S&P 500 Futures: All-Time New Highs And A 38.75 Handle Drop

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 5 out of 11 markets closed higher: Shanghai Comp +0.26%, Hang Seng +0.25%, Nikkei -0.35%
• In Europe 7 out of 12 markets are trading higher: CAC +0.02%, DAX -0.05%, FTSE -0.18%
• Fair Value: S&P +0.58, NASDAQ +10.11, Dow -24.41
• Total Volume: 1.9mil ESH & 1.3k SPH traded in the pit

Today’s Economic and Earnings Calendar:

MBA Mortgage Applications, 7 a.m. Eastern; Redbook, 8:55 a.m.; Industrial Production, 9:15 a.m.; Housing Market Index, 10 a.m.; Beige Book, 2 p.m.; Treasury International Capital, 4 p.m. Fedspeak: Charles Evans Speaks, 3 p.m.; Robert Kaplan Speaks, 3:15 p.m.; Loretta Mester Speaks, 4:30 p.m. Earnings: Bank of America, 6:45 a.m.; U.S. Bancorp, 6:45 a.m.; Fastenal, 7 a.m.; Goldman Sachs, 7 a.m.; Charles Schwab, 8:45 a.m.; PTC, 4 p.m.; Alcoa, 4:10 p.m.; Hancock, 5 p.m.

S&P 500 Futures: All-Time New Highs And A 38.75 Handle Drop

On Monday night the Global markets charged higher. Hong Kong’s Hang Seng Index rose 1.8% to set a record closing high. The Stoxx Europe 600 was trading up 0.50% at midday, and bitcoin tanked by as much as 20%, falling below $12,000 for the first time since early December.

In S&P 500 future land, the e-mini (ESH17:CME) traded up to 2803.50 on Globex. The first print on the 8:30 open was 2801.00, and it went blowing up to 2808.50 at 8:56, up 14.00 handles, or up 0.50%. Once the initial rally was over, in came several sell programs, pushing it down to 2795.00. After a bounce up to the 2800.00 area, the ES started to sell off, and made a series of lower highs at 2791.00 and then 2790.50.

With all the recent upside, the overall price action was a big mix of sell stops and sell programs. The selloff helped create a big pick up in volume, and at 11:40 CT a total of 940,000 contracts had traded.

Another wave of sell programs were triggered going into 12:00 CT, pulling the futures down to another new low 2790.00, and then eventually down to 2785.00. The day was all about the failed rallies. Yet another sell program hit after 1:15, knocking the ES all the way down to 2776.00. From there, it rallied a few handles, and then dropped all the way down to 2769.25, 38.75 handles off the high of the day, The Early MiM started to show over 900 million to buy and rallied up to the 2784 area. On the 3:00 cash close the ES traded 2777.50 … and then went on to settle at 2783.25 on the 3:15 futures close, down -5.5 handles on the day. Final volume was the largest in over three months, with 1.9 million ES traded on the day.

The (MiM) MrTopStep Imbalance Meter

Our MiM for Jan. 16th led to some good trading in the room. We had a trader make a 10 point bagger on ES, which was awesome to witness. I took 5.25 on one trade, and 2.25 on another during the close. We had an early indication of a buy side imbalance that continued to build going into 2:30 PM. I lost that 66% symbol bias that I like around 2:35, and took my exit from the trade there. From that point forward, the nice 1B buy imbalance slowly waned and turned into a small 175M buy side total imbalance at the 3:45 pm reveal, when the MOC’s were locked.

Both buy imbalances and sell imbalances were greater than 1B, so there was a lot of trading into the close, but mostly rotation, moving from one to another, hence a small total imbalance.

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_{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.}