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Market Review

NJ – Discovery Trading Group

After 3-weeks of increasing volatility, the 5-day ATR (average true daily range) for the ESM20 (S&P e-mini June futures) is finally starting to recede.  Last Wednesday, the 5-day ATR topped out at 273 points and since has drifted down to a still extreme 210 points on the close Monday. The CME agrees with the lower volatility and has lowered #ES margin requirements from $30187 on Friday to $25288 on Monday.  

Despite the still high volatility, The ESM20 is respecting structural support and resistance quite well.  Every swing turn on Monday was at a DTG support or resistance zone. At a macro level, Monday’s ESM20 US cash session unfolded as three 100+ point swings below Friday’s 2288.50 settlement: down, then up, then down.  Price movement momentum was slower giving the ESM20 a more “normal” movement feel today, well, as normal as can be for a 111.25 point price range during the US cash session.

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We are all locked in place including our floor traders for the NYSE.  We do not have access to early MOC data, we only have the live feed that starts at 3:50 PM et until the floor lockdown stops.  We have focused our code to make sure that our digital feed is as fast as it can be so that we can capture that 3:50 pm surprise. 

We have a 500M sell at 3:50 pm but look at what happened, we bought the market.  The expectation was for a selling MiM, everyone is so negative these days! The market took not too bad news as good news and up we drove into the 3:55 pm dquotes a nice 39 point move.  

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


We did a decent amount of programs today, 162 in all.  Still no high or cappers as the intensity of the programs has been subdued.  It’s a breadth issue really. When the tariff announcement came today, for example, it was an Apple-centric program that traded to the buy-side.  Overall we did 74 buys and 87 sells.  

Chart of the Day

Top Stories on MTS Overnight:


(ESH20:CME) GLOBEX Session(ESH20:CME) Day Session 
High 2386.00Opening Print: 2279.50
Low: 2174.00High 2290.75
Volume: 750,000Low: 2179.50

ES Settlement: 2220.50

Total Volume: 2.9M

S&P 500 Futures: 9 Limit Ups Or Down In Last 5 Sessions

The ES made a low at 2174 and a high of 2368 during Sunday night’s Globex session and traded 2279.50 on yesterday’s 8:30 CT futures open. After the open the ES sold off down to the 2225 area, rallied up to the 2226 area and then made a sequence of lower lows down to 2181.50 at 10;45 CT. After the low, the ES rallied over 100 handles up to the 2284 area at 12:15, sold back off down to the 2228 level, rallied back up to a lower high at 2262.50, sold off down to 2205.50 at 1:20 and then rallied up to 2245 and then sold off all the way down to 2186.50.

At 2:00 the ES traded 2217, traded 2194 at 2:30 and traded 2200.00 at 2:50 as the final cash imbalance showed $320 million to sell and then dropped down to $500 million to sell. On the 3:00 cash close, the ES traded 2213.00 and settled at 2223.50 on the 3:15 futures close, down 43 handles or 1.9% on the day.

In terms of overall tone, the ES actually acted ok. It seemed like the dip buyers were back. In terms of the day’s overall trade, total volume was 2.9 million with 740,000 coming from Globex making the total day volume 2.16 million contracts traded on the day session. 

Our View

 #ES Dumps Despite Record Fed Stimulus; Get Ready For The Rally

While the #ES did close down almost 2% and down over 30% from its all-time record high set on February 19th and has sold off to its lowest level since 2016, the futures really didn’t act all that bad. Despite the fed’s new stimulus package, U.S. lawmakers failed for a second day to pass a rescue package to ease the blow from the coronavirus pandemic. That said I have no doubt an agreement will be reached. 

I really do not depend on charts for making my decisions about the direction of the S&P. I know that sounds funny but for years the PitBull has come to me for my ‘streetwise’ feel for the markets and right now that is telling me we could have reached a short term low. While the number of coronavirus cases continues to climb, once the democrats and republicans reach a bailout agreement the S&P could rally as much as 10%. Will it hold? I don’t think so but the news is out and a big financial aid package will cause a big short-covering rally.

Our view, as we all know there are no for sures when trading the S&P. If there were I would be done trading. My gut says we will see a sizable bounce. Our lean is to buy the pullbacks and based on the current price action that could be anything from 50 to 100 handles. 

Market Vitals Technical Analysis

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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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Danny Riley (3474 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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