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Learning to trade the ES using volume profiling
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Learning to trade the ES using volume profiling

  #521 (permalink)
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7-22 pre-market

Economic data: housing

ON Profile: ES traded in a narrow 6 pt range on light volume of 145k so far. The hi is above pHi while the low is a tick below thursdays hi. Profile shape is kind of balanced with a boxier middle. Vpoc at 1689. Pretty quiet night.

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So friday's spike into the close has been accepted so far as the ES balanced around it last night. Bulls certainly have the edge but I expect responsive sellers to make at least one attempt on the open to try and get back inside pVA. Failure to do so just clears the path for a trip up to 1700 where you would think sellers would be waiting that should be good for at least a 4-6 handle pullback but who knows. Should the bears manage to get back inside the pVA, then 1683 nvpoc awaits followed by the 1677 CHVN that the market has rejected as to cheap the prior two days. Value has been moving higher, all time frames are extremely bullish, ES is set to open OAIR above value/ OAOR...I can only envision taking a short with some evidence of aggressive sellers or clear rejection of pHi or ONHI.

Levels Above: 1690.5 pHi, 1694.25 ONHI, 1700**

Levels Below: 1688.25 ONLO, 1685.25 pVAH, 1683 nvpoc*, 1677.5 CHVN***, 1672.75 CLVN, 1670.25 MC vpoc

Hypo#1- ES opens OAIR above value and responsive sellers make first push but fail around 1685.25 and bulls grind higher thru the day.

Hypo#2- ES opens OAIR above value and bulls push but fail at pHi/ONHI and sellers wack it down to 1683 or 1677 then lose steam and drifts higher.

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  #522 (permalink)
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7-22 trades and recap

1. Long 1686 after ES opened OAIR and has sold off weakly but decidedly down after touching pHi and then seemingly struggling around pVAH stopping a tick short at 1685.5. My overall bias for the day was long so preferred the long side. First scale is above ONLO which may provide some resistance. First scale after 5 min and .25 MA. Second scale after 41 min, filled around position ~350 in queue. Third scale given.

2. Long 1690.5 IBHI/dVAH/pHi on 2.5 pt pb from hi after it printed the 90s real weakly. ONHI at 1694.25 still not touched. ES rejected pVA and is working higher albeit very slowly. This might be the same trade as friday that i bailed after 15 minutes and would have taken 3 hours to play out so I will stick with this one to work on that (if it plays out like that). 23 min in it has gone 1.5 in my direction and repelled from dVAH and now back to entry. vpoc shifted a tick above my entry as well, not sure if I like that. Stopped after 1:16 min and 1.5 MF.

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Recap
ES opened OAIR above value and balanced in a narrow range above prior value. Value and vpoc shifted higher. Price closed unch and inside value on VERY light volume of barely 700k. Just hardly anyone interested in these all time hi prices for some reason. The ball remains firmly in the bulls court as sellers are just unwilling/unable to do anything. All eyes on 1700.

So I made two trades today, first one worked out great and second one I got full stop and unfortunately at the bottom of the little sell off which at the time was dVAL and had I not had a position on I would have been interested in the long so that was frustrating but discipline is discipline and that will happen again so get used to it. The short off the open was viable but as I had a long bias overall I didnt take it. Not much else to say as there was not a whole lot of opportunity today. No data on the table tomorrow either so it may be more of the same.

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  #523 (permalink)
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7-23 pre-market


Economic data: none

ON Profile: ES once again traded in a narrow 5.25 pt range on very light volume of only 119k so far. The low is just below yesterdays vpoc/ledge and the hi is above pHi as well as pONHI. Vpoc at 1693. Profile shape is pretty balanced. Really a very boring night it seems.

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ES is set to open either OAIR above value or OAOR. Ball continues to be in the bulls court and 1700 seems to be the focus and today it might get there at which point we finally might see a sell response. My bias is to the longside, at least until 1700. Only with an obvious rejection from the ONHI, for example, would I begin to think short before 1700. Or an OD down of course. I will be quite surprised if the market sells off today before printing 1700 but the market can do all kinds of crazy things and if it does then 1670 would be my final target area. Volume is light so not expecting a whole lot of volatility, might just end up like yesterday. All time frames are extremely bullish.

Levels Above: 1693 pHi, 1695.5 ONHI, 1700**

Levels Below: 1690.75 nvpoc/ledge/ONLO/pVAH**, 1683 nvpoc*, 1677.5 CHVN**, 1670.25 mc vpoc***

Hypo#1- ES opens OAIR/OAOR and sellers push weakly to 1690.75 where buyers step in and grind to 1700. At that point, potential sell response back down thru the low.

Hypo#2- ES opens OAIR/OAOR and pushes higher to ONHI or 1700 where sellers enter.

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  #524 (permalink)
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7-23 trades and recap

1. Long 1690 ONLO/nvpoc/settlement/ledge on 3 pt move down. ES opened OAOR and only went 2 ticks above OPEN and has meandered its way down so I think context is bullish overall still but buyers werent in any rush to add to their positions. Instantly went 4 ticks against me now 2 ticks in favor but struggling for more. Stopped after 30 min and 1.0 MF.

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Recap
ES opened OAOR just above pHi and met responsive sellers who knocked it down to just above pLo where responsive buyers lurked and spent the rest of the day balancing. Value and vpoc shifted overlapping lower. Price closed incrementally lower and inside value. Volume once again absolutely pathetic at a mere 800k. Just no interest from either side up here in the stratosphere. ES has now balanced for the last 2 days between 1686 and 1694. No real economic data of import is scheduled for the rest of the week but next week is chock full of big stuff so maybe this week is a throwaway.

One trade today...I think it was a good trade but it didn't work. I missed the long off the bottom as I was hoping pLo would get taken out by a tick or so but it stopped short- a recurring problem for me. Potential short off the dVAH but I passed on it even though the market was screaming balance day but I only wanted longs and to get a second scale I would have needed a trip back to lows which I didn't really think was likely. So yeah, not a whole lot to say about today, lets hope and cross our fingers for a more volatile day tomorrow. Maybe aapl can blow up or something.

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  #525 (permalink)
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Profiler View Post
One trade today...I think it was a good trade but it didn't work.

I considered a long at 90.50-.75 as well. But I wanted to first see some sign of buying. There was buying as the volume certainly picked up there, but it really kind of blew through the NVPOC--at that point I want to see it trade back above it and see buyers active above it, and that did not happen. When the market trades through a level like that without any positive movement in price I'm very wary.

You did get some positive movement but consider cutting your position in half if the market doesn't prove that your idea is working--for me that would have meant getting decisively above that VPOC, which it did not do at the time. Said another way, did you really need to see it trade all the way down to 88 (and 30 minutes later with only a brief favorable excursion) to know this trade wasn't working? Just some thoughts. I know it's easy to say after the fact, and I know you don't want to "mess with" trades too much and micromanage them, I get that.


Profiler View Post
I missed the long off the bottom as I was hoping pLo would get taken out by a tick or so but it stopped short- a recurring problem for me.

Give yourself credit--you wanted to see the low trade, and it did not. So, you didn't take the trade. Nothing wrong with that.


Profiler View Post
Potential short off the dVAH but I passed on it even though the market was screaming balance day but I only wanted longs

I know we are at all time highs, but we sold off to 86, saw a VPOC shift lower, and only late in the day made it to VWAP (and only briefly above it on the stop run to 91s). I also wanted longs early on, but ES traded below VWAP and below yesterday's VPOC most of the day--to me it was not exactly screaming anything, but the sellers were in control from the open and there was a definite skew that favored acceptance below 91. So, I'm surprised that late in the day, you still wanted only longs.

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  #526 (permalink)
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josh View Post
Said another way, did you really need to see it trade all the way down to 88 (and 30 minutes later with only a brief favorable excursion) to know this trade wasn't working? Just some thoughts. I know it's easy to say after the fact, and I know you don't want to "mess with" trades too much and micromanage them, I get that.

As it was struggling and then got rejected at 1691 I did debate taking the whole thing off for a scratch actually but a 2pt stop placed it at 1688 which was monday afternoons low (where I puked out another long too actually only for it to reverse) so I thought there was a chance buyers might enter there again and i held on to it despite not seeing any confirmation that my trade thesis was really going to work. the trade is now etched into my memory now though so hopefully it will be useful in the future. thanks for the thoughts!

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  #527 (permalink)
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7-24 pre-market

Economic data: housing

ON Profile: ES traded in a 8.25 pt range last night on light volume of 134k so far. The hi is above pHi but 1 tick below yesterdays globex hi. The low is above pLo by a pt so ES really explored almost all of yesterdays 24 hr session. Vpoc currently at 1691.75. Profile shape is pretty rectangular indicating not a whole lot of agreement on value.

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ES has balanced between 86 and 94 for two days now and after having sold off to the low of that range overnight and found buyers once again we are faced with an OAIR above value near the top of the range, possibly even an OAOR. I continue to favor the upside for a breakout to 1700 but absent a motivated buyer after the bell we may end up with a third day of balance. My key level for today will be the 1695.25 ONHI- if ES can not reach or hold that level then I would expect another trip down to 1686 in an attempt to pick up buyers. Should buyers not be interested there, perhaps the 1683 nvpoc/mc VAL will be a decent long but I think the best spot would be around the 1677.5 CHVN. Should price be accepted above ONHI then 1700 is the target and potentially higher. I would expect that level to attract sellers for at least a 4pt rotation down but who knows, have to see what happens when it gets there. All time frames are extremely bullish.

Levels Above: 1695.25 ONHI**, 1700**

Levels Below: 1686 pLo, 1683 nvpoc, 1679.25 CLVN, 1677.5 CHVN**

Hypo#1- ES opens OAIR above value and responsive sellers make first push to ~1691 mc VAH where buyers come in and grind it higher to 1700 where sellers possibly enter.

Hypo#2- ES opens OAIR above value and pushes to 1695.25 but fails and then auctions down to 1686 again and possibly lower.

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  #528 (permalink)
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Posts: 617 since Jan 2013
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7-24 trades and recap

1. Long 1683 nvpoc on 2nd touch after the first touch produced a 3 pt bounce then we came down again and only 1 ticked the low. Really tight 4 tick stop on this just trying to maybe catch a bottom. Vpoc at 1685 could be magnet for first scale. Obviously very strong selling day so far. Instantly went against me 3 ticks but only 1 ticked the prior 1 ticked low which is good so maybe selling is drying up down here, at least temporarily. First scale after 9 min and .75 MA. Second scale will be a bitch- has to get back inside pRange and above vwap by 2 ticks. Going to move by stop to breakeven at this point because if it goes back down then that will be third time test and no reason to hang on at that point. 38 min in and it has gone to pLo to the tick and been rejected but milling around 1685 vpoc. Took 3.75 pts after 64 min as some major absorption of over 5k at 1686.5 vwap. Good cover, would have been stopped otherwise.

2. Reversed short at 1686.5 vwap. Definitely some major selling absorption at this area with over 8k on the offer and a weak print of only 127 2 ticks above and overall day context is bearish and this is first test of the vwap so I took it. 20 min in and its gone 6 ticks my way to the 1685 vpoc but printing it real weakly, hopefully that isnt seen as too cheap now. There it goes, first scale after 24 min and .5 MA. Going to let my second scale ride to 1680 I think although 1677.5 might be eventual destination for this day. Covered after 52 min at 62's when market stopped at 1680.75 and stalled and I panicked that it might be LOD. Would have given third scale if stuck to rigid plan.

3. Long 1677.75 CHVN as ES is dripping down. This trade was part of my plan so I had to take it thought it doesn't feel good. First scale after 25 min and .25 MA. Second scale after 35 min, filled in queue in top 288. Didn't feel good but it worked. This thing actually gave a third scale late in the day.

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Recap
ES opened OTD? ORR? Not sure which is which but after peaking 2 ticks above pHi sellers just laid into it and slapped it down all the way to 83 before buyers finally stepped in a bit before another leak lower. ES finishes with clearly lower value and vpoc. Price closes lower and inside value on volume that was significantly higher than the last few days but still only average overall of about 1.3 mill. It feels like ES got destroyed today because the range was pretty large but ES only finished down about 7 pts. Kind of a weird profile shape today with two distinct HVNs seperated by an LVN at the IBLO. ES has been struggling to go higher lately so maybe this is just a shakeout to clear some weak longs before making another assault on 1700.

Best trading day so far for me with this method!!! It feels good, I'm honestly drinking a beer right now to cap my day. Only one though because this day doesn't mean much in the grand scheme of things and tomorrow is another day where the pnl resets to zero. Anyways, the day started off with me being caught flatfooted as the sellers just jumped on it almost from the get go. 10 pts straight down and I couldn't get on a short because it wouldn't pull back to vwap or anything else I could think of to sell. I won't re-hash the trades I did as I wrote them up above and they all worked and I think they were legit trades. Second trade could have been covered at my orginal desired price but I panicked and wanted to lock in the gain...need to work on that. Tomorrow is another day...

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  #529 (permalink)
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woohoo!

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  #530 (permalink)
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7-25 pre-market


Economic data: claims, durables

ON Profile: ES traded in a 12.5 pt range on volume of 238k so far so both much wider/higher than whats been happening lately. The hi is just a few ticks higher than yesterdays settlement and the low is well below pLo and just above the 1671.25 nvpoc/1670.25 CHVN. Vpoc currently 1676.25. Profile shape is pretty fugly/trendy.

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I was a bit surprised to wake up to spoos trading 1673 today as I thought sellers might have run out of gas yesterday but here we are. Sellers came out in force from the opening bell yesterday and knocked it down to the mc vpoc practically to the tick where buyers were found in enough quantity to produce a 7 handle bounce. ES is currently slated to open right around pLo so will that level hold again? Yesterday I bought it almost blindly, today I will take a wait and see approach. If buyers show up again the target will be the 1681 nvpoc and then 1685 HVN and then the 1688 area where ES really broke down yesterday. If buyers can manage above that then I imagine shorts will be scrambling for cover. Below pLo, we have a confluence of numbers around 1671- 1671.25 nvpoc, 1670.25 CHVN/1671.5 nclose which might be good for at least a bounce but the last time ES came down to the area it had to go to 1666 to find enough buyers to really bounce. Below that will be 1660.25 gap/1658.25 CHVN which I think is a strong buy considering there were enough buyers there last time for a 34 pt move up. All time frames are very bullish. I view yesterdays sell off as just a flushing of weak longs but who knows?

Levels Above: 1681 nvpoc*, 1685 HVN, 1688 breakdown area*, 1694.5 pHi

Levels Below: 1677.25 pLo*, 1671.25 nvpoc/nclose/CHVN**, 1666.75 CLVN**, 1660.25gap/1658.25 CHVN***

Hypo#1- ES opens OAIR below value and responsive buyers make first push higher but fail around 1681 and sellers knock it down to 1671/1666.

Hypo#2- ES opens OAIR below value and sellers push below pLo but fail and buyers grind higher through the day up to 1688 where sellers re-enter.

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