S&P 500 Futures: Globex Drop Leads To Big Pop, And More
It was a wild ride for the S&P 500 (ESZ19:CME) futures during Wednesday nights Globex session, and the volatility bled through into yesterday’s day session.
When the China headlines hit the tape at 5:45 PM CT, the ES broke nearly 40 handles to print a Globex low at 2881.75. From there, the futures rallied to print a high at 2923.25 just after 5:00 AM CT, and held near the highs to open Thursday’s regular trading hours (RTH) at 2921.25, up +2.25 handles.
After the 8:30 CT bell, the ES down ticked to 2915.50, and then in came several rolling buy programs that helped propel the futures all the way up to 2938.75 just before 9:00. The next move was a pullback down to 2931.50, followed by a rally up to a lower high at 2938.50.
The futures spent the next 30 minutes back-and-filling, and then got hit by another wave of rolling buy programs that took the ES up to 2948.25 at 10:15 AM, a 66 handle rally off the globex low, and up 29 handles on the day.
Once the morning high had been established, the futures made a series of lower lows down to 2933.50, then staged a rally back up to 2942.75. Just as the markets were starting to take a positive turn, a Wall Street Journal headline hit saying “Two Giuliani Associates Who Helped Him On Ukraine Charged With Campaign-Finance Violations ”
The headline news algos jumped into action, slamming the ES down to a double bottom at 2926.25. Stocks have become a bit resilient to the headline algos, and after the initial knee jerk reaction, the futures slowly rallied for the remainder of the session.
At 2:20, the ES traded back up to 2940.25 as the MiM sharted to show over $350 million to sell, and then sold off down to 2935.75 when the MiM fell to over $500 million to sell. The futures stayed firm though, and held on to print 2936.50 when the 2:45 cash imbalance reveal showed $350 million to sell MOC.
The ES would then go on to print 2938.50 on the 3:00 cash close, and settled the day at 2942.00 on the 3:15 futures close, up +23 handles, or +0.70%.
In the end, the futures acted firm, but I think most of the buying was short covering. In terms of the days overall trade, total volume stood at 1.6 million, but 375,000 of that came from Globex.
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