Thursday’s trade started with 1k SPUs and 200k ESUs traded in Globex, the initial jobless claims number slightly lower (333 vs. 336) and an 8-handle gap up, 8:30 open. After the open the ESU upticked to 1696.50 , 2 ticks above the opening range (OR), where it hit a failed buy program and 9:45 CT was trading into a new low at 1684.50. Our call was to skip selling the early rally and buy weaknesses and at least for the first part of the day that was totally wrong.
At MrTopStep we think it’s important to say you were wrong and not just glide over a bad call as if it didn’t happen. You can’t see clearly without transparency. Just after the low was in we put this out in the trading room:
[quote style=”1″]iceChat (09:47:52): desk thinks we are at or near an early low[/quote]
After the low the ESU bounced back up to the 1689 level and then up to the 1693.50 area. Like always there had to be a PUMP and a DUMP before the S&P could go back up. At 11:30 CT the total volume in the ESU was 950k with 1.3k SPUs traded in the pit. When the SPU started trading above 1691, Goldman and Smith Barney bought 300 SPUs each, the locals in the pit sold, and once the SPU got above 1692.50 index started hitting buy stops. The spoos eventually made it up to a new high, double-topping at at the high of the day, the big SPU traded 1696.50 and the ESU traded up to 1696.75. Nice call by the desk!!!
After the retest high the SPU sold back off down to the 1694.50 area and then up to 1696.80 at 1:30. The PitBull has taught me that buy and sell programs tend to come in on the half hour and that’s what we saw, another buy program. The SPU pulled back again down to 1694.50. For 45 mins the SPU was stuck between 1694.50 and 1696.50.
At 2:00 when we turned on the MIM (MrTopStep Imbalance Meter) it showed 58% sell side and just afterwards the SPU traded down to 1694.00. The SPU was trading at the 1695.50 area when the imbalance showed MOC sell $230mil. On the 3:00 cash close the SPU traded 1693.88 and then went on to settle at 1693.70 on the 3:15 futures close , up 5.50 handles on the day.
In the end the S&P is doing what it does best … back and filling.