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DTs Pre Market Prep


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Updated January 7th 2019 by Jigsaw Trading
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DTs Pre Market Prep

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  #1181 (permalink)
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28th Feb

Excuse lack of prep yesterday - my baby had a mishap...



Some dude in his bosses pick up with "extra wide" wheels on it decided to overtake on the inside and turn in before he'd gone past me.... so that's a front bumper, rear bumper, trunk door this has had since I had it & now a new passenger side door... Bangkok driving... think Mad Max but without driving licenses...



Volume was higher yesterday and we had a 50 point range. I wasn't watching the market, so I can't say much about the sweeps - but I will be on the lookout today.



An elongated profile, which effectively tells us not much - or rather there's no areas this week that we've liked to trade around.



A big down day but really just retracing the Sunday/Monday move. So as usual after a big down day, be prepared for a snap back up. If we manage to push down again, I think we could get to 2680 very quickly.

Plan
- eyes on liquidity/volatility again
- looking for breaks of the overnight low, if so - looking to play a momentum move - potential to get to 2680.
- Upside, also looking to see what happens above the overnight high
- apart from that, I don't have any levels of interest - so a wait & see day.

Weekly Numbers
Range - 2638.50 -> 2789.75
Value - 2753 -> 2785.50

Daily Numbers
Range - 2743.50 -> 2789.75
Value - 2756 -> 2778.50
Globex - 2738.50 -> 2754.75

Settlement 2747.50

Long Term Levels - 2401.25, 2480.75, 2510, 2556.50, 2596.50, 2673.25, 2698.25, 2810

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  #1182 (permalink)
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1st March



Another wild day. As per yesterday, we were looking for breaks of the overnight range. The break above didn't have much follow through. On the first push down to the overnight low, we got a healthy 20 point pop to the upside and on the next attempt, the market broke down and we had a fast run to the downside



Not reading too much into this - we can see not much has tread between 22 and 38, so cautious (or optimistic) if 22 breaks to the upside.



You can see the nice run when the overnight low broke. Going into today - if you look at the first image above you can see that some people will be looking at this market as channeling up. So there's good reason to expect participation from speculators if that is confirmed or broken. Looking left it's chop, so we might be marking out a range overall.

Plan
- No clear direction or bias
- Good arguments for longs and shorts
- Will let the action develop and wait for some momentum to jump on
- We have been settling into early ranges and breaking out later in the day - so bear that in mind

Weekly Numbers
Range - 2703 -> 2789.74
Value - 2742 -> 2780.50


Daily Numbers

Range - 2712.50 -> 2762
Value - 2740.50 -> 2761
Globex - 2703-> 2722.50

Settlement 2714.50

Long Term Levels - 2401.25, 2480.75, 2510, 2556.50, 2596.50, 2673.25, 2698.25, 2810

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  #1183 (permalink)
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2nd March



Not sure if you know the movie "Perfect Storm". In it - 2 handsome and buff sailors take their crew out fishing where no man should sail. They get caught in a terrible storm. At the end, the sun rises and their boat reaches flat waters - then suddenly the storm returns and of course, they all die (in reverse order of handsomeness).

Anyway - it reminds me of this market. For 4-5 days there the waters calmed down but it looks like the storm is back.

So we have to stop trading the market like a game of chess and start trading it like whack-a-mole again.

So a wait & see day. Yesterday it was sweeping 7-8 ticks at a time. There is opportunity for a snap-back after the sweeps - so watch that. Otherwise, it's looking to try and take advantage of momentum that forms.

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  #1184 (permalink)
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6th March



Still highly volatile so, still in a "prep off" scenario. We are in the middle of the range now and we do seem to like trading over this area many times.

In addition to this, we have been churning around a volume area early on. Not every day but enough for it to be worth on the lookout for....

Plan
- look for ranges to form (on the volume profile) after the opening moves. Look to fade the extremes.
- watch the breaks for headfakes and for more ranges to form after the break

Thinking is that if this continues, we do have opportunity at the extremes of those short term ranges. I'll try to get some screenshots for tomorrow based on today's ranges that form - if the behavior persists.

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  #1185 (permalink)
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7th March



A gap down today and into the rollover tomorrow. Range wasn't huge yesterday. There's a lot of chop to the left, so it's hard to judge direction.



Yesterday, we mentioned the ranges that have been forming. Even though we've had large overall daily , we've had a tendency to get stuck in smaller ranges close to the open and rotate around them for a while.

This screen shot is a good example of that. You can see the purple range (bulge) on the volume profile & above that, a smaller green. We opened up above, rotated a little then dropped down to 19.75. On the way up, from a chart perspective then 27.25 isn't that significant. From an intraday profile perspective it is.

So this bulge in the profile is an area we often rotate around. It's been doing it a lot in the past few days. As positions build there, that gives us the energy to generate the larger move later in the day when it breaks.

You don't want to be fading the extreme on the 7th hit in my opinion but early on it's a good spot and you find out you are right or wrong fairly early on.

Anyway - this seems to be in play right now (as mentioned in yesterdays prep), so keep your eyes out for it.

That's my plan for today. Then tomorrow the roll and a day off...

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  #1186 (permalink)
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8th March



This is interesting. Market is coiling into a relatively small range. We are also rolling over today.

From an order flow perspective the rollover is problematic. A lot of trades are executing that are non-directional - just closing out long term positions on one contract and opening them on another. So you might see a lot of selling at a price and the market moves up - you think "those sellers are stuck" - but they aren't - they are long in June!

Still - there can be directional, fairly easy to read days on the roll, so you have to just watch it.

The other issue with the roll - it tends to take longer nowadays, used to be that by Thursday afternoon all the volume would be in the new contract but it can take a few days for that to happen now. The roll date isn't a 'must do' date.

Then there's this range narrowing - with the volatility we've had of late, I'd say there's a good chance of a violent break from this decreasing range at some point.

So all in all, a market that may be a little harder to read today with a good chance of taking people out when this tightening range breaks.

Definitely a day to be careful or have the day off.

Plan
- Look for ranges to fade but hyper aware of any action that looks like a break
- If we do see a high volume one-way move, it's got a good chance of being extended, so ready to scale in

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  #1187 (permalink)
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9th March



Roll still incomplete with more volume still in March than June.

That plus the volume is almost the same on the 2 contracts.

That's a non-trading day for me. There's too much noise from the roll in my opinion.

Have a good weekend!

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12th March



June is now leader in terms of volume but there's still a lot of volume in March. As of writing 83k in June and 74k in March. So there's still a lot of rolling by the look of it.

Volume was low according to the chart - but this is the continuous contract and so volume is split between contracts and this shows just one of them.

We are still playing the volatility game, although as June is now volume leader, it'll be interesting to see if the market is more liquid.

We have just pushed up past the 2790 level that held on the 27th & 28th Feb, so this is a decision point. If we start to move down again, we could see a nice sell of and I'll be looking to scale into that. On the other hand we are pretty close to the highs. It would 'feel' odd to have a run to the highs after the doom & gloom in the press over the past month - but I'm quite happy to jump on any up moves, I just feel a bit more nervous about it. Or rather, I think everyone will be nervous about a run to the highs, so I'll proceed with caution in that direction.

Plan
- looking for an early trade (especially given the slower starts and later moves we've been seeing)
- then simply looking to jump on developing momentum, scaling into a position

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DionysusToast View Post
12th March
June is now leader in terms of volume but there's still a lot of volume in March. As of writing 83k in June and 74k in March. So there's still a lot of rolling by the look of it.

Cme confirms: according to their estimates, only 33% of ES open interest rolled until Friday - 7% below average.

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Psy24X View Post
Cme confirms: according to their estimates, only 33% of ES open interest rolled until Friday - 7% below average.

It's like they are playing "Futures Chicken"....

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