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

  #561 (permalink)
Market Wizard
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Hey Profiler,

Do you watch the DOM when you enter a trade? I was looking at 97.50 yesterday and I thought that buyers were much interested, but the offer on the 95.75 kept refreshing aggressively. Perhaps they took the other side of your trade as well.

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  #562 (permalink)
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Hey Profiler,

Do you watch the DOM when you enter a trade? I was looking at 97.50 yesterday and I thought that buyers were much interested, but the offer on the 95.75 kept refreshing aggressively. Perhaps they took the other side of your trade as well.

I watch the DOM like a hawk when its near a level that I am interested in trading otherwise not really. I think everyone and their mom was on the other side of my trade yesterday

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  #563 (permalink)
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8-7 pre-market


Economic data: none

ON Profile: ES traded in an 8.75 pt range on heavier volume of 164k so far. The hi is yesterdays close so sellers immediately took over after the bell. The low is below pLo by 3.5 pts so a good amount. Vpoc currently at 1688 and profile is b-shaped.

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Yesterday ES broke out of its 3 day balance and headed lower into the prior balance area where it bounced off the VAH. Sellers were able to muster a close just inside the prior BAH but no more. Overnight sellers re-appeared and took it below pLo where some buyers were lurking and ES is currently trading right at pLo. So we are looking at a possible OAOR or OAIR below value open which indicates bears have the ball for the moment but at the moment I am viewing this as a short term pullback within the longer term uptrend and therefore still interested and even favoring longs. Yesterday I really wanted to buy the 1687 nvpoc but it stopped short and produced an 7 pt bounce. Its obviously been tagged in the ON session already and the low looks poor-ish so I am not so sure if i still want a long there. Maybe I will take it, depends what happens real time. Otherwise, I think the 1683 mc vpoc and 1677.5 CHVN/mc VAL offer good opportunities for longs. If bears really show some muscle and plow right through those levels than my thoughts turn from pullback to perhaps intermediate term top. To the upside, the 94-96 level is key. If it can break back above that level then I look for 1701.75 mc vpoc and 1705 double top all time hi. So...longer time frames are crazy bullish, shortest time frame is potentially bearish.

Levels Above: 1692.5 nvpoc, 1695.25 MP single/BAH***, 1701.75 mc vpoc*, 1705 ath*

Levels Below: 1688.75 pLo, 1687 nvpoc*, 1685.25 ONLO, 1683 mc vpoc***, 1677.5 CHVN/mc VAL**, 1670.5, 1666.75 CLVN/1664.5 nvpoc*

Hypo#1- ES opens OAOR/OAIR below value and bulls make first push but fail around 1692.5 and bears wack it lower to 1683 where buyers enter and grind higher back up to 1695.

Hypo#2- ES opens OAOR/OAIR below value and bears give it ol college try but fail at 1687/83 and buyers rally it up to 1695 and potentially higher.

Hypo#3- ES opens OD down and we end up with a trend down day.

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  #564 (permalink)
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I watch the DOM like a hawk when its near a level that I am interested in trading otherwise not really. I think everyone and their mom was on the other side of my trade yesterday

Hey profiler, i sure know that feeling!!!<VBG>

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  #565 (permalink)
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8-7 tradaes and recap

1. Long 1687.25 vwap/OPEN on 2.25 pt pb. Ok so ES opened OAOR and headed down to ONLO but failed to the tick then pushed higher into pRange but only by a 3 ticks which is a definite negative for this trade but I thought I saw some absorption on the footprint (either that or it is sellers wacking the bid). Stopped after 1 min, that didnt work. Would have been full loser.

2. Long 1682.75 (off 1683 mc vpoc) in some pretty nasty selling so stepping in front of a bus. Tons of volume printing here a tick below my entry, not good. Scratched after 8 min and .5 MF vs 1.0 MA and will try and enter lower. Would have been full loser by a tick if I puked which I might have.

3. Ok long a pt lower at 1681.75 from above trade and I might just be totally on the wrong side of the trade today. 27 min vpoc has now shifted to entry. I've almost scratched this trade like 10 times and probably should have, at least to re-enter lower. Ok took a 6 tick scale after 40 min because they just kept reloading the offer ahead of my 8 tick exit. My second scale will be quite difficult and will only be filled if the day has changed which I don't think it has. 90 min in it has since been rejected from vwap at 1684.25 which is to be expected on first test and is now right around my entry. Not sure whether to ditch this at entry or let it ride? Lettin' it ride. Second scale after 2:25! Third scale given.

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Recap
ES opened OAOR and pushed lower to just below the 1683 prior mc vpoc where buyers were found and then grinded higher slowly throughout the day. Value and vpoc shift completely lower once again. Price closed lower, below pLo and inside value. Volume was weak at 1.16 mill. Profile shape is double distribution. Yesterday we came down to the mcVAH and bounced 7 pts. Today we came down to the mcVpoc and bounced 7 pts. I am still overall bullish but it seems like maybe it needs to go lower yet to really flush out late longs and provide a powerful bounce back to hi's.

My first trade was bad. The bounce off the ONLO to the tick had me thinking long but that made it 3 bounces off that low to the tick including the ON session so that combined with an OAOR open and just a weak 3 tick push into pRange should have gotten me short or at least not long. Oh well, I got out for only 4 tick loss so no big deal. Second trade I stepped in front of a bus and I like to do that but maybe I should have waited just a bit longer to step in front of this one. Third trade was a better entry but even then I could have finessed it and gotten in at 81 for really good trade location but I was afraid of the train leaving the station without me. Sucks I did not get that afternoon long which would have made it a nice day for me. @josh, what did you do today around the 83 area, were you looking long or did you come in short (and possibly reverse)? i saw awais moved his level down beneath it to 80.25 to 82.25 but I dont understand why, any thoughts on the matter? Tomorrow is another day.

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  #566 (permalink)
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Sucks I did not get that afternoon long which would have made it a nice day for me. @josh, what did you do today around the 83 area, were you looking long or did you come in short (and possibly reverse)?

I was looking to short in the morning, but I really thought we'd see a 90 or 91 print so I was not short when the market came down to 83. I had 82.25 to 83.50 marked, and to be honest I chopped around in there a bit before finally getting it.

I got flat 83s after buying 81s. Then after 84.75 printed and it came back down to 82, I took a quick short and got long at 83s. It was a lovely setup with a minimal effort by sellers, but even that got absorbed at 82. I missed my bid but just jumped in at 83.25 because when you see it lazily rejected like that, in the middle of the day, you can bet they will sucker in some shorts on the way up for a ramp into the close. Low volume moves are the best, because it demonstrates lack of effort to stop it, and they are usually very directional, so you get people chasing, which is what you want when you are in the trade (we always want a rotation to get in, but we'd prefer not if we are already positioned ). I scaled 86 and 87s, and got back in long 86.25. I also wanted to see 85 print and had a bid there (as you had at 84.75) but knew that it would be worth it at 86 still, so I got long. Held 1/2 into the close and got flat 92.75 earlier this evening. (posted a chart of this later activity in the spoo thread earlier this evening)

All in all a sound confirmation of fair value for bulls at the VPOC area of the late July distribution, another lackluster effort from the bears, and unless we see some serious selling at 95, another leg up awaits.

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  #567 (permalink)
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8-8 pre-market

Economic data: claims

ON Profile: ES traded in a 7.75 pt range on good volume of 156k so far. The low is 1 tick below the settlement so bulls resumed control instantly after the bell. The hi so far is 1695.5 which is 1 tick above an MP single and right in that 94-96 breakdown area from the 3 day balance. Vpoc currently at 1692 and profile shape is rather fugly.

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Yesterday ES dipped down to just below the 1683 mc vpoc and found buyers and grinded higher into the close. After the close, buyers continued doing what they do. We are currently set to open with an OAOR of about 6 handles to the upside in a very interesting area. In a perfect world, ES will open and one tick the 1695.5 hi which I will short and then sell off down to 1688 to close the gap where I reverse and get long for a move back up to and through 1695.5 and possibly 1702. Basically the bulls have the ball and I am interested in a short off the open or basically not at all unless some aggressive sellers really make their presence known. Its possible bulls will just take charge right off the open and ramp to 1705 double top all time hi and break out again. Longer time frames are very bullish. Daily time frame is balancing to bullish.

Levels Above: 1695.5 MP single/ONHI/CLVN***, 1702.5 nvpoc, 1705 ath**

Levels Below: 1692.5 nvpoc, 1689.5/1688 pHi/close**, 1687.25 nvpoc, 1684.75 LVN, 1680.5 pLo**

Hypo#1- ES opens OAOR and fails at ONHI, pulls back to 1692.5/1688 then grinds higher into the close to 1702.5.

Hypo#2- ES opens OAOR and pulls back to 1692.5 and drives higher thru 1705 in trend up day.

Hypo#3- ES fails at 1695.5 and grinds lower all day.

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  #568 (permalink)
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8-8 trades and recap

1. Sold 1696.5 1 tick above ONHI and in the 94-96.5 LVN zone from the breakout looking for responsive sellers back to 1692.5 nvpoc at a minimum and hopefully 1688 level at best. Instantly my favor and printed my exit after 3 min but no fill. Now all the way back to entry and new hi by 1 tick...not cool but the fact it only 1 ticked is good. First scale after 13 min. Responsive selling not as forceful as I hoped (never is). Second scale after 21 min- filled between 450 and 503 in the cue. This might be a trade that I should hold for more, even 88s potentially. Should have hung on...third scale given.

2. Long 1685.5 LVN after missing the 84.75 that I tried joining the bid on. This might be a trend down day so pretty scary. ES blew right through the 88 level which I did not expect. 26 min it has not given me a scale yet but printed my exit very very weakly, frustrating. Took a 6 tick scale after 30 minutes because it is struggling here and just wanted risk off. Had I waited another 2 minutes would have been filled. Now it has to get thru IBLO and vpoc to give me my second scale which will be difficult I am guessing. Second scale after 55 minutes. Ended up taking 0 heat on that trade. Third scale given.

3. Long 1695 vpoc/1st vwap. Ok, only going to give this trade 4 ticks to see if it works but we have a very poor hi above and value being built above dVWAP and I think this can run into the close. If I am stopped on this I will take another stab at a long at 1692 vwap. This was a really hard buy for me. Scratched after 11 min because its feeling a bit heavy and I think I can finesse this a few ticks lower. Went 4 ticks MF vs 2 MA.

4. OK re-entered 1694.25, same deal. 4400 lot in the cue a tick below which makes me think I should scratch this since very likely that will trade thru to see if its real. 18 min in it has gone 7 ticks my way and 1 against but really struggling and not doing what I thought it would. Scratched after 27 min, unreal. Would have been loser.

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Recap
ES opened OAOR with a nice upside gap and was immediately sold only to be bought right back up starting at the LVN separating yesterdays double distribution. Volume and vpoc shifted completely higher. Price closed higher and inside value. Volume was decent at about 1.3 mill. Kind of a weird p-shaped profile with a very prominent vpoc where almost 100k traded. Basically we have a strong rejection once again of the prior balance area and then filled in the LVN between 94-96. I think the bias is still very much to the upside but I am surprised it didn't squeeze into the close.

Well I made two awesome trades today and then didn't let them run. Today could have been an amazing day. I will take solace in the fact I made good trades but the need to let winners run is something I am trying to work on and today would have been a great day to put it to the test. Surprised that the 88 level didnt hold better on the way down but I guess in the context of the strong responsive selling off the open it makes sense. Tomorrow is another day.

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  #569 (permalink)
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8-9 pre-market

Economic data: none

ON Profile: We have a 9 pt range on light volume of 125k so far. The hi is just 1 tick above yesterdays very prominent vpoc where almost 100k traded. The low is 1.5 pts above pLo. Profile shape is very odd- one long and slender rectangle with 2 prices jutting out right in the middle at vpoc of 1689.5 which corresponds to pVAL.

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ES had an interesting day yesterday. Sellers were very interested in defending the 1696.5 level, in the morning they were able to knock it down 12 pts, in the afternoon they were only able to prevent a break higher. I was anticipating futures to rise slightly last night and then backtest the 1695 vpoc off the open for a move up to and through 1705 but quite the opposite happened as sellers took control- so they really are defending that level and market is unable to push back inside that upper balance area. We are looking at an OAIR open right around the pVAL. My first instinct is to look for responsive buyers to make the first push but if they are unable to push above the 1692 LVN then perhaps sellers will own the day and a move down to 1680.25 and potentially lower is in the cards. On the contrary, if value can be established above 1692 then I look for 1697 to be tested and broken. Longer time frames are very bullish, daily time frame is balancing.

Levels Above: 1692 LVN, 1695 nvpoc, 1697 pHi, 1702.5 nvpoc*, 1705 ath**

Levels Below: 1684.75 pLo, 1680.25 lo, 1677.5 CHVN, 1674.75 LVN, 1670.5 Lo, 1666.75 CLVN, 1664.5 nvpoc

Hypo#1- ES opens OAIR around pVAL and buyers make first push to 1692 but fail and then push lower down to 1680 and potentially lower to 1670.

Hypo#2- ES opens OAIR around pVAL and sellers push to 1684.5 pLo and 1 tick it where buyers grind it back up to 1697.

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  #570 (permalink)
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8-9 trades and recap


1. Long 1690.25 pVAL in what is a very rotational day so far with a poor hi. I wanted to try a long at 1688.5 but it stopped at 1689 and then bounced a few times and hasn't gone below 1689.75 since. First scale after 7 min and .25 MA. Stopped out on 2nd lot for 3 pt loser, stop ran away from me on that one. The instant rejection from vwap/vpoc to the tick maybe should have made me get out at entry on that one.

2. Sold 1689.25 IBLO/vwap/mid. Strong bounce off lows and very V-shaped so I am thinking the low is in but maybe this will be good to at least get risk off at 1687.5 vpoc. Scratched after 29 min and 1.75 MA vs .75 MF. I think this grinds higher into the close. Would have been a loser.

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Recap
ES opened OAIR and pretty quickly ran up to the 1696.5 resistance area for the last few days and then the bottom fell out but those pesky dip buyers are still present. We end up with lower value and vpoc. Price closed lower and just below VAL which is interesting. Volume was actually heavier than average lately at 1.49 mill. So over the last 4 days we have clear rejection from 1697 as well as 1680 with mc vpoc of 1687.5. Week over week we have value putting in an inside session. I still favor the long side.

There was some good opportunity today, albeit not a lot, and I was unable to capitalize on it. As mentioned before, I love it when the market goes thru a level by only a tick or two but when it stops short I am rarely able to get on board and today was no different with not being able to short the 96 level. Its a weakness. The long I took was ok, it gave me a scale but I sure managed it poorly after that. In my mind I was kind of fixated on a balanced day between 89 and 96 with the hi most likely to be taken out so I held on for the full 2 pt stop but then it kind of blew right through there after bouncing a few ticks and I ended up taking a 3 pt loser on it. I deserved it. I didnt think the 1683 mc vpoc would give such a response today but it sure did and as a result I missed out. I will say I made some serious progress in not shorting that thing until the vwap. In the past after such a v shaped bounce I would find some level, however minor, and say "oh, 4 pt bounce into ONLO, sell it" and I briefly considered a short at the 1686.25 ONLO today but passed and I am thankful I did. Even the short I did take could be considered bad still. There was confluence of 3 things right there but vwap had flattened out which nullifies that and the MP profile looked pretty balanced and the mid sucks generally anyways so really all I had was IBLO which isnt great and dVPOC below which is ok. Well, not how I wanted to end the week but overall it was a positive week, I feel like I am progressing and I look forward to next week.

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