While the S&P futures gained 12 points on Friday it was the late drop on the close that seemed to set both the overnight and early morning trade yesterday. Since the week before the September Quadruple Witching the S&P’s (ESZ16:CME) has basically been in an ‘up a day, down a day’ pattern. Out of the last 18 trading days the S&P has closed higher 8 out of the last 18 sessions. That’s not the astonishing thing though. With the exception of a few trading days, the S&P closed down one day, and closed up the next day. After a big drop the ES usually takes back most of its losses within one to two days. One of the other things sticking out is how narrow the trading range got after September 22.
For the most part, Monday’s trade was down, with just a few short covering rallies. Late in the day, when the MrTopStep MiM started showing $100 to $200 million to buy, the futures started firming up. After being down as much as -0.66%, the late day rally pushed futures back to only being down about 5 points. All day long the ES trended lower, and in the final 45 minutes of trade the S&P traded above 2155.00, a level we talked about most of the day.
Clearly the late day cash buying help pushed the futures back up. As for the days overall trade, the volumes started out low on Globex (160,000 volume), and at 2:55 there were only 1.25 million contracts traded. As for the S&P’s overall tone, we think the close will set up higher prices tomorrow as the up a day down a day price action continues.
The big investment firms and mutual funds own the tape on the final 3 and the first 3 days of the quarter. So far the market on close imbalances have shown buying, but the ES is still trading in a narrow range.
| Date | ESZ Closing Price | Net Change |
| September 8th | 2171.00 | -7.00 |
| September 9th | 2116.00 | -56.00 |
| September 12th | 2152.00 | +36.00 |
| September 13th | 2122.25 | +19.75 |
| September 14th | 2113.25 | -10.00 |
| September 15th | 2138.00 | +24.75 |
| September 16th | 2132.50 | -5.50 |
| September 19th | 2133.00 | +0.50 |
| September 20th | 2131.00 | -2.00 |
| September 21st | 2156.25 | -25.75 |
| September 22nd | 2168.25 | +12.00 |
| September 23rd | 2158.00 | -10.25 |
| September 26th | 2139.75 | -18.25 |
| September 27th – | 2152.75 | +3.00 |
| September 28th | 2163.25 | +10.50 |
| September 29th | 2148.50 | -14.75 |
| September 30th | 2160.50 | +12.00 |
| October 3rd | 2153.25 | -7.25 |
18 Trading days, Down 10 / Up 8
While You Were Sleeping
Overnight equity markets in Asia and Europe once again saw a bid. Deutsche Bank shares traded back and forth, election polls showed Clinton with a solid lead, and hurricane Matthew is heading toward Haiti and then the U.S. The S&P 500 futures traded quietly for most of the night, making a 2153.00 low on the European, open before popping higher up to 2159.75. Currently the ES is trading just a couple ticks higher at 2155.00 with just over 100K contracts traded at 5:35 am cst.
In Asia, 9 out of 10 open markets closed higher (Nikkei +0.83%), and in Europe 11 out of 11 markets are trading higher this morning (FTSE +1.64%). Today’s economic calendar includes Jeffrey M. Lacker Speaking, Gallup US ECI, Redbook, a 4-Week Bill Auction, and Charles Evans Speaks.
Second Trading Day of Q4
Our View: Following yesterday’s 10 handle range, today offers a light calendar with small globex volume. Unless some headlines hit the tape that excite the algo’s, we could be in for another quiet session. We will be looking for similar price action to yesterday as the S&P will likely maintain a range trade into Friday’s NFP. Until this range is broken, we look to buy the 10 handle dips and sell the rips.
As always, please use protective buy and sell stops when trading futures and options.
- In Asia 9 out of 10 open markets closed higher: Shanghai Comp closed, Hang Seng +0.45%, Nikkei +0.83%
- In Europe 11 out of 11 markets are trading higher: CAC +0.80%, DAX +0.50, FTSE +1.64% at 6:00am ET
- Fair Value: S&P -6.84, NASDAQ -5.87, Dow -91.34
- Total Volume: 1.4mil ESZ and 8.5k SPZ traded
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