S&P 3.3% Off It’s All Time High, Up 311% Since March 2009 Low

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 6 out of 11 markets closed higher: Shanghai Comp -0.48%, Hang Seng +0.34%, Nikkei +0.48%
• In Europe 12 out of 13 markets are trading higher: CAC +0.19%, DAX +0.23%, FTSE +0.73%
• Fair Value: S&P +3.27, NASDAQ +26.39, Dow +9.10
• Total Volume: 1.34mil ESM & 8,350 SPM traded in the pit

Today’s Economic Calendar:

Today’s economic calendar includes a 4-Week Bill Announcement 11:00 AM ET, a 3-Month Bill Auction 11:30 AM ET, a 6-Month Bill Auction 11:30 AM ET, a 3-Yr Note Auction 11:30 AM ET, and a 10-Yr Note Auction 1:00 PM ET.

S&P 500 Futures: Fridays RIP, All Buy Programs And Buy Stops

Fridays trade started with declines in Asia, and the Stoxx 600 down -0.20% at midday. The overnight Globex trading range for the S&P 500 futures was 2755.75 to 2778.50, with 132,000 contracts traded. The first print of Friday mornings 8:30 futures open was 2770.50.

In the first 25 minutes the ES traded sideways, making an early low at 2766.75, popped up to a double top at 2773.00, pulled back to a double bottom at 2766.75, and then made two higher highs at 2773.75 and 2774.75. After selling off one tock below the vwap at 2769.00 at 10:41 CT, the ES ran some buy stops up to a new high at 2780.25 at 11:37.

The first first two hours of trade was all ‘back and fill’. This price action lead to the push higher. After the high the ES pulled back down to 2775.00, and at 1:45 the started pushing to new highs at 2781.50 as the MiM went from $400 million to buy to $636 million to buy. There was a small pullback after that, then the futures started going ‘bid’ as the MiM increased to $729 million to buy.

The ES traded 2781.00 on the 2:45 cash imbalance reveal, as the MiM end up showing $1.44 billion to buy. On the 3:00 cash close the ES traded 2782.50, and then went on to settle at 2782.50 on the 3:15 futures close, up +6.50 handles, or +0.23% on the day.

In the end it was all about the broader market S&P over powering the weakness in the Nasdaq. Thursday, the ES ran sell stops, and Friday the it ran buy stops. I guess that’s how it works in thin summer markets.

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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. Any decision 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.}