Vix Down / Spoos Up

Charts, Commentary, News, Technical Analysis, The Opening Print

Index Futures Net Changes and Settlements:

Contract Settlement Net Change +/-%
S&P 500 (ESU18:CME) 2798.50 +24.50 +0.87%
DowJones (YMU18:CBT) 24,894 +205 +0.82%
Nasdaq 100 (NQU18:CME) 7382.75 +129.00 +1.74%
Russell 2000 (RTYU:CME) 1692.30 +5.60 +0.33%

Foreign Markets, Fair Value and Volume:

  • In Asia 10 out of 11 markets closed higher: Shanghai Comp -0.22%, Hang Seng +0.16%, Nikkei +1.85%
  • In Europe 12 out of 13 markets are trading higher: CAC +0.41%, DAX +0.37%, FTSE +0.44%
  • Fair Value: S&P +1.63, NASDAQ +16.42, Dow -18.41
  • Total Volume: 1.12mil ESU & 371 SPU traded in the pit

Today’s Economic Calendar:

Today’s economic calendar includes Import and Export Prices 8:30 AM ET, Consumer Sentiment 10:00 AM ET, Fed Semiannual Monetary Policy Report, Raphael Bostic Speaks 12:30 PM ET, and the Baker-Hughes Rig Count 1:00 PM ET.

S&P 500 Futures: #ES2800 All Buy Programs And Buy Stops

Yesterday, the global markets were up sharply overnight, and so was the S&P futures (ESU18:CME). The ES’s Globex trading range was 2773.75 to 2791.50, with 189,000 futures traded before the open. The first trade off the 8:30 CT open was 2790.00, and the first move after the bell was down to 2782.75, and then back up to 2791.75, one tick above the Globex high.

After a small pullback the ES rallied up to a new high at 2794.50, and then broke back down to 2788.25. After the pull back the ES traded up to 2792.25, pulled back a few handles, and made a new daily high at 2797.75. From there, the futures traded down to 2792.25, and then up above the ‘big figure’ at 2800.00 to 2800.50 at 12:08. After that, the ES went on to make three lower highs at 2800.25, 2799.50 and 2797.25 before trading down to 2794.50.

The ES then rallied back up to 2798.25 and sold off down to 2793.25, as the MiM went from $300 million to sell to $90 million to buy, and then bounced back up to 2798.00 at 2:34. On the 2:45 cash imbalance reveal the ES traded 2797.25, as the MiM flipped back to $1.3 billion for sale, and then showed $800 million for sale just after. On the 3:00 cash close the ES traded 2800.25, and then went on to settle at 2798.75, up +24.75 handles, or +0.89% on the day.

In the end we got this one right. We said we thought the ES would see higher prices and that there was unfinished business above 2755-2790. There were some decent dips, but the best trade was buying them. In terms of the ES’s overall tone it acted pretty firm. In terms of the days overall volume, over 1 million futures traded, which is not bad for the middle of the summer trade.

Seasonal Sector Trade: Second Half of July Troublesome for S&P 500 & Seasonal Volume Trends

From Stock Traders Almanac:

Seasonal Sector Trade: Second Half of July Troublesome for S&P 500

Selling the September S&P 500 futures contract on or about July 16 and holding until on or about July 25 has a 58.3% success rate registering 21 wins against 15 losses in the last 36 years. The best win was $19,150 in 2002, and the worst loss was in 2009, posting a $12,650 bereavement. This trade had been successful in 13 of 15 years from 1990 to 2004. However since then it has nearly the opposite record, posting losses in 10 of 13 years from 2005-2017.

In these recent years, weakness did materialize however; it was not well aligned with the window defined by this trade. In some years weakness arrived early and was fleeting while in other years it was later and lasted into the early part of August. In 2015 this trade returned and was nearly perfectly aligned with the seasonal trend. This year the setup is compelling as S&P 500 is struggling to breakout above resistance around 2800. Yesterday’s modest sell off is a reminder of how quickly the market can change direction, especially with ongoing and escalating tariff concerns now that one round sparks another and so on.


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

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.

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Danny Riley (2750 Posts)

Danny Riley has worked in the futures and options industry for 38 years, including the CBOT’s bond room, where he worked for several of the Market Wizards. He went on to build the largest volume desk in the S&P 500 Index Futures, serving some of the largest banks and hedge funds, the UBS program trading business, and some of the world's top individual traders. As a leader and co-creator of the MrTopStep IM-Pro Trading Room, he shares trading ideas and breaking market news live from the floor with our other professional traders and new traders eager to experience the power of collective intelligence. Join us today and get the edge only social trading can give you.

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