU hung around the 1689 level until 2:45 when the cash imbalance showed MOC sell $250mil, when it sold off down to the 1687.50 area and then down to the 1686.50 area going into the close. On the 3:00 cash close the ESU traded 1687.90 and then went on to settle at 1686.20 on the 3:15 futures close, down 7.5 handles on the day.
In the end it was a day filled with program trading and higher volumes.