Market Review
S&P 500 Futures Recap – Trade Date June 14, 2021
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Chart of the Day
Our View
S&P 500 New All-Time Closing Highs
The September S&P 500 futures (ESU21:CME) traded up to another new all-time contract high of 4247.50 on Globex, traded 4237.75 on yesterday’s 9:30 ET futures open, upticked to 4238.00 in the opening minutes, and then was weak all day. Despite the firmer Nasdaq futures (NQU21:CME), the weakness in the ES seemed to dominate the overall price action. The NQ would go ‘bid’ and the ES would go ‘offered’. I pointed out to the MrTopStep chat that the weakness in the S&P would play catch up with the Nasdaq and it did.
At 1:00 the ES ‘double bottomed’ at 4224.50, rallied up to 4228.50, sold back off down to a higher low of 4225.00 at 2:30, and rallied up to 4237.75 as the 3:50 cash imbalance showed $45 million to sell. On the 4:00 cash close, the ES traded 4246.00, traded up to 4248.50 at 4:02, and settled at 4246.00 on the 4:15 futures close, up 10 points or +0.30% on the day.
In terms of the ES’s overall tone, it was firm on the open and weak for the next 5 hours with a big end-of-the-day rebalance that pushed the futures up 21 handles in 45 minutes. In terms of the day’s overall trade 1.7 million contracts traded with the majority of the volume coming from the SPU/SPM spread (roll). Despite the chop it had results, the S&P 500 closed at its highest level ever.
Our view: The slower trade has revealed the true mechanics of the S&P’s lower volumes. The early rallies or higher openings are being sold. In most cases, my calls have been to sell the open or the early rallies and buy the early pullbacks but the lows have been coming in later. Yesterday’s low came in around 1:00 and it took another hour and a half before the futures exploded higher. I have to admit that it’s thrown me off. It’s like the algos are disrupting the patterns. At one point after watching the ES sell off all day and watching the NQ go bid the ES started going up and sellers were hitting the NQ. Like I said last week, an intra-day rotation into the ES and out of the NQ but the late program pushed up all the indices.
Our lean, the stats are positive today but based on the current early weakness I am not sure how this is going to play out. I am sticking with my 4265 projection for the ESU and think higher but I want to see how the futures act if they get up there. It’s all about selling the early rallies and buying the pullbacks, getting from A to B is your call.
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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