After a very scary sell off and late day bounce, the S&P 500 futures (ESU17:CME) traded 2425.50 on the open, up 5.5 handles, and then made an early high at 2428.25. The Nasdaq 100 futures (NQU17:CME) were up 20 points on Globex, then pulled back before the open, and traded down to 5686.50. Next, a sell program came in and knocked the NQ down to 5658.75 in a matter of seconds. After a small uptick, the NQ sold off down to a new low at 5646.75, and then traded back up to 5671.00. As expected, the overall trade was a lot quieter. The ES was held to a 5 handle range, from 2418.50 to 2423.50, for over 2 1/2 hours.

At 10:40am CT, crude oil futures traded up to 45.64. After a small pull back, all three markets (ES, NQ, CL) rallied, with crude oil futures (CLQ17:NYMEX) trading up to a new daily high at 45.90. When the baker hughes rig count came in at -2 for the first time in 23 weeks, the ES rallied up to 2424.75, and the NQ traded up to 5678.00.

The slow trade continued right to the end of the session, and into the second quarter rebalance. The concern was that there would be stock for sale, but the MrTopStep MiM opened up showing over $600 million to buy.

In many cases, on an end of the quarter rebalance, there is big two way flow; buy bonds, sell ES or NQ, or visa versa, and not long after the MIM showed a big buy imbalance, the NQU started to sell off. The ES sold off a few handles, but the NQ was hit really hard, and sold off below the vwap at 5661.75.

On the 2:45 cash imbalance, the MiM popped up to $1.2 billion to buy, and the actual NYSE closing imbalance came out $1.5 billion to buy. The ES traded back up to a new high at 2429.75, and the NQ made a lower high at 5672.25 before selling off under the vwap again, and down to a new low at 5649.50. After that, the ES went for the ride selling off down to 2419.50. The only thing that rallied late was the CLQ taking out buy stops up to 46.22.

While You Were Sleeping

Overnight, equity markets in Asia traded modestly higher, led by the Indonesian JSX Composite, which closed up +1.38%. In Europe, are majors are currently trading higher, fueled by the FTSE MIB index, which is up +1.54%. In the U.S., the S&P 500 futures are trading in positive territory on very light volume this morning.

The ES opened the globex session at 2422.00, and immediately printed 2421.50, which has held as the overnight low. The futures rallied as Asian markets opened, finding an early high at 2427.50, then traded sideways in a 2 handle range for the next few hours. As European markets were opening, the ES once again caught a bid, and traded up to the current overnight high of 2430.25 at 3:40am CT, extending the range to 8.75 handles. As of 6:30am CT, the last print in the ES is 2428.50, up +7.50 handles, with 96k contracts traded.

In Asia, 8 out of 11 markets closed lower (Shanghai +0.09%), and in Europe 12 out of 12 markets are trading higher this morning (FTSE +0.26%). This week’s economic calendar consists of 24 reports, including the June jobs report, 4 Fed speakers, 9 U.S. Treasury auctions and announcements, and the release of the FOMC minutes. Today’s economic calendar includes Motor Vehicle Sales, James Bullard Speaks, Gallup US Consumer Spending Measure, PMI Manufacturing Index, ISM Mfg Index, Construction Spending, a 4-Week Bill Auction, a 3-Month Bill Auction, a 6-Month Bill Auction, NYSE Early Close 1:00 ET, and SIFMA Rec. Early Close 2:00 ET.

Our View

Can you say Thin-To-Win? With the CME Group closing all equity index futures at 12:15pm CT for the 4th of July holiday, that’s exactly what you can expect today. What you saw happen during last nights globex session should continue into the regular session. Most traders have taken leave, so my advice would be to sit on your hands today. If you are in there trading though, our view is to buy weakness, keeping in mind that the robots will have total control.

Market Vitals for Monday 07-03-2017

[gview file=”https://mrtopstep.com/wp-content/uploads/2017/07/Market-Vitals-17.07.03.pdf”]

Get the full CME Group holiday schedule here

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

  • In Asia 8 out of 11 markets closed higher: Shanghai Comp +0.07%, Hang Seng +0.08%, Nikkei +0.11%
  • In Europe 12 out of 12 markets are trading higher: CAC +1.00%, DAX +0.64%, FTSE +0.32%
  • Fair Value: S&P -2.82, NASDAQ +3.68, Dow -57.82
  • Total Volume: 1.6mil ESU, and 1.2 k SPU traded–

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