Market Review
The S&P 500 futures traded higher overnight and opened Wednesday’s regular session at 4529.25, dropped down to 4525, and then rallied up to 4530.50 going into 10:00. The ES then dropped about 10 points down to the low of the day at 4521.75.
After the low, the ES traded in a back-and-fill pattern from 4524.50 to 4530.50 for the next hour and a half and then got hit by a buy program that pushed the futures up to 4535.50 at 2:17.
We got a push to the highs, but then the ES was hit by a sell program, which ran stops down to 4522.50 at 2:56, dropping 10 points in just over 10 minutes. After the selloff, the ES bounced back up to 4528.25 and started going “offered” as the MiM showed $56 million to buy. At 3:44, the ES traded down to a new low of the day at 4520. On the 3:50 cash imbalance, the ES traded 4522.25 as the MiM flipped to $700 million to sell.
The ES traded 4522.50 on the 4:00 cash close and settled at 4522.75 on the 5:00 futures close, up 2.25% points or 0.05%. Given the close, this likely surprised some that the ES closed higher on the day.
In terms of the ES’s overall tone, it was firm but acted tired late in the day. In terms of the day’s overall trade, volume was low at 1.03 million.
Economic Calendar
Closing Prices
In the TradeChat Room
Market On Close: Beginning of the month a light -$689M and Dquotes concur
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Baxter
Baxter is our new AI trading helper. This data is early, new, and not very well tested but we want to share some of our findings. We are concentrating on the SP500 which should benefit ES futures and SPY traders.
Yesterday:
For yesterday’s highs, Baxter was 60% confident of it coming in between 10:00 and 15:30. His call was the 12:00 to 15:30 time slot with about 33% confidence. He gets a bone for calling the high, which came in at 13:30, correctly.
Baxter’s low model was broken yesterday.
Today:
For Today Bax is back to favoring the first 30 minutes for a low of the day and he is 60% convinced it will be in the AM session overall (least likely the close at 15%). For the high today, we are getting mixed signals from the models. Bax is pretty sure the high of the day will be in the first 30 minutes. That is an unusual call that both the high and low might come in the first 30 minutes.
Chart of the Day
Dot-com era weight loss returns in U.S. consumer staples
Food, beverage, tobacco, and household-product makers are almost as far out of favor in the U.S. as they were when the dot-com era ended. Their weight in the S&P 500 Index shows as much. Consumer staples amounted to 5.74% of the U.S. equity benchmark in the last three trading days of August, according to data compiled by Bloomberg. The only lower readings in the industry gauge’s three-decade history occurred in March 2000, when its share of the S&P 500 fell as low as 5.35%. “The group offers zero advantage,” Strategas Research Partners LLC wrote in a Twitter post Tuesday with a similar chart.
Our View
The day started off like any other. Stocks pushed higher on the first day of September and the Nasdaq hit new all-time highs. Following a long and slow midday chop session, the market hit a snag as we took a tumble in the final hour.
In the end it was another slow day on a list of many. But we’re in the last month of August and first week of September ahead of a long Labor Day weekend — what can we expect?
In most cases, the mutual funds and ETFs buy on the last two days of the month and the first three days of the new month, but that was not the case yesterday. After the high, the ES seemed to lose its momentum before fading hard late in the day. All of the index futures did.
Our Lean: Sell the early rallies and buy the pullbacks, but be on the lookout for a downside stop run.
As we all know, there’s no crystal ball when it comes to trading stocks, options, or futures. But the Market Imbalance Meter may be as close as it comes. Knowing how the “Big Money” is placing its bets can give our trading room a big wave to ride — or a warning sign to stay out of the water. Come check it out now, risk-free for 30 days.
Danny Riley is a 39-year veteran of the CME trading floor. He ran one of the largest S&P desks on the floor of the CME Group since 1985.
As always, please use protective buy and sell stops when trading futures and options.
Disclaimer: Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources. Decisions to purchase or sell as a result of the opinions expressed in the forum will be the full responsibility of the person(s) authorizing such transaction(s). BE ADVISED TO ALWAYS USE PROTECTIVE STOP LOSSES AND ALLOW FOR SLIPPAGE TO MANAGE YOUR TRADE(S) AS AN INVESTOR COULD LOSE ALL OR MORE THAN THEIR INITIAL INVESTMENT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
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