Monday 4/1/19

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Again, we gapped up over the weekend, opening a whopping 18.50 points above pHigh. This places the half-gap down at 49.75, which would be an area of interest if price came down that low.

Alas, the open was very tight and choppy, putting in something like 5 points of range in the first 30 minutes. The usual suspects of the open (e.g. gap-and-go) were nowhere to be found.

That said, delta did float slowly upward throughout all the chop, perhaps hinting that new highs were in the cards soon. Indeed, the IBH came in at 63.50. Sellers tried taking it back down to the IBL, but to no avail, as buyers insisted on chopping all the way up to new highs by 4 ticks.

As I write this (during the lunch hour) it looks like this first day of the month/quarter has been a snoozefest. Profile is more or less balanced, the holy trinity has been overall magnetic, and the consistently positive delta on the day was a hint that buying dips to the holy trinity was the right play.

However, I've got nothing. The tight range and slow crawl leaves me with no confident trades to put on.

Thoughts

I was actually expecting some more fireworks to start off the month/quarter, but there wasn't really much going on. These tight-range days are better for scalps based around the holy trinity (the 60s area). For example, maybe you would short 64-63 and aim for the mean-reversion to 60. That's good for 3 points each, with maybe a 1 point stop. After the IB, there were at least 2 solid scalps of this type.

Still, I'm not a big fan of this kind of scalping, and will likely wait for tomorrow to be more actionable.

Tuesday 4/2/19

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Another relatively tight open today -- no fireworks in April yet, eh?

A
The initial move seemed to be downward, but buyers bid us back up. The entire morning, delta was negative, so this signaled to me to only take short trades confidently. At around 10:29am there was a potential short at pClose (71.00), given that it appeared to be some sort of resistance this morning.

But as I mentioned earlier, I prefer to trade after the IB, so really I might've taken this if it was literally 1 minute later. I'd set my stop maybe a tick or two above the IBH, so something like 72.75, targeting at least the IBL (65.75). That's just under 2 points of risk with a first target of 5 points. Not bad, but the stop would be just at the limits of my comfort zone.

B
pVPOC (60.00) would be my expected secondary target, but we didn't really get close to it. I hadn't planned to look for any longs in the 62s, so nothing to do here.

C
Not much else to do throughout the day. We breached both sides of the IB, and pretty much ended in the middle of the mud (ended up as a neutral day). Profile was balanced. Price chopped around a 5-point range for most of the afternoon.

Thoughts

I'm waiting for a day with some range! The morning short was really the only trade I might've "missed", but I don't feel bad about it. I do my best work after the IB is in.

Tuesday 4/2/19

I was away from my desk on Tuesday, so no commentary or trades.

Thursday 4/4/19

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A
The first move on the open was upward, with a 5.25 point rotation leading the way to 83.75. Immediately, delta dropped straight to zero on a relatively small dip down. New morning highs were made by 2 points, at 85.75, but again we started to see this delta divergence play. You can see from the horizontal line on price that the 85.50 served as a sort of hard resistance, with delta declining even on subsequent attempts upward.

This was a valid short with a tight stop just a 1-2 ticks above this 85.50 ceiling (say at 86.00). First target would be existing lows (i.e. the open today) in the 79 area. That means that shorting the 84s or even 83.50 would be at least a 1.5R trade.

B
The morning short idea was correct! The biggest rotation of the day so far was downward (a whopping 8.5 points). Sellers looked for the ONLow but missed it by a point. This signaled to me that today was a "short the rips" kind of day, rather than "buy the dips."

C
Buyers scrambled to get back up, but delta was still overall negative (nowhere near recovering to zero). With the ONHigh coinciding with VPOC, shorting VPOC would be a textbook play here. I'd put on a short anywhere in the 82s, with a stop perhaps a point above 83.00. Targets would be aggressive, aiming for buyer failure and new lows on the day.

That'd mean shorting something like 82.00, stop two points up at 84.00, aiming for existing IBL down at 78 and looking for final targets even lower. That's 2 points of risk for 4+, so a clean 2R minimum.

Thoughts

After taking a day off, I like to not take trades the next day and instead study intently, taking good notes, so I can get back into the mental rhythm of things. So, no trades for me, but a lot of careful observing.

Given that the short mentioned in "A" was an early morning trade (within the first hour), I likely would have skipped it, or only taken it if I noticed the delta divergence happening very rapidly in real time. I was too slow to notice it, and by the time I did, price was down in the 83s already. So these require me to be very quick on the trigger.

It's good to see my confidence build in reading the day as it develops. For example, after the IB was in, we could see clear negative delta, price moving down on the largest rotation of the day, and a profile that certainly not balanced. This meant I could expect to see small rallying to attempt balance, only to see sellers dump it again.

Tuesday 4/9/19

I guess I ended up taking a long weekend off from trading, thanks to some other matters popping up. In any case, here we are, fortunately on a non-Monday

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A
So we opened with big selling with a one-way down rotation of 7.5 points, before slowly lifting up off of the 80.00 morning low. Delta recovered quite nicely, as price crept back towards the open at 87.25. Buyers briefly poked up above the open and the IBH by 2 ticks (a high of 88.50) before quickly dumping back down almost to the IBL.

B
Buyers were not to be counted out this morning. They made a V recovery right back to the IBH (to the tick) but could not quickly and convincingly push past it.

I decided to scalp a short after seeing failure to breach the IBHs. I went with small size here because delta was positive on the day, and because my target was not that far off. I entered short at 87.50, with a tight 1-point stop at that earlier morning high (88.50), and a target at the holy trinity in the 84s. That's basically 3R, all-in, all-out.

Thoughts

Nothing wrong with a small scalp for the morning. Today doesn't seem to have any major moves in the cards so far, but I may revisit this in the afternoon.

Thursday 4/11/19

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A
I actually missed this morning due to other work, but it seems the initial move off the open was down (7 point rotation), followed by a whole bunch of sideways chop (though delta continued to slowly rise amid the chop). This rising delta perhaps hinted at new highs to come, but a sharp sell-off came in at around 11:24am, falling right through the IBL.

It looked like it was almost gunning for the pLow at 83.25, but the bleeding stopped 2 points beforehand.

B
Given this down move on the day, my bias was to the short side. I was looking for small bounces to the IBL, looking to short 91.50. The IBl was also in a LVN area, as visible from the profile.

I had to wait a while to get it, but I shorted 91.50 with a 2-point stop, a few ticks above VWAP (s). My initial target was the new low (85s), and beyond. So that's a bit under 3R.

I ended up taking very little heat, thankfully, and had to wait around before we saw some progress. I took a standard scale-out (just for risk reasons) at 89.50, then moved my stop to BE+1. However, on the dip down to 88.25, I moved my stop lower to 90.00. This got hit, before resuming the down move to 86.50.

Thoughts

I think shorting the IBL was a standard textbook play, and I'm glad I executed on it. However, I'm not happy with my trade management. I was much too defensive when I manually moved my BE stop so far down. This could be greatly improved by manually moving stops forward only when bigger moves are made.

Here, in hindsight, really I robbed myself of 3.5 points. Given that standard /ES rotations are ~4 points, it would make sense if I only protected profits based on a) at least 4-point moves in my favor, or b) very unusual signals from order flow.

Friday 4/12/19

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Overnight, we gapped up, opening 11.5 points above the pHigh. For today's reference, that means the half gap was at 04.25.

After about 7 minutes of auction this morning, we saw buyers push up to the 14s, with a confident 5.25 point rotation up. But it came right back down into the opening range, chopping around the early holy trinity before a large sell-off (8.75 point rotation) came in a few minutes after the IB was in.

A
The half-gap was now closed on this down move. While I was generally expecting it (a move to 04.25 sometime in the morning) to happen, I didn't have a clear thesis in my process for where to enter a short, so I stayed out.

Surprisingly, delta on the day was still positive, even on late-morning drifts lower to the low of 02.50.

B
Due to the strong 8.75 point rotation down, I was looking for small ramps to short into. However, again, delta was telling me that we weren't in strong bear territory yet. So I had half a mind to look for shorts in the IBL area (08.25), of course targeting new lows. Stop would be something standard like 7-8 ticks up; nothing beyond that, as I could easily see buyers taking full control, given positive delta and the half-gap being already filled.

Therefore, when we came up to the IBL, I actually decided not to take the short. Delta was growing consistently, and by this time, we had formed a double distribution. Price being right at this "valley" (LVNs, I suppose) right here in the holy trinity and IBL area told me that I had no clear edge.

Thoughts

As I write this, I see that in hindsight I would've gotten stopped out of my short. Regardless, I think that doing nothing was the right move here. I need to be patient and wait for the confirmation signs to line up for me. The slow motion of the day also is not fitted to my mental style.

Wednesday 4/17/19

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So we opened up above a 3 point gap (from pHigh, not pClose). Not much of an actionable gap for me, though I suppose that it's a big gap from the pClose (which would be an 11.5 point gap).

A
This morning was all about selling. A whopping 12.25 point rotation to start the day told me that I should be looking to short rips.

There was a tiny breather at pClose (11.50), where we bid up to 13.75 before resuming downward. I shorted the 11s area down, looking for pLow (04.50) as well as the century figure (00.00). My stop was kind of arbitrary: 2 points. I wanted a quick dump downward, not a slow downward chop where I could take 10 ticks of heat and still stay in it. Intended 3.5R.

In reality, I took risk off in the 7s and moved my stop to exactly BE. I got a little nervous as we rose back to 08.50, but held through and let it come close to my target of 4.50. This whole trade so far took about 20 minutes, and I prefer not to hold for too long (for mental capital reasons) so I exited the rest at 5.00 (front-running my target by 2 ticks).

B
With delta super negative (well under -10k), it would take a real monstrous V-shape recovery for me to change my short bias. I noticed a trade opportunity again in the 11.50 area, this time also coinciding with VWAP (s).

However, I hesitated to enter the short, and it dumped to new lows without me. I suppose I wasn't sure where my stop would be: Mid (around 14.00 at the time)? That seemed too aggressive.

C
Another scalp short idea popped up here at another small ramp to the ONLow (which buyers were completely failing to hold). ONLow was 08.75, but the closest the ramp came was 08.25 and the dump resumed without me once again, this time to fresh lows 3 ticks above the century figure.

Thoughts

I'm happy with the morning short. While I typically feel more confident after the IB was in, I perceived a lot of weakness, and all evidence pointing at buyers just not showing up this morning (strong negative delta).

The later morning short ideas were still valid, but I'd need to study my stop placement more. For example, would I have been wrong to short at VWAP (s) instead of Mid? What if it'd make more sense to short Mid? If so, then I really didn't "miss" that trade.

Thursday 4/18/19

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A
The open gave us about 20 minutes of chop (a 4 point range?!) before, as usual lately, sellers took control with a 10.75 point rotation down.

We were still in the IB so I was mostly watching patiently, with a short bias, very similar to yesterday. Delta was brutally negative, well under -10k again.

B
The IBL came in at 97.00, just below the usually-noisy century figure of 2900. Sellers breached the IBL and took it a touch lower, but not by too much.

C
Buyers then came in with a 9.5 point rotation up, where I took a short at the Mid and VWAP (s) area at around 2.75 - 3.00. My stop was once again "arbitrary" at 6 ticks, targeting the IBL. Although delta was climbing on the post-IB ramp, I noticed it was still strongly negative, and stuck with my short bias.

However, I got stopped out at 4.25. Almost immediately afterward, I got the sell-off I wanted, puncturing the century figure and tagging pLow (to the tick!) at 98.50. This also coincided with the ONVPOC. From there, bears said good night.

D
Given that bears couldn't reach the ONLow, it seemed like the V-shape recovery was destined for the other end: the ONHigh up at 11.75. In the end, buyers came just 1 tick short, and the day was pretty much over from there.

Thoughts

I enjoyed today's rotations, as there were several setups and scalp opportunities around key levels.

In hindsight, my stop on the 11:00am short was too tight, but I don't regret the trade at all. There was a lot of empty space above until the next reference level (pVPOC? LVNs?) and I suppose maybe expanding my stop to 8 ticks might have been viable.

The V-shape recovery would have also been a nice long, but I saw no pullbacks to VWAP (s) or Mid to really get in at a good location.

Monday 4/22/19

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Over the weekend, we gapped down 11.5 points, but still within the previous session's range. A few minutes of a very tight auction gave way to an early move upward. Buyers took control early with a 9 point rotation up.

A
This big rotation up for the first half hour told me to bias long, but not to trade too heavily today anyway given the lack of activity from European exchanges for Easter Monday. Volume was, as anticipated, very low, and the positive delta on the lift up was about +3k.

Nevertheless, I began looking for dips to buy.

B
I missed the first touch of Mid and VWAP (s) at around 4.00, but got in long at 4.50 soon after. My stop was 2 ticks below mid (1 pt of risk down at 3.50), targeting the IBH of 9.00, for about a 4R trade.

C
It took a while to get there, with a scary pullback, but we finally tagged IBH and pushed through it a bit. The weakness of the move up told me that this was likely a slow day, and this was all I could probably squeeze out of the session.

D
Just a minor small mental note: this is a small example of delta divergence. I take it with a grain of salt, because it was that last-few-minutes turbulence, but you see a small 2-3 point move down with virtually no decline in delta...

Thoughts

Not too much to say here. Quiet day because of Easter Monday, and I caught a 4 point long scalp on a dip. I suppose I'm glad that I didn't get scared out of it when it came back close to my entry!