Everything was moving yesterday. The dollar hit its lowest level since November, bond yields are at 7 month lows, and crude oil (CLQ17:NYMEX) is down to 44.54, or -12.6% on the year, to its lowest level since Nov 10th. The index futures markets (especially the Nasdaq 100 futures) were moving up and down. The PitBull said it right…

10:58:31 PITBULL: algo heaven.

Yesterday, the S&P 500 futures (ESM17:CME) were firm going into the 8:30 futures open, and then traded up to 2443.25, just one tick away from its all time contract high. After trading up, the ES sold off down to the 2436.00 level, traded back up above the VWAP at 2440.00 at 9:10 CT, and then traded down to 2432.25. From 10:10 AM to 11:30 the (ESU17:CME) traded in a 4 handle range. From there, the ESU started to move back up to the VWAP at 2437.00, and then up to 2438.25, before pulling back to 2435.00. Other than the first hour, the trade was a low volume grind going into the fed meeting.

At 1:00 the federal reserve raised interest rates 1/4 of a point, and maintains forecast for 1 more rate hike. Initially the ES down ticked, then traded up to 2440.75, sold back off to the 2434 area. The ES started to move back up a bit, then it got hit by a big sell program / downside stop run down to 2428.50, popped up a few handles, then got hit by another sell program / downside stop run down to a new low at 2425.50. After that, several buy imbalances showed up, and in came a late day buy the pushed the ES back up to the 2434.25 level. The 2:45 imbalance showed $570 million to sell, and just after it was posted, the ES traded 1 tick above the vwap at 2435.75. The public sells into it, and Goldman and JPM buy.

In the end, we knew from the way the day started that there were going to be some big swings. After the early morning pops and drops, the markets went quiet. After the fed hiked a 1/4 point, the ES popped and dropped again, and when Yellen spoke the ES sold off again, but when she stopped talking the ES shot higher. At 3:00 there was 1.27 million ESU traded, with most of the volume coming during the late afternoon drop. On the 3:00 cash close the ESU traded 2436.00 and on the 3:15 futures close settled at 2435.25, down -2.75 handles.

While You Were Sleeping

Overnight, equity markets in Asia and Europe were weak, stemming from economic uncertainty out of the fed, and sluggish consumer data. In the U.S., the S&P 500 (ESM17:CME) futures followed suit, opening the globex session 2433.75, and finding weakness almost immediately. The futures found an early low of 2427.75 at 8:35pm CT, then drifted sideways for the remainder of the Asian session. The real weakness hit as European markets were opening. After trading back up to 2430.75, the ESU was hit by wave after wave of selling, eventually finding a low at 2416.50, and extending the trading range to 18 handles. As of 6:30am cst, the last print in the ESU is 2420.00, down -15.00 handles, with 252k contracts traded.

In Asia, 8 out of 11 markets closed lower (Shanghai +0.06%), and in Europe 12 out of 12 markets are trading lower this morning (FTSE -0.81%) Today’s economic calendar includes the Weekly Bill Settlement, the 3-Yr Note Settlement, the 10-Yr Note Settlement, the 30-Yr Bond Settlement, Jobless Claims, Philadelphia Fed Business Outlook Survey, Empire State Mfg Survey, Import and Export Prices, Industrial Production, Bloomberg Consumer Comfort Index, Housing Market Index, EIA Natural Gas Report, a 3-Month Bill Announcement, a 6-Month Bill Announcement, a 52-Week Bill Announcement, a 30-Yr TIPS Announcement, Treasury International Capital, Fed Balance Sheet, and Money Supply.

Our View

All I gotta say is WOW. Everything was moving. From the bonds, to gold, to the dollar, nothing stood still. Most people didn’t think the day would amount to much, but despite all the movement in the index futures markets, once again, it’s all about the continued rotations. One thing that stood out was the early weakness in the mid-caps. I should have thought more about yesterday’s call. I was right to buy the early weakness, but I should have remembered to’ fade the first move after the fed release.’ This is not an easy game. You have to be on your game 100%, or you’re out. Our view is to buy the early weakness and sell rallies. If volume drops, there could be a late push up.

PitBull: clq -15/-11 turns up on a close above 4558 esm osc 3/15 turns up on a close above 243119 vix osc 7/-6 turns up on a close above 1241

Download the S&P cash study for the June expiration here

Market Vitals for Thursday 06-15-2017

[gview file=”https://mrtopstep.com/wp-content/uploads/2017/06/Market-Vitals-17.06.15.pdf”]

As always, please use protective buy and sell stops when trading futures and options.

    • In Asia 8 out of 11 markets closed lower: Shanghai Comp +0.06%, Hang Seng -1.20%, Nikkei -0.26%
    • In Europe 12 out of 12 markets are trading lower: CAC -1.13%, DAX -0.95%, FTSE -0.81%
    • Fair Value: S&P -2.03, NASDAQ +7.61, Dow -44.24
    • Total Volume: 1.8mil ESU, and 7.7k SPU traded

Join Marlin Cobb and Neils Koops for a FREE WEBINAR Saturday, June 24th at 10:00am cst. Learn all about trading the close with the MrTopStep Imbalance Meter (MiM), and get some insightful tips on maximizing Investor RT charting software. Hope to see you there!

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