Gold traded up to a three month high. Crude oil rallied, and then sold off to close at 53.10, down 1.25%. Bonds traded in a narrow 34 tick range, and the S&P 500 futures (ESH17:CME) closed down 5.50 handles, or down .25%, in extremely quiet trade.
It used to be that the ES would do more volume when it sells off, but with the S&P up so much, and no 1% pullbacks in over 80 days, the public has clearly been cutting back from trading. As I have said many times, the all time record volume for the ES was 6.69 million contracts in one day back in October of 2009 at the height of the credit crisis. After that, MF Global blew up, and Russ Wasendorf of PFG stole $200 million in customer segregated funds. While there are still a lot of futures and options traders out there, the number has, and continues to, dwindle.
One of the things I pointed out a few weeks ago was to keep an eye on the MrTopStep 10 handle rule. What I have noticed is on the low volume days is that the ES tends to trade in 10 handle increments. For example, yesterday the ESH17 initially rallied up to 2294.25 on Globex, and just before the 8:30 ct futures open it sold off down to 2284.00. At the low I went into the MrTopStep forum and told Twitter to expect a bounce, and after a little back and fill under the vwap, the ESH17:CME traded up to 2291.50. From there the ES sold back off down to 2287.00, popped back up and made a lower high at 2291.00, and then sold off again to make a new low at 2283.50. Later on the ES slowly traded back up to 2288.25.
Download all of the MrTopStep Trading Rules here
I made two trades buying the dip at 2285.50, but exited early at 2284.00. I bought them again at 2285.25 and held on until my offer at 2288.00 was filled. Meanwhile, the MOC came out flat with the NYSE at $100 million to buy, but the S&P 500 portion was $25 million to sell. At the end of the day, the futures settled at 2286.50, down 5.50 handles, on volume of 1.1 million.
While You Were Sleeping
Overnight, equity markets leaned modestly lower, but Europe opened with a bid pushing all major markets higher this morning. The S&P 500 futures traded down to an early low at 2284.00 shortly after the Tokyo opened, but then rallied after the European open. The rally pushed the futures up to 2294.00, and as of 6:37 am cst has last printed 2293.50, up 7 handles on volume of 103k.
In Asia, 8 out of 11 markets closed lower (Nikkei -0.35%), and in Europe 11 out of 11 markets are trading higher this morning (DAX +0.60%). Today’s economic calendar includes International Trade, Gallup US ECI Redbook, JOLTS, a 4-Week Bill Auction, a 3-Yr Note Auction and Consumer Credit.
Today’s Calendar Preview
Barclays:
BofA Merrill Lynch:
Our View
Believe it or not, the ESH17 hit another 10 handle rule on Globex overnight, 2284 to 2294. 7 out of the last 10 ‘Turn Around Tuesdays’ have been higher, and I think today will follow suit. I think what’s happening is traders are still thinking the ES can trade lower, but its doing the exact same things it has been doing; sell off a little, back and fill, and then move up. It just does not seem like the S&P wants to give up the upside right now.
Today we have the international trade numbers, and a few other numbers, but overall it’s a small economic calendar. Our view is unchanged; sell the early rallies and buy weakness, or just follow the trend and buy weakness, and don’t forget to keep an eye on the 10 handle rule…
Market Vitals for Tuesday 02-07-2017
[gview file=”https://mrtopstep.com/wp-content/uploads/2017/02/Market-Vitals-17.02.07.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 -0.12%, Hang Seng -0.07%, Nikkei -0.35%
- In Europe 11 out of 11 markets are trading higher: CAC +0.05%, DAX +0.60%, FTSE +0.65% at 6:00am ET
- Fair Value: S&P -4.69, NASDAQ -4.49, Dow -74.51
- Total Volume: 1.16m ESH and 4.6k SPH traded
No responses yet