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DTs Pre Market Prep
Started:May 28th, 2013 (09:53 AM) by DionysusToast Views / Replies:131,656 / 918
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DTs Pre Market Prep

Old October 8th, 2013, 06:04 AM   #121 (permalink)
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8th October

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Still in a range but very slowly working our way down but only just - we've made 2 ticks below last weeks low so far but we are making smaller and smaller moves up. I still have my eye on a break of 1660.

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Yesterday we were looking for upside if we could move into last weeks value area and hold it. Then we needed to go into Fridays value area and hold that. We managed to hold the weekly Value low but not the daily one and then in the Globex session, we fell back out of last weeks value area to the downside.

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The daily profiles shows that this Globex session so far (5AM EST) is quite bearish. We often get an initial move up on a down globex session but I'm not confident.

I have no real opinion either way. I think we will continue ranging but we could still be doing that AND making lower lows so we could quite easily push down some more off the open before returning back into range. I'll be seeing how good a job we do of holding yesterdays range and then value area but also wary of any drop down through 1660.

And of course, we still have the news risk.

Weekly Numbers
Range 1663.00 -> 1692.25
Value 1671.25 -> 1683.25
S1 - 1668, R1 - 1697

Daily Numbers
Range 1666.50/1667 -> 1679.50
Value 1673.00 -> 1678.50
Globex 1662.75 -> 1670.75 (5AM EST)

Other : 1642, 1660.25, 1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75

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Old October 9th, 2013, 05:57 AM   #122 (permalink)
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9th October

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The last time the VIX spiked up to these levels in June, we lost about 60% of the liquidity on the index futures & interest rate futures and we saw a lot of volatility. Something to be aware of. If the first 3-4 levels on the DOM are in the 600-700's - it's going to get swingy.

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We dropped through the 1660 level yesterday and came not far from our next level down at 1642. Below that, I'll be looking for 1618 but do also bear in mind last months low of 1624.24 for the longer term traders.

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Above us, I think we can look at the breakdown point/last weeks low around 1663-1664 as providing resistance if the move down is to be sustained.

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That breakdown point is quite clear on the weekly profile and we can see we are starting to build value in the mid 50's which we could possibly rotate around and stay in this area for a while. A more aggressive short would be at the top of that area, around 58, if it fails to get above this area.

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Same thing on the volume profile too.

So for me - look for a bounce down off either this lower distribution on the weekly profile OR off the breakdown point 63-64. Upside is possible and it is possible we'll make up all the ground we lost yesterday but for longs, I really want to see a LOT of participation/delta because I think longs will be a lot more nervous than shorts and easy to shake out.

Eyes on the DOM to see if the liquidity has gone too.

Weekly Numbers
Range 1646.00 -> 1679.50
Value 1657.00 -> 1679.50
S1 - 1668, R1 - 1697

Daily Numbers
Range 1648.25 -> 1671.25
Value 1648.75 -> 1660.75
Globex 1646 -> 1657.50 (5AM EST)

Other : 1618.25, 1624.25, 1642, 1658, 1660.25, 1663-4,1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75

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Old October 9th, 2013, 11:57 AM   #123 (permalink)
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9th October

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The last time the VIX spiked up to these levels in June, we lost about 60% of the liquidity on the index futures & interest rate futures and we saw a lot of volatility. Something to be aware of. If the first 3-4 levels on the DOM are in the 600-700's - it's going to get swingy.


ugggggghhhhh - could be worse - but still pretty crappy

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Old October 10th, 2013, 07:51 AM   #124 (permalink)
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10th October

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We managed to poke down through the 1642 area to hit 1640 and then reverse up. We broke down thru the 1663 on the move down and we have poked up through that in the Globex session. The first order of the day in the pit session will be to see if we can hold above that.

Yesterday we traded 2.5 million contracts. At the time of taking this screen shot, we have 159k contracts traded in this overnight move up - so it's not as if there's a ton of longs that will defend this move up. I'm still not totally discounting a continuation down to 1620.

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The VIX came off a little yesterday, so let's see if some of the liquidity comes back. Looking at the Globex, it sure does look illiquid so far.

The Globex session has a relatively large range and popped through the single print at 1659.25 on Monday below that is yesterdays high at 1656.75. Overnight inventory is overwhelmingly long and that can cause an initial move down off the open. If we open around the current levels (1664), it's probably a bit much to expect the 1663 area to hold on an initial sell off. More likely it'll be yesterdays high or yesterdays value high. If we start working through yesterdays value area, then I think bears will step in again.

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We can see 3 distributions on the weekly profile. We are just sitting below the upper one. That's effectively 2 value areas with a rough estimate of 1648.00 -> 1657.25 for the lower one and 1666 -> 1677 if we group the 2 upper ones. The area we are in right now has been relatively thin and so I expect us to get to one of these areas fairly quickly and then for it to move slowly to the opposite end of value for that distribution.

Weekly Numbers
Range 1640.00 -> 1679.50
Value 1648.00-> 1657.25 (lower), 1666 -> 1677 (upper)
S1 - 1668, R1 - 1697


Daily Numbers

Range 1640.00 -> 1656.75 (pit)/1658.25 (globex)
Value 1645.50 -> 1654.00
Globex 1647.75 -> 1665.75 (6:45 EST)

Other : 1618.25, 1624.25, 1642, 1658, 1660.25, 1663-4,1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75

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Old October 11th, 2013, 07:45 AM   #125 (permalink)
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11th October


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So just a run-of-the-mill, ordinary day yesterday then! Today, we obviously need to be on the lookout for paring back some of yesterdays range and try to figure out at what point we can say that is happening. We also need to look above to where the lines in the sand are for the upside.

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We seem to have stalled at the 88.50 level. Based on what we see on the left, there will probably be a grind up to 1700 and be a little faster above that. To the downside, we can see we also have a level of 84 which has held for the past few hours and below that we have 1701.50 which is a line in the sand to the downside.

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Most of the overnight action has been above yesterdays value high of 1681.25 but on a trend day value areas tend to be a little less meaningful. We do have a single print at 80.50 to watch and I think that below that we have to be looking at the globex low 1673 and then yesterdays pit session low.

Weekly Numbers
Range 1640.00 -> 1689.00
Value 1656 -> 1687.75
S1 - 1668, R1 - 1697


Daily Numbers
Range 1647.50 (pit)/1667.25 -> 1687.75
Value 1670.75-> 1681.25
Single print 1680.50
Globex 1673 -> 1689 (6:45 EST)

Other : 1618.25, 1624.25, 1642, 1658, 1660.25, 1663-4,1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75

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Old October 15th, 2013, 07:35 AM   #126 (permalink)
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15th October

The shutdown continues to expand. Today my father arrived in Bangkok from the UK. The speaker of the house (my wife) decided that my trading operation would be shutdown until the 29th October. She also changed the rules just before this occurred which suspend my own ability to call a vote (ok - she bribed the kids to vote her way).

So - holidays for me, back to it in a few weeks.

Good trading.

Pete

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Old November 7th, 2013, 06:32 AM   #127 (permalink)
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7th November

Back from vacation which got extended due to a family member coming down with pneumonia and ending up in hospital. All fixed now and had a second vacation to make up for the first!

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We've had a good move up and now the market is moving sideways. My first thought when this happens is to fade the ranges. That this is rotation around value and that probability favors a continuation upwards.

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Looking at the bigger picture though and the way we have pushed up and retraced previously, it would be reasonable to expect a decent pullback before moving up.

For the time being then, I'll be happy to fade the extremes but with a close eye on any breaks to the downside. 1750 is a significant number but it doesn't look like prior breaks spooked people too much. To me the 1735 area looks most significant for a rush to the doors but I will be watching how we react at 1750.

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The weekly profile is interesting. We have a value area which contains 2 distributions. We could therefore see it reverse off the 1761 area as opposed to making it down to the opposite end of the value area. In terms of the upside, it could go up to a new high but right now that's something I'd play by ear as we haven't traded much there yet. A break of the weeks high could cause a run for the all time high but I'm not so bothered about playing that.

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Zooming into the daily profiles we can see the globex session could not get through the 1761 area, backing up what the weekly profile is telling us. Other than that we look set to open in yesterdays value area. It is only 5:30am EST here and we do have unemployment numbers at 8:30am EST and so that could shake things up before the open.

Weekly Numbers
Range - 1750.50 -> 1770.00
Value - 1758.00 -> 1765.50
S1 - 1744.25, R1 - 1767.75

Daily Numbers
Range - 1755.75 (pit)/1760 -> 1770
Value - 1760 -> 1770
Globex (5:30am) 1761.75 -> 1766.75

Other - 1773.50, 1764, 1761, 1750, 1742.75, 1734.50

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Old November 8th, 2013, 06:38 AM   #128 (permalink)
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8th November

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Yesterday we took a bounce just short of the 1750 line before moving through to the next level below at 1742.25. We took a small pop up from that level into the close. The Globex session has held that level so far and looking at the chart, I think it's fair to say we are still moving sideways overall. If we look at the next level down, 1734.50, if that breaks, we have a good chance of a nice move down - to 1712.75.

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The daily profiles don't show much additional information, other than the fact the bottom has held and we are back in yesterdays value range.

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Similarly, the weekly profile isn't telling us much either, we do have a small lower distribution around 1748 and it is possible we rotate around that.

So today, watch yesterdays low and then if we break it watch for 34.50. If that breaks, we should see some acceleration.

To the upside, there's always a chance of making up a lot of ground after a day like yesterday. We are in a trading range and if that range represents 'value' then prices at this level may be considered cheap. Quite often these 'snaps back' will play out with an initial test of a reference (yesterdays low/value low) which then sees buyers jump in. There's no real need to buy yesterdays low or value low but if it hits one of those points and then we see a move up with significant volume (50k+) and delta (10k+), then a pullback is a good 'second entry'.

Zooming into the daily profiles we can see the globex session could not get through the 1761 area, backing up what the weekly profile is telling us. Other than that we look set to open in yesterdays value area. It is only 5:30am EST here and we do have unemployment numbers at 8:30am EST and so that could shake things up before the open.

Weekly Numbers
Range - 1742.25 -> 1774.50
Value - 1756.50 -> 1766.50
S1 - 1744.25, R1 - 1767.75

Daily Numbers
Range - 1742.25 -> 1771.50 (pit)/1774.50 (globex)
Value - 1746.75 -> 1761.75
Globex (5:30am) 1742.50-> 1751

Other - 1773.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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Old November 11th, 2013, 09:19 AM   #129 (permalink)
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11th November

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So Friday did make up a lot of the ground we lost on Thursday as per one of our scenarios in Thursdays prep.The Depth was really low at times on Friday - in the 500-800 range, many levels below a thousand for a lot of the time. Not all the time but plenty of it. We had 2.4 million contracts trade Thursday and just over 2 million on Friday which is on the high side compared to trading since July. Not much to read into it as both down and up moves had relatively higher volume.

So I think this puts our range at about 1734.50-> 1773.50. About 40 points and a decent range if we stay in it for a while. So as we are at 1768.50 as I write this, we are close enough to the top of the range to think about a move back down. This could happen off the open or we could pop through the top first.

Anyway - today is a Veterans day. Some markets are closed but Wall St is open. I'll stay on for the open but if it stays dull, I'll call it for the day.

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Friday Pit and the following Globex session looks like a mirror image of Thursday pit & following Globex. I'm pretty neutral right now and don't have much to say about it. Of course, a bounce off a major reference point could have people coming in, especially if it's close to the open.

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Last weeks profile shows we are set to open within it. If I had to have a preference based on this, I'd say a move back to value - to 1754 was on the cards. We are close to the top of the range but whether it pokes up and fails or moves straight down to confirm the range is a coin toss for me.

Weekly Numbers
Range - 1736.50 -> 1774.50
Value - 1754.50 -> 1767
S1 - 1748.25, R1 - 1777.50

Daily Numbers
Range - 1736.50 (globex)/1743.25(pit)-> 1768
Value - 1753.75 -> 1767.25
Globex (8:15am) 1762.75> 1768.75

Other - 1773.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

Keep your eye on both the volume and the depth today. Could be choppy if volume is low BUT could be whippy if depth is low again.

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Old November 12th, 2013, 08:39 AM   #130 (permalink)
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12th November

Well, yesterday was a low volume day. Less than a million contracts traded. That was expected with the holiday but it does mean that yesterdays highs/lows/value area are a bit less meaningful.

On the open, keep an eye out for the depth again, it's been going down as low as 500-700 on the first 3 levels which means increased volatility.

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We are still pretty much where we were yesterday, a range at about 1734.50-> 1773.50 with us close to the top. My first scenario is a move to (or poke through) an upside reference and then start winding our way back down.

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It looks like a drop through 62.75 will see acceleration downside. For upside scenarios, we are 10 points from the all time high as of writing. We could quite easily get back there today, especially if the 62.75 area holds. I just don't have an opinion regarding any move above that or rather, I favor a failure at the highs and if it doesn't fail, I don't really have any targets above. Last time through the highs, we poked through just a small amount so there weren't buyers up there then. I am not sure why there would be now unless for some reason shorts panic and stop out. Again, I'm not sure why they would.

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We are within last weeks range and as of writing are back within last weeks value area. One upside reference to watch is last weeks value high.

Being within Fridays value , yesterdays range and last weeks value isn't a good sign for a break out, more a sign we go to the other end of value.

Weekly Numbers
Range - 1736.50 -> 1774.50
Value - 1754.50 -> 1767
S1 - 1748.25, R1 - 1777.50

Daily Numbers
Range - 1762.75/1765 -> 1770.25
Value - 1767 -> 1769
Globex 1762.75> 1769.75

Other - 1773.50, 1764, 1761, 1762.75,1750, 1742.75, 1734.50, 1725.75, 1712.75

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