Mondays generally start on a quiet note and yesterday’s trade was exactly that. In fact, it was the third lowest volume day of the year. The day started out with the ESH15 trading higher on the 8:30 CT open, rallying up to a high of 2107.00. For most of the day’s trade the ESM15 chopped around in a 2- or 3-handle range and then traded down to the 2102 area as the MrTopStep MiM showed MOC sell $455mil. At 2:45 CT the actual imbalance came out sell $570 mil for sale and right afterwards the ESM15 started to tank. Until the close the e-mini’s entire trading range was only 7.75 points. Total volume was less than 850,000 contracts traded, with 126,000 of that volume coming from Globex. The late drop pushed the ESM15 down to 2094.25 in the regular session. Once the ES started breaking down through the 2001.00 level, it hit sell stops and in came several big sell imbalances.
At the end of the day the Dow Jones futures (YMM15:CBT) closed down 17 points or -0.1% to 18016.00. The S&P futures (ESM15:CME) closed down 4.4 points or -0.2% to 2094.80. The CME Group Nasdaq futures (NQM15:CME) closed down 10.5 points or -0.3% to 4436.75. One trader we spoke to in the S&P pit said he had not seen fewer orders trading in the pit since the end of the year. Both the Dow and the S&P futures are less than 1% from their respective highs they made in early March and the Nasdaq is less than 1% from its all-time closing high set back in 2000 during the dot-com bubble. It’s been a good bounce for the indices, but the ESM15 has made 3 attempts at taking out the contract high, and with the end of the 1Q rebalance in just a few days we think it’s going to be very important to keep an eye on T+3 and the end-of-the-month rebalance for any selling.
The MiM had this one right. On the 2:45 cash close the MrTopStep Imbalance Meter showed MOC sell $455mil to sell and the actual MOC came out, sell $570million. As you can see by the straight line down, the ESM15 sold off 7 to 8 handles after the actual imbalance came out showing MOC sell $570million. There was already a big lack of liquidity and as the MiM turned more negative the futures went straight down.
In Asia 6 out of 11 markets closed higher and at 6:00 CT in Europe 7 of 12 markets are trading modestly higher this morning. Today’s economic calendar: James Bullard speaks, Consumer Price Index, Redbook, FHFA House Price Index, PMI Manufacturing Index Flash, Richmond Fed Manufacturing Index and a 2-year note auction.
Our View: The ESM goes up and the ESM goes down—that is how this game is played. Just when “everyone” thinks the e-mini is going to make new all-time highs, it goes up and falls just a few ticks short and then reverses lower. That, my friends, is called S&P shenanigans. Up too high to buy and too firm to sell. Am I concerned at the new high rejections? Well, it’s never good to see so many, but I think it’s just a matter of time until the S&P 500 is sailing through the old highs.
Last night the Fed’s Williams said a mid-year rate rise may be appropriate, but the futures didn’t budge off the headline. Our view is to sell the early rallies and buy weakness. It’s too thin to be short …
“Quiet Day for the S&P Futures”
As always, please use protective buy and sell stops when trading futures and options.
- In Asia 6 out of 11 markets closed higher: Shanghai Comp +0.10%, Hang Seng -0.39%, Nikkei -0.21%
- In Europe 7 of 12 markets are trading higher: DAX -0.06%, FTSE +0.09%, MICEX +0.21%, Athens GD.AT +2.22%
- Fair value: S&P -7.94, Nasdaq -8.09, Dow -84.57
- Total volume: Low, 957k ESM and 2.7k SPH traded
- Economic schedule: James Bullard speaks, Consumer Price Index, Redbook, FHFA House Price Index, PMI Manufacturing Index Flash, Richmond Fed Manufacturing Index and a 2-year note auction.
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