Market Review
Volatility remains high for the ESM20 (S&P e-mini June futures) but continues to contract. Over the last week, the 5-day ATR has eased off about 24 points from 210 to about 186. Monday closed as an up day, the ESM20 closing 87.25 points higher than Friday’s settlement. Since the ESM20 had a gap open down of about 65 points, the Globex session included about two-thirds of the day’s range. For the US session, most of the action was in the first 90 minutes before the ES got stifled by the 2600 area. The ESM20 finally broke higher in the last hour to settle at 2611.25. Trading during the US session was much, much slower than recent weeks and despite the large daily range, the US session intraday could only muster four pullbacks greater than 20 points in the uptrend. A much different trading situation than the 10 point, 1-minute bars we were seeing over the last few weeks.
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Globex
| (ESH20:CME) GLOBEX Session | (ESH20:CME) Day Session |
| High 2567.50 | Opening Print: 2553.25 |
| Low: 2445.00 | High 2621.75 |
| Volume: 490,000 | Low: 2532.25 |
| ES Settlement: 2611.25 | |
| Total Volume: 1.75 M |
S&P 500 Futures: End Of The First Quarter FANG Mark Up
The ES traded down to 2445.00 on Globex Sunday night, rallied up to a high of 2567.00 and opened Monday morning’s regular session at 2553.25. After the open, the ES up-ticked then sold off down to 2532.25. After the low, the ES went into buy program mode and with the exception of a few small pullbacks traded all the way up to 2601.00 at 11:54. After the high, the ES pulled back down to 2582.50, rallied up to the 2596 area and then sold off down to 2577.00. After the pullback, the ES rallied straight up to the high of 2605, pulled back down to 2596 and rallied up to a new high of 2607.25.
At 2:00 the ES traded 2602.00 and at 2:15 traded up to 2616.00 then traded back down to 2605.00 and back up to 2615.25 and then sold off down to 2586.25 a few minutes later. At 2:30 the ES traded 2601 and traded 2612 at 2:50 as the final cash imbalance showed $1.1 billion to buy. On the 3:00 cash close, the ES traded 2613 and settled at 2612.25 on the 3:15 futures close, up 92.25 handles or +3.66% on the day. If anything was clear it was the guys with the better seats were buying tech stocks all day with the FANG stocks being front and center.
In terms of overall tone, the short sellers from Friday’s close and Sunday night’s down open combined with the end of the quarter made for a very firm S&P. In terms of the day’s overall trade, total volume was SUPER LOW with only 1.8 million futures traded. When you take out the 490,000 futures traded on Globex only 1.31 million contracts traded on the day session.
Our View
S&P 500 “Shake & Bake”
I have not had a good feel for the ES the last couple of days. I knew they ES didn’t act badly after Sunday night’s drop and even told my cousin Bobby the ES would rally but I had no idea it would rally 160 handles from the 2445 low. As you all know I write the OP after the close and try not to change it because over my years of writing 80% of the time when I do it ends up a mistake. I am going to keep this short and sweet.
Our view, there are a few things that we have to keep in mind. The first is, and I am not saying this will last, but it looks like the markets are discounting the higher coronavirus headcounts due to all the QE and government intervention. The second is it’s the end of the first quarter and regardless of how big the rebalance is the guys with the better seats are definitely selling bonds and buying stocks. Lastly, there could be more of the same going into the first few days of the new quarter. When you add it all up I think it’s best to buy the big drops
Market Vitals Technical Analysis
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As always, please use protective buy and sell stops when trading futures and options.
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