What Happened to the Volatility?

Index Futures Net Changes and Settlements:

Foreign Markets, Fair Value and Volume:

• In Asia 9 out of 11 markets closed higher: Shanghai Comp +0.46%, Hang Seng +1.97%, Nikkei +1.19%
• In Europe 12 out of 12 markets are trading higher: CAC +1.03%, DAX +0.72%, FTSE +0.71%
• Fair Value: S&P -0.61, NASDAQ +6.23, Dow -11.54
• Total Volume: 1.6mil ESH & 1k SPH traded in the pit

Today’s Economic Calendar:

Housing Starts 8:30 AM ET, Import and Export Prices 8:30 AM ET, Consumer Sentiment 10:00 AM ET, E-Commerce Retail Sales 10:00 AM ET, and the Baker-Hughes Rig Count 1:00 PM ET.

S&P 500 Futures: #ES Makes Back 60% Of Decline But Does That Mean The Volatility Is Over?

Yesterday, Asian markets closed higher ahead of a holiday, the Stoxx Europe 600 gained almost 1% in early trading, the dollar neared a 3-year low, and the overnight Globex range for the ES was 2693.50 to 2719.50, with 285,000 futures traded before the 8:30 CT open.

Thursday mornings first print came in at 2716.50, traded up to 2717.75, dropped down to 2707.00, made a few lower highs, and then sold off down to 2704.00. The ES then made three lower highs at 2717.75, 2716.75, and 2716.50, and then in came several sell programs that pulled the futures down to 2688.50, down 31.25 handles off the early high.

After the low the ES traded up to a new high at 2721,25, pulled back down to 2712.00, and then traded back up to another new high at 2729.00, up 33.75 handles, or up 1.2%, at 1:50 CT. As the MiM went from $800 million to sell to $1.5 billion to sell, the ES sold off down to 2719.25, and bounced back up to 2726.00 at 2:42. On the 2:45 cash close the net NYSE imbalance came out MOC sell $825 million. On the 3:00 cash close the ES traded into a new high at 2733.00, made another new high at 2735.25, and then went on to settle at 2732.75 on the 3:15 futures close, up 36.5 handles, or +1.35% on the day.

In the end, despite $30.6 billion being pulled out the equity funds, mutual funds and ETF funds in one week the ‘dip buyers’ are prevailing. At the same time, volume in the ES is dropping, only 1.6 million futures traded yesterday, down from 4.5 million a week ago.

SIGN UP HERE TO GET THE FULL MRTOPSTEP OPENING PRINT!

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.}