Premium OP: Lives vs. Livelihoods

by Danny Riley
on June 22, 2020

Market Review

Globex

(ESH20:CME) GLOBEX Session(ESH20:CME) Day Session 
High 3144.75Opening Print: 3096.75
Low: 3094.75High 3109.25
Volume: 380,000Low:3056.75

ES Settlement: 3059.50

Total Volume: 1.95 M

S&P 500: US Reports Over 30,000 COVID Cases In Two Days; Highest Since May 1st

The ES traded up to 3144.75 on Globex and traded 3096.75 on Friday’s 8:30 CT and then rallied up to the high of the day at 3144.75. After the rally, the ES started to sell off down to 3087 at 11:23, a 55 handle sell-off in the first 2 hours and fifty minutes. The ES rallied back to 3105.50  at 12:07, made several lower lows down to 3070.75 at 1:33 and then traded back up to the 3105 area at 2:21. 

At 2:00, the ES traded 3093.25, traded 3098.50 at 2:30 CT and then traded 3091.50 as the final 2:50 MiM (cash imbalance)  showed $977 million to sell.

In terms of the ES’s overall tone, the ES used up all its buying power before and just after the open and then the COVID-19 headlines hit and the rebalancers sold all day. In terms of the day’s overall trade, volume was LOW with 1.94 million ES traded with 380k coming from Globex.

Economic Calendar

Closing Prices

In the Tradechat Room

MiM

Net 14:00 pm until close was flat with a 25 point move high to low. At 2:00 there was a decent sell showing, but OPEX is expected to have many twists and turns into the closing hour. The reveal was actually neutral then moved bearish and the market sold into the close after the 14:15 run. The Monday opening will have some OPEX residual then we will move back to more normal summertime MIMs influenced by the Rut re-balance.

Today is OPEX and there should be decent size on both the open and the close.

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.

Questions?  Please email me: Marlin@mrtopstep.com

Get the skinny when we get it:  Join the MiM. 

Chart of the Day

Top Stories on MTS Overnight:

 

Our View

What’s More Important To Traders? The Economy Or COVID-19?

When the markets started selling off in March there was an onslaught of Coronavirus headlines. As the virus spread and the numbers exploded in NY and on the eastern seaboard the S&P 500 tanked. But as sad as it is to say, the S&P started making good of the bad news and the S&P rallied over 25%. While the bulls have been enjoying the ride up they also questioned how far the markets can rally? I don’t rally know how far the ES can rally but what I do know is the COVID headlines that have not mattered recently do now. There were over 30,000 COVID cases reported over the weekend… so much for social distancing and say hello to ‘herd immunity’. The other part of this is this summer could be a repeat of the Democratic riots in 1968 in Chicago. One dead and eleven wounded in Minneapolis and 61 shot and 10 dead in Chicago and those numbers do not count Sunday. Nine shot in Syracuse. Need I list more? 

Our view, in most cases when the ES sells off hard on the close on Friday and opens sharply lower it… short covers. In some cases, it rallies back to unchanged. I fell off my game last Friday. I should have been ‘ALL IN’ on selling the open but I got spooked by all the BS option expo talk. The big dogs Friday were the rebalancers that sold stocks from 10:00 on. If you put a gun to my head I would have to say two things: 1) I do not think this sell-off is part of the big retracement everyone has been talking about and 2) the ES has fallen over 100 handles in less than 24 hours. I need a day of looking at the price action, my guess is we trade off a bit today then rally.

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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