Premium OP: End of Quarter Rebalance Meets COVID-19

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Market Review


(ESH20:CME) GLOBEX Session(ESH20:CME) Day Session 
High 3082.00Opening Print: 3071.25
Low: 2992.50High 3036.25
Volume: 283KLow: 2992.50

ES Settlement 3006.90, down 63.80 handles

Total Volume   2.2 Million

Friday’s S&P 500 (ESU20:CME) Recap

End Of The Quarter Rebalance Meets COVID19

The S&P futures opened at 3070.25 on Friday and basically got hit by a huge wave of selling as the COVID19 numbers were getting released falling all the way down to 3005.00 at 9:50 am CT. After the low, the ES rallied back up to the 3028 area, sold back off down to 3012.99, rallied back up to 3028 at 10:56 CT and then sold off down to a new low at the 3002 level.  After a bounce up to a low high of 3025.00 as the ES sold off down to a new low of 2996.50 at 1;48. At 2:00, the ES traded 3002.50, traded 2998.00 at 2:30 and traded 3005.50 as the 2:50 cash imbalance showed $3.5 billion for sale. On the 3:00 cash close, the ES traded 3002.75 and settled at 3006.90, down  64 handles on the day. 

In terms of the ES’s overall tone, it went from extremely firm to extremely weak. In terms of the day’s overall trade, volume was decent at  2.2 million. 

DATA/HEADLINES: 9:00ET Merkel-Macron Press Conference;  10:00ET Pending Home Sales Index

The first in-person Brexit talks since March got underway today in Brussels.  French President Emmanuel Macron and German Chancellor Angela Merkel will meet today to discuss the planned European Union coronavirus recovery fund. California ordered bars to close on Sunday, following similar moves in Texas and Florida amid rising cases. Washington state and the city of San Francisco have paused reopening plans. Iran news agency Fars News reports the country has issued an arrest warrant for U.S. president Donald Trump over the killing of top general Qassem Soleimani. Gunmen attacked the Pakistan Stock Exchange killing three people and injuring several others. China Imposes Visa Restrictions On US Officials Interfering In Hong Kong. Gilead Will Charge More Than $3,000 For A Course Of Remdesivir.

TODAY’S HIGHLIGHTS: The virus data we saw last week was as bad as we have seen since early March. US Index futures fluctuated as investors weighed stimulus measures against the accelerating virus spread in the US and Brazil.  Social media company shares are under pressure as advertisers pull back their spending on sites. On Friday Unilever announced it was halting all U.S. advertising on Facebook, Twitter and Facebook-owned Instagram. Facebook Inc. shares are adding to Friday’s 8.3% plunge in pre-market trading after more businesses including Coca-Cola Co., Starbucks Corp. and Diageo Plc said they planned to cut spending on social media

Today: ESU / SPX / DOW : US Index futures recovered from earlier losses as investors weighed stimulus measures against the accelerating virus spread in the US and Brazil.   E-Mini S&P is up 0.5%, Nasdaq futures are +0.1%, RTY +1.6% and Dow futures +0.8%%. 3045-3050 is the initial key resistance and likely sell area for today. Use the 50dma in SPX at 2980 and DJIA (24925) as key short term support.

Economic Calendar

Closing Prices

In the Tradechat Room


Our Russell rebalance is now effectively complete and we should see month/quarter data in the next two days of closing. Big numbers both sides with the 15:50 reveal showing $8B worth of stocks showing sell imbalances and $3B buy imbalances. Expected MOCs need to be traded from early on around 14:00 into the 15:50 reveal. There was a nice 12-point push higher just before that which gave a way to get into the MOC action. All in all, there was a 24 point range into the closing two hours and the close was just about in the middle.

Reminder:  June is Russell 2000 reconstitution month.  Here is the schedule for that: 

  • Friday, May 8 – “rank day” – Russell US Index membership eligibility for 2020 reconstitution determined from constituent market capitalization at market close.
  • Friday, May 22 – “query period” begins – preliminary shares & free-float information for Russell 3000 Index constituents are published daily & queries welcomes (query period runs through June 12)
  • June 5 – preliminary US index add & delete lists posted to the FTSE Russell website after 6 PM US eastern time.
  • June 12 & 19 – US index add & delete lists (reflecting any updates) posted to the FTSE Russell website after 6 PM US eastern time.
  • June 15 – “lockdown” period begins – US index adds & delete lists are considered final
  • June 26 – Russell Reconstitution is final after the close of the US equity markets.
  • June 29 – equity markets open with the newly reconstituted Russell US Indexes.

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Chart of the Day

Top Stories on MTS Overnight:

Our View

The ESU topped out on June 8th at 3220.00 then made a low on June 15th dropping down to 2924.00. On the 16th the ESU made a high of 3156.00, a two-day rally of 232 handles. The first leg down was 300 handles and the second leg should equal or exceed the first leg meaning the next low should come in around 2850.00 (ESM). I’m sorry I am using September prices, I’m having problems with my charts going back that far. That’s scenario number one. Scenario two is that after the big plunge Friday and Sunday night the ES pulls back  / rallies a bit today and on the last trading day of the quarter. 

It’s 7:30 AM and the 3026.50 on Globex. I put up a post on Twitter last night saying; 

MrTopStep @MrTopStep

Ok here we go again, what odds will you give me, I say the #ES will be higher on Monday’s 8:30 futures open. And unless a headline hits my call last night was spot on. Our lean is to sell the open and buy the midmorning (10:30 CT) low and hold for a pop. Back away from trading the noon chop and come back and play the MIM after 2:00. I suspect there is going to be a lot of rips and dips going into the end of Q2 and into the Q3. 

Danny Riley is a 39-year veteran of the CME  trading floor. He has helped run one of the largest S&P desks on the floor of the CME Group since 1985.

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Danny Riley (3588 Posts)

Danny Riley has worked in the futures and options industry for 38 years, including the CBOT’s bond room, where he worked for several of the Market Wizards. He went on to build the largest volume desk in the S&P 500 Index Futures, serving some of the largest banks and hedge funds, the UBS program trading business, and some of the world's top individual traders. As a leader and co-creator of the MrTopStep IM-Pro Trading Room, he shares trading ideas and breaking market news live from the floor with our other professional traders and new traders eager to experience the power of collective intelligence. Join us today and get the edge only social trading can give you.

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