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

  #571 (permalink)
Elite Member
Rio de Janeiro, Brazil
 
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Platform: SC, S5T
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Posts: 617 since Jan 2013
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8-12 pre-market

Economic data: none

ON Profile: We have a 11.75 pt range on heavier than normal volume of 169k so far. The hi is 2 ticks short of fridays vpoc and only 3 ticks inside its VA while the low is 1675.25 and I can't really attribute that to anything. Vpoc currently 1679. Profile shape shows very nice rejection from the hi and some lingering at the low. Very distinct LVN around the 1680.5 area which was last weeks low.

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We have a potentially very exciting day today with ES set to open with a gap down of about 7 points that is below last weeks low of 1680.5. My bias is definitely to the downside and I think its possible we have a big down day in the cards but we won't know until the bell rings whether this weakness persists or buyers see value in it. Ideally I would like to see responsive buyers make a weak push up to 1680.5 and fail then a very aggressive seller steps in and quickly knocks it down to 1670 where it rotates a bit before pushing further to 1664 and possibly slides into the close. If buyers can push beyond 1680.5 and break above 1682.5 pLo then my thesis is shot and perhaps we end up with a slow grind higher. Longer time frames are very bullish but the short term is balanced and potentially bearish.

Levels Above: 1680.5 pWkLo**, 1682.5 pLo*, 1687.5 nvpoc*, 1696.5 rejection area

Levels Below: 1675.25 ONLO, 1670.5 lo**, 1666.75 CLVN, 1664.5 nvpoc**, 1660.25 Lo, 1658.25 CHVN**, 1655 CLVN

Hypo#1- ES opens OAOR and responsive buyers push to 1680.5/1682.5 and find rejection with sellers auctioning down to 1670 and possibly much lower.

Hypo#2- ES opens OAOR and sellers wack down to 1675.25 ONLO but fail and buyers grind higher up to 1687.5 nvpoc.

Hypo#3- ES opens OD down and we have a trend down day.

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  #572 (permalink)
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Rio de Janeiro, Brazil
 
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8-12 trades and recap

1. Sold 1682.5 pLo after OAOR gap down open and minimal push lower with responsive buyers coming in. This is also the VAH from the ON session. Ok this massively sucks but my internet just went down with the short on right after I tried to manually stop my self out but missed and ES 2 ticks above my stop... Ok internet back up and I got filled on my stop thankfully as market did not run away. No trades for me for next hour or so until I get some confidence in my connection.

2. Sold 1686.75 after the 1687.5 nvpoc traded weakly and this is also pVAH. Tried scratching instantly because this market seems to want to go higher. Scratched after 5 min and 1.0 MA. Would have been full winner with 6 ticks heat.

3. Long 1684.75 dVAL in a very slow and grinding market with a poor-ish double top hi and vpoc above at 1686.75. Scratched after writing that out. Would have been

4. Long 1683.25 dVAL after this level has been tested twice producing two bounces and finally came down for third test and only taken out by 2 ticks which stopped by 1 tick short of pLo so I got long for a rotation back up to dVAH. Think I can get away with a 6 tick stop here as more than a few ticks below pLo is a slippery slope and trade is wrong. 19 min in it has gone 5 ticks my way and only 1 tick against but its just lingering. Now it went another tick in my favor but only printed 19, if this goes back to entry and I am scratching. Scratched after 32 min. Would have been full winner.

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Recap
ES opened OAOR with a downside gap and pretty much just sprinted higher for the gap close then died. Vpoc basically did not move while value shifted lower. Price closed unch and inside value on very weak volume of about 950k. Profile shape is a classic p indicating short covering perhaps from all the overnight traders and then lack of volume meaning nobody else participated. Once again, for now the low 80's are too cheap and mid 90s are too expensive as the ES balances.

Well I must say I totally blew it with my expectations for the day. I really thought today would be a big down day and it was anything but. Had I not been so biased, could/should I have gotten long off the open? Tough to say but I think no. ES had found balance overnight and was to open just below the eth vwap so maybe that was a clue it wasn't going to get slammed right from the start. Then it printed down to the ON vpoc to the tick very weakly and bounced and never looked back. Usually with an OAOR gap down I like to see the market make another stab at taking out the OSLO and if it only does it by a tick or two then I fade it but today it never came back. So I had the one loser and then a couple scratches that would have been winners but I scratched. I hate slow trading. Or rather when it takes forever to get even a first scale. I suck at it and don't like it but this is how the market trades in summer so i need to deal with it. All in all a crappy day that I made crappier but overall a small loss so its ok. Tomorrow is another day.

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  #573 (permalink)
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8-13 pre-market


Economic data: retail

ON Profile: We have a 7.5 pt range on volume of 157k so far which is decent. The low is yesterdays vpoc to the tick and the hi is in that weird upper area of fridays profile that was the scene of rejection but also the just shy of the VAH from the 4 day balance area we are creating. Vpoc currently at 1691. Profile shape is pretty fugly with no apparent consensus on value.

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So responsive buyers stepped in on the open yesterday and ripped ES higher as apparently the 1670s and low 1680s are just too darn cheap. Overnight the bulls continued higher up to the mc vah where responsive sellers were waiting. ES is set to open with a small gap higher and though my bias overall is to the long side I am wondering if a long off of the nvpoc makes any sense given its in the middle of the balance area and in fact the mc vpoc and the market is trading in a very responsive nature lately as opposed to initiative. I guess I will cue off the response if/when it approaches the ONLO. If further business is to be done then 1683 ledge from yesterday will be the target and below that could get slippery. The key area above is the 1696.5 area and unless I see some strong volume pushing up to there I will be looking to fade it. A break above that targets 1702.5 nvpoc then 1705 ath.

Levels Above: 1692.5 fri VAH, 1696.5 rejection level***, 1702.5 nvpoc, 1705 ath

Levels Below: 1686.5 ONLO/nvpoc**, 1683 ledge, 1678.75 pLo*, 1675.25 pONLO*, 1670.5 lo

Hypo#1- ES opens OAOR and responsive sellers push to close gap/nvpoc and buyers auction higher up to 1696 where sellers respond and ES closes in middle.

Hypo#2- ES opens OAOR and pushes higher but fails around 1692.5 then sells off to 1683 to pick up buyers again and close in the middle.

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  #574 (permalink)
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8-13 trades and recap

1. Long 1687 after weak 1 tick of ONLO and overall bullish bias. This is in the middle of mc balance area though. Gosh a lot of volume printed at my entry and its now vpoc and doesnt look like it hold although it went 7 ticks my favor. God damn it, took 3 pt stop because I fucking didnt stay disciplined. Horrible trade management, I deserve an F for this trade.

2. Sold 1689.5 just below IBHI as ES is barreling higher and stopped 2 ticks shy of IBHI and we have a very wide IB so if it pops not expecting to go that far. Tons of volume printing the tick below, going to try and scratch and re-enter higher if it 1 ticks the hi. Pff, missed the scratch now printing hi. Scratched after 10 mins, now we have a double top. Would have been a loser.

3. Sold 1693.5 after ONHI was 2 ticked and 1694.5 is the mc vah. I joined the offer at 94.25 but no fill. Market strong like bull so this def a fade. I think I can get away with a 6 tick stop here so I went for it. If stopped will try again around 1696.5. Took 6 tick scale after 20 min and .25 MA as it touched my exit twice but super weak for only 43 contracts and really seems to be struggling so I just wanted risk off. 50 min in we have a vpoc shift up to 1692 as some big buyer just wont let it fall. Now its trading 1690.5 IBHI and I need it to go another point to get my second scale but it may not be able to push through. So now 1:47 into this it didnt push through went higher back thru vpoc but only by a few ticks and is lingering. Gun to head this rips higher into close but who knows. Closed 2nd lot +1 tick after 2 hrs.

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Recap
ES explored almost the whole 5 day balance range today but finished only incrementally higher from where it opened. VAL stayed the same but VAH expanded higher along with vpoc. Price closed marginally higher and inside value. Volume was much higher than the past few days at 1.33 mill but merely average over a longer time frame. Profile shape is kind of a double distribution with a long thin zone in the middle. Daily candle is a doji. So we learned that once again that buyers still exist in the low 80's and sellers still lurk in the mid 90's. Until someone decides to either pay more or sell for less we are stuck in the range.

Man I totally blew trading today. First trade had a good premise but once it was on I had warning signs go off but ignored them and then violated my stop by a whole point. It gave me an out at 95, my original stop but I pulled it because I just kept thinking it was bottoming. I blew the long off the bottom because it stopped short of what I wanted to see. The first short was poor, the second was good but managed poorly. So I am in a 3 day losing streak which sucks but one ok day can easily turn that green so stay positive and make good trades.

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  #575 (permalink)
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8-14 pre-market

Economic data: PPI

ON Profile: ES traded in a 7.25 pt range on light volume of 118k. The hi is just 2 ticks above yesterdays vpoc while the low is in the neighborhood of yesterdays VAL. Vpoc currently at 1688.5. Profile shape is generally balanced with a stronger hi than lo.

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ES is just reeking of balance lately and today appears to be no different. Biggest picture we have clearly established 1686.75 as the fairest price to do business in the area, with the next fairest price being 1620. Smaller picture, ES has been in balance between 1679 and 1697 over the last 6 days with 1687 being the fairest price. It is pretty rare for the ES to balance so long in one area so a breakout is likely to occur. However, as we looking at an open right around the 1687 mc vpoc, today does not look like that day. Therefore, unless a strongly motivated participant enters the auction off the open, the playbook will be to fade the extremes of said balance. Should value be accepted outside of the range then we finally have a breakout and get on board! Overall longer time frames are very bullish so bias is still to the upside. Continued balanced session expected.

Levels above: 1692 nvpoc/ONHI, 1696.5 BAH***, 1702.5 nvpoc, 1705 ath

Levels below: 1681 hvn, 1679 BAL***, 1670 lo*, 1666.75 CLVN, 1664.5 nvpoc

Hypo#1- ES opens OAIR inside value and chops around, takes out ONLO weakly then grinds higher up to 1697 where it fails.

Hypo#2- ES opens OAIR and pushes higher but fails at pHi then rotates down to 1681 and finds buyers to close in middle.

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  #576 (permalink)
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If you are trading right now and waiting for a break of 83.75 for new lows, I hope you are laughing as hard as I am. It's like watching two slugs fight. Times like this, I wish I had a few hundred million and could throw 10,000 short at the market for kicks.

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  #577 (permalink)
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josh View Post
If you are trading right now and waiting for a break of 83.75 for new lows, I hope you are laughing as hard as I am. It's like watching two slugs fight. Times like this, I wish I had a few hundred million and could throw 10,000 short at the market for kicks.

ha, anytime we have a scenario like that your name pops up in my head cuz i can see you getting long and scalping around it because it is so well bid while i sit there and pull my hair out waiting for it to make a new low if only by a tick to get long.

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  #578 (permalink)
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Profiler View Post
ha, anytime we have a scenario like that your name pops up in my head cuz i can see you getting long and scalping around it because it is so well bid while i sit there and pull my hair out waiting for it to make a new low if only by a tick to get long.

I was positioned short and thankfully we got the break. I really dislike days like today--I don't like to trade for 4-5 ticks at a time but the market has been so directionally weak that it's either that or nothing. I am gross positive but I think I am net flat or even negative at this point after commissions. I like rotations, but not chop, and this absolutely qualifies as chop to me.

Maybe in 20 minutes we get some directional moves when Bullard talks about monetary policy.

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  #579 (permalink)
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8-14 trades and recap

1. Sold 1690.5 vwap after ONHI taken out by only 3 ticks and then ES sold off and put in a poorish looking lo. It printed 1691.25 hi on this swing then I sold so I will just use a 4 tick stop given this trade location bigger picture isnt good. Stopped after 13 min and 1.5 MF. Well I got burned on this one using a tight stop.

2. Long 1684 which has just been incredibly well bid all morning until it finally gave way before but was quickly bought back up. Stop at new lows. First scale would be at vpoc if it can get back up there. For better or worse I scratched after 12 min and am going to try and re-enter lower.

3. Ok re-entered 1683.25 less than a minute later. First scale after 17 min and .5 MA. Man, really struggled up there to give me my fill and has now pulled back to entry almost. 40 min in market hanging around my entry, doesnt feel like buyers will come through with the stick save today. Took 4 ticks on 2nd scale after it went to my exit but no fill and I watched it fall all the way back down and I just took it off to finish green and end my losing streak. Terrible trade management.

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Recap
ES opened OAIR and pushed to the ONHI and failed then auctioned lower steadily but slowly all day long. Value shifted overlapping lower while vpoc moved down 8 pts. Price closed on the lows. Volume of 1.3 mill is just about the same as yesterday. Profile is kind of b-shaped. On the daily chart we have an inside day with a close on the lows- its been awhile since we have had a close on the low. This makes 7 days of balance now and sets up a possibility of a probe and possible breakout lower tomorrow. I expect to see the ES continue to sell off overnight and open tomorrow around 1675-1670.

Well I finished green today so that is something. First trade was good but I dug my own grave by only giving myself a 4 tick stop. Would have been a full winner. From there only other trade and it was ok but against the run of play and my management was horrible- Im at least thankful I took the second one off for a winner instead of letting it stop me out at the low. Selling vwap was the money play all day. Tomorrow is another day and hopefully its a good one.

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  #580 (permalink)
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8-15 pre-market


Economic data: claims, CPI, empire, philly fed, housing

ON Profile: ES has a 16.5 pt range so far on heavy volume of 269k. The hi is right around yesterdays VAL while the low so far is currently 2 ticks below the 1666.75 CLVN. Profile shape is fugly with vpoc currently at 1672.5.

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Ok so the ES sold off post-market as I expected but even further than I thought to be honest. What happens now? We have a gap down from a 7 day balance on heavy volume. Will buyers gobble this up and take it back to test the balance low? Will sellers continue to slap this? Will we just balance around here? I will be trying to lean on the short side, though I am currently in a long as I write this. If it can get up to the 1675 (mondays pre-market low) area I view that as an attractive selling point. If sellers wack it from the get go, obviously try and hop on with 1648.5 (top of prior balance area) looking like an attractive destination. This gap down is so large that it would seem like buyers will make a few pushes somewhere. Longer time frames are very bullish, shortest time frame is bearish.

Levels Above: 1670.25 CHVN/lo*, 1675.25 mon low**, 1681 pLo***

Levels Below: 1666.25 ONLO/CLVN*, 1664.5 nvpoc*, 1660.5 lo, 1658.25 CHVN**, 1655 CLVN, 1653.25 BAH hi, 1648.5 ledge***

Hypo#1- ES opens OAOR and responsive buyers make first push up to 1675 where sellers enter and wack it down to possibly 1648.5.

Hypo#2- ES opens OAOR and pushes to ONLO or 1664.5 nvpoc and fails where buyers enter and grind higher thru the day but fail at 1681.

Hypo#3- ES opens OD down, get on!

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