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DTs Pre Market Prep

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10th September



Finally!!! We got our range extension. We were looking for 1671.50 and we got 1671.75 in yesterdays pit session.

So, now we need to go on to threaten the highs again or roll back and extend the range to the downside. Obviously, the market will only repeat this behaviour so many times. This is a slow news day, so we might not see too much at all, unless someone stirs the pot in Syria again.



As you can see, the market has done a good impression of a market that will carry on, each time we extended the range to the upside & downside. We can see that there was some consolidation aruond 1671 line before moving out but a lot of this has been overnight action. Traders will be looking for this area to hold when the pit session starts today. Above that we have hurdles at 1686, 1696 and 1705.



Most of the overnight action has been above the close and that might cause a move down off the open. We can see that the value high from yesterday 1669 has been support and is a key line in the sand as we open today. Yesterday was a double-distribution day and there is a single at 1667.25 which is also a line in the sand. If that breaks, we would be looking at yesterdays pit low of 1658.25 as a target.



The week is also showing 2 distinct distributions and again, we have that single at 1667.25 as a line in the sand on the weekly chart. Value is misleading as we have those 2 distributions. Rather than looking at value, look at it as staying above the top distribution or going to visit the one below.

Weekly Numbers
Range 1652 -> 1677.25
Value 1654.75 -> 1669.75
S1 - 1634.75, R1 - 1668

Daily Numbers
Range 1652/1658.25 -> 1671.75
Value 1660 -> 1669
Globex 1669 -> 1677.25 (as at 4:30am EST)

Other : 1593.74, 1500, 1617.50,1624.75, 1631.25-.50, 1634.25, 1641.00, 1647.00, 1650, 1657-1658,1666.25-1667.50, 1671.50, 1686, 1696, 1705

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11th September



I think we can say that we are well past any expectations for range extension based on the way this range has extended previously, so I am looking at taking this 'expanding range' prospect off the table. If we do turn down, I see the 1667.75 area as a major line in the sand for the longs and would expect at least a bounce off that if we turn down.



If we look inside the box, we can see the market has been over this area many times and as such our expectation should be that it will be choppy working to the upside of it (1695.75). We also have a level in the middle at 1685.75 to watch our for.



The profile shows the consolidation yesterday and in the Globex session. The Eurex morning session was really slow today and it's a slow news week until tomorrow. So combine the lack of news, waiting for employment numbers tomorrow and previous action in this range and I'd say it's decent probability that we will have rangebound behavior off the open.



The weekly profile shows we have 3 distributions and we are in the top one right now with a 1675.75 as the low of the distribution and a single print at 1674. Both of these are lines in sand and longs will not want to go below these areas.

Weekly Numbers
Range 1652 -> 1684.00
Value 1662.75 -> 1683.75
S1 - 1634.75, R1 - 1668

Daily Numbers
Range 1669/1676.75 -> 1683.25
Value 1679.25 -> 1682.25
Globex 1679.75-> 1684.00

Other : 1593.74, 1500, 1617.50,1624.75, 1631.25-.50, 1634.25, 1641.00, 1647.00, 1650, 1657-1658,1666.25-1667.50, 1674-1675.75, 1686, 1696, 1705

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12th September

No trading or prep from me today as it's rollover day.

As an order flow trader, trading when there's a lot of positions moving from one contract to another would be quite confusing!

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13th September



We have now rolled, overnight it's been just over half of the volume in the December. There's still a fair amount of activity in the September contract overnight, so there's still going to be contracts rolling today. We can see we still have upside momentum and a run through the highs - 1705 - looks likely.



There's a gap down on the chart but this is a continuous chart and so it's just an effect of the roll from one contract to the next. So I'm not reading anything into that. As per Wednesdays prep, if we look to the left, we can see there's been a lot of rangebound behavior at these prices in the past few months.



This is the profile for the December contract. We've poked above Wednesdays high but mostly we've stayed in Wednesdays range and so we'll be looking at 1671.25 to the downside as potential support for a move up.



The December weekly profile shows the three distributions and value for the week is in the upper distribution.

So we are moving up, there's still some rolling to do, we do have some news today and that could spark the market into action. On the other hand, it's possible we just range again today being at this level & with the remaining rolling to be done. Still, I'm more keen to take a long off a support level right now.

Weekly Numbers
Range 1645.75 -> 1684
Value 1670 -> 1683
S1 - 1634.75, R1 - 1668

Daily Numbers
Range 1674.75 -> 1683.25/1684
Value 1677 -> 1681.50
Globex 1674 -> 1680.75

Other : 1593.74, 1500, 1617.50,1624.75, 1631.25-.50, 1634.25, 1641.00, 1647.00, 1650, 1657-1658,1666.25, 1671.25, 1686, 1690.75, 1696, 1705

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16th September

We gapped up in the Globex Session and made new all time highs sort of.

If you look at the December contract, we can see this:



A big gap up and through the 'all time highs' in the December contract that the same time we made the 1705 high in the September contract.

Of course, on the continuous contract (depending on how you have it set up). You see this:



So we didn't hit the all time high yet. I don't think there's a right answer to this but I'm sticking with 1705 as the all time high and looking for us to break that today and for that to cause a bit of irrational exuberance. I'll be looking for the low of the globex to act as support and below that the 1690.50 level.

In terms of profiles, there's not much to see.



We have gapped so far above last weeks range, that we can't really get any numbers from it apart from the high of the December contract last week is 1684 as opposed to the 1690.50 level on the continuous chart.

So for me, play it by ear but with an upside bias as long as we don't seriously go into the gap. Let the action build over the next few days for more clarity.

Weekly Numbers (Dec Contract)
Range 1645.75-> 1684.00
Value 1671.50 -> 1683.00

Daily Numbers
Range 1674/1675 -> 1682.25
Value 1678.50 -> 1681.50
Globex 1697.50 -> 1702.50

Other : 1671.25, 1684-1686, 1690.50->75, 1696, 1705

Watch the DOM off the open. There is a chance that today ends up really narrow range after this move up. If the DOM is really thick and lots of contracts trading each level, be wary of playing continuations.

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17th September

We came 1.5 points shy of the all time high of 1705 yesterday and we could not sustain it. I'm not going to show the continuous charts today as they will be confusing, I need to roll them over before putting them back up.



We can see that we had the gap up on Sundays globex session, then yesterday we had a modest drop. Todays Globex has not yet managed to get through yesterdays low.

There's a theory that says markets can get too long. That if there's too many people long, those people are going to sell out at good prices and that stops us from moving up. So I'm not going to get too bearish about yesterday at this point as it wasn't a huge sell off. Perhaps now there aren't so many sell orders above after yesterday and this might be what we need for a push up. Of course, if we do push down through yesterdays low more than 6-9 ticks, I will get a bit more bullish. We are back up in yesterdays value area right now after trading below it most of the globex session.



We can see last weeks December contract high here and so we still haven't closed the gap yet.

So I'm thinking we may have just shaken out some longs yesterday and that there's less resistance overhead but I am of course wary of us breaking down through yesterdays low.

Weekly Numbers (Dec Contract)
Range 1645.75-> 1684.00
Value 1671.50 -> 1683.00

Daily Numbers
Range 1688.00 -> 1700.50/1703.50
Value 1691 -> 1697.50
Globex 1687.75 -> 1692.75

Other : 1671.25, 1684-1686, 1690.50->75, 1696, 1705

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18th September



Early prep today (5:30 am EST). The European session was slow today but that's to be expected on FOMC day. As discussed, the Monday move down was probably down to having some longs that needed to get shaken out and we made some ground back yesterday. Not much though but then it's FOMC today.

I've now moved to the back-adjusted continuous contract for Dec-13. You can see that 03.50 is the all time high on this adjusted chart but we still have an eye on the Sept-13 high of 1705.



We haven't closed the gap and the low point since the gap up 1687.75 is still a line in the sand.



Not really much to pick up from the weekly profile. We are in a small range this week and we'll probably stay in that before FOMC unless we have a big shock with building permits at 8:30am EST. I'll be looking in at the open but if it's really slow I'll stop at 10:30am EST as I don't trade the afternoons. Ideally the AM would rotate around a 4-5 point tradeable range.

Weekly Numbers (Dec Contract)
Range 1687.75-> 1703.75
Value 1691.25 -> 1701.75

Daily Numbers
Range 1687.75/1692 ->1699.25
Value 1696 -> 1698.50
Globex 1698 -> 1701.50 (5:30am EST)

Other : 1671.50, 1684, 1688.25, 1698.75, 1705

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19th September

Thank heavens for the Fed, keeping us all dry.



Not that I want to be the first to call the bursting of this bubble...



So no taper and we've moved up a fair amount off the back of that news but surely that will not be the end of it, so whilst Syria is quiet, we do have additional news risk over the next few days. Increased likelyhood of "flip flopping".



We effectively broke out from the 1703.75 area, so that's a line in the sand, bulls will want to keep it above there and we have a level above that at 1705 and below at 1688.50.



There's not much more to glean from the pofiles. Value areas on extended days like yesterday are fairly meaningless. Overnight inventory at the time of writing (5pm EST) is slightly long which could cause an initial push down. In fact, just the crazy action since the 10th September with the market making big gaps up is cause for concern for the upside. This doesn't mean we have to go down but we do need to build volume up here to firm up these prices.



We have 2 distinct distributions, the top one is mostly showing todays Globex session, but we can see 1716.25 as a the low of that distribution and it's worth taking not of as we may halt there. Worthy of note is that value did not move up at all yesterday. That needs to happen to sustain these prices.

So we have some levels to play off. We do have overnight inventory long and if it does move down off the open, I'll not be trying to catch the knife on this one. These prices feel somewhat lofty, so I think it's just a matter of being conservative if you are long. You can't discount the long side at all because this market has been going one way so long off the Feds easing.

Weekly Numbers (Dec Contract)
Range 1687.75-> 1726.75
Value 1689.25 -> 1701.75

Daily Numbers
Range 1693.25 -> 1726.75
Value BEST IGNORED TODAY
Globex 1717.50 -> 1726.75

Other : 1671.50, 1684, 1688.50, 1698.75, 1704 (single), 1705, 1716.25

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20th September

Options & Futures expiring today, which typically causes volatility late in the day. No real news to speak of though.



We had 1716.25 as a line in the sand related to the weeks upper distribution, we did break that and there was acceleration when it went through but we got 3 points down and buyers jumped in. Whilst they didn't manage to push it back up we have held above there and the 1713.25 is now a line in the sand for today.

The weekly profile shows this better:



We clearly have 2 distributions of activity - and so the value area across that is somewhat meaningless. So I'm looking at 1713.25 -> 1724 as a rough estimate of value. If we break below 1713.25, there's not much to stop it going down to that lower distribution and the single print is a good target. So if we break 13.25, I wouldn't certainly want to be scaled out a large portion of a short by 1704 as that could be as low as we go.



The daily profile doesn't show much more than the overnight inventory is short and is that remains the case over the next 4 hours (it's 5:30am EST here), then we could have an initial adjustment up off the open. We are still in yesterdays value area though so effectively nothing is changed overnight at this point.

Weekly Numbers
Range 1687.75-> 1726.75
Value 1687.75 -> 1715.75

Daily Numbers
Range 1713.25 -> 1723.75 (pit) /1726.75 (globex)
Value 1714.50 -> 1719.50
Globex 1714.25 -> 1717.50

Other : 1671.50, 1684, 1688.50, 1698.75, 1704 (single), 1705, 1716.25, 1724

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23rd September

Let's start off with the weekly profile today.This is where we were going into Friday:



"We clearly have 2 distributions of activity - and so the value area across that is somewhat meaningless. So I'm looking at 1713.25 -> 1724 as a rough estimate of value. If we break below 1713.25, there's not much to stop it going down to that lower distribution and the single print is a good target."

We did see the move down accelerate as we broke 1713.25 and as it turned out, we actually got through the single print to the downside. Now we are here:



So we are between the 2 distributions, so I'll be looking to see which one we move back to in order to try and figure out where might be going next.



We have 'resolved' or 'repaired' the gap up from last Sunday but we still have a gap below down at 1685 and it is possible we need to revisit that before moving up. Anyway Friday was a good example of how quickly we move through areas where not much trading has occurred.



Not really much additional info on the daily profiles, we can see the Globex so far has just gone a tick through Fridays low and that overnight inventory is mostly long. That does put the prospect of an initial adjustment downwards on the cards.

Weekly Numbers
Range - 1687.75 -> 1726.75
Value lower distribution 1688 -> 1701.75 (approx)
Value upper distriution 1713.24 -> 1724
S1 - 1696. R1 - 1714

Daily Numbers
Range 1701.25 -> 1719.25
Value 1701.50 -> 1712.50
Globex (5:45 AM EST) 1701 -> 1707.50

Other : 1671.50, 1684, 1688.50, 1698.75, 1704 (single), 1705, 1712.75

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24th September



Yesterday we were looking to see if the days action followed the lower or higher distribution from last week and we definitely chose the bottom and took a look down almost to the 1688 level. We still have that area in play not and yesterdays value high/low ended up marking out the approximate value area for the lower distribution marked out yesterday.

That means that the 1688 level is a stronger line in the sand and that we might see some momentum if we break it. Conversely if we stay in this area it'll probably be quite slow.



We also have an unfilled gap below us, so whilst we have stalled short of the 1688.50 level, the gap fill only takes us down to 84, and I figure it will do that rapidly if 88 breaks. Below that we have not much till 71.50 the way I look at things. On the other hand, if we move up from here, we could start ranging between 1690->1730 for a few weeks which would be nice.



Not much to say from the daily profile. The overnight range is mostly below the close, below yesterdays value but within yesterdays range. So nothing has changed and that could mean a slow day. As we are mostly short overnight AND below value, look for an initial move up.

Weekly Numbers
Range - 1687.75 -> 1726.75
Value lower distribution 1688 -> 1701.75 (approx)
Value upper distriution 1713.24 -> 1724
S1 - 1696. R1 - 1714

Daily Numbers
Range 1689.50 -> 1702.25(pit)/1707.50 Globex
Value 1693 -> 1697.50
Globex 1689.50 -> 1694

Other : 1671.50, 1684, 1688.50, 1698.75, 1704 (single), 1705, 1712.75

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25th September



Same situation as yesterday. We are still in the lower distribution from last week and we still have a gap to fill. Monday and Tuesday pit sessions were almost the same range and Tuesday and todays Globex are about the same range too.

We do seem to be attracted to the this gap but breaking into it doesn't seem to be much of an event even though it is a line in the sand. If we keep ticking through it to the downside, we'll fill it in small increments. For now, it is acting as resistance.



Overnight inventory is below yesterdays close and below yesterdays value so an adjustment up off the open is probable. We have news at 10:00am with new home sales, so it may be sluggish going into that.



This weeks profile shows us in a fairly tight range but it's not been too bad intraday. We need to break 1702 to the upside or make a real break into the gap for an accelerated move in my opinion. In this area it'll be fairly slow but we are still seeing decent intraday range. I'll be looking to fade the extremes today if the news doesn't speed things up a bit.


Weekly Numbers
Range - 1687.75 -> 1707.50
Value - 1689.2 -> 1698.75
S1 - 1696. R1 - 1714

Daily Numbers
Range 1687.50 -> 1701
Value 1692.50 -> 1700
Globex 1687.25 -> 1693.50

Other : 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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26th September



The gap filled with somewhat of a fizzle. Certainly there was no real acceleration into the gap, it just sort of worked it's way down through it one nudge at a time.

Also, as a trader friend (thanks Ron) mentioned today, it took 5 days to take back the gains of just 2 days.

So today, I think we have to keep an eye on the upside. We are at a line in the sand and there's not much below us till 71.50 (although we have previously churned between here and there, so that won't be pretty action). We may well be done and on the way back up to the highs. That would leave us with a 40+ point range to rotate around 1684 - 1727.



To counter the prospect of upside from here, value has been working downwards over the past 5 days. As of writing (4:30am EST), Globex has stayed in yesterdays range which is in line with the past few days. It may be we need to test 84 for more upside and possibly break it a point or two to see if sellers are there but it could be that we continue to hold yesterdays value low and move up from there.

I'm not seeing much worth noting on the other charts.

So for me, 1684 is a line in the sand. If we break it significantly I see 71.50 as the target. If not, the I think there's a case for a move back up to 1726 over the coming week. For that, we really need to see us trading above a prior days value area which means getting and staying above 1691 today.

Weekly Numbers
Range - 1684.50 -> 1707.50
Value - 1686.50 -> 1696
S1 - 1696. R1 - 1714

Daily Numbers
Range 1684.50 -> 1695
Value 1686-> 1691
Globex 1686.25 -> 1693.25(4:30 AM EST)

Other : 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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27th September



As we opened yesterday, I thought we were set to move higher and was looking for us to move through and stay above 91. To the downside I was looking at a break of 94. We did get the move up through 91 but we just couldn't hold it. We had a fairly rapid turn down on the back of some comments from Obama & others. Still - the weekly value area shrank yesterday.



We can clearly see where we have spent most of this week with value being 1686.75 -> 1695.25.



We can also see that on the daily profiles that we are just sitting in the range. Saying that, the action has been fairly nice for the first few swings at least each day this week. Today again, I'll be looking for a breakout either side with 1692.5 being the area I want to see hold for an upside move and the 84.50 for downside.

Not much else to say. It is Friday, news is relatively light, so I'm not expecting much other than what we did for the past few days.

Weekly Numbers
Range - 1684.50 -> 1707.50
Value - 1686.75 -> 1694.75
S1 - 1696. R1 - 1714

Daily Numbers
Range 1685.75 -> 1697.50
Value 1687.25-> 1692.75
Globex 1684.50-> 1695.50

Other : 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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30th September



So a gap down on the globex open. More than likely caused by the imminent US govt shutdown. The "fiscal cliff" didn't end up being the end of the world and I guess this won't be either.



Where we stopped in the Globex session so far is 3 ticks below our line in the sand @ 71.50. It's a line in the sand because of the way we rapidly moved through the 1660-1671.50 area both upside and downside, so we need to be on the alert there. For sure, I would be very careful about holding along if we move down any further.

It is the last day of the month today. We opened September at 1633.75 on the continuous contract and the low is 1624.75, so we are still up. As we've gapped down in Globex, there is a good chance of a move up off the open just to shake out these shorts. This could turn into a larger move up if "window dressing" for the month end is really on the table. So we have good potential both sides here.



This sticking point upside is potentially the value area 1685.25 and upwards as a lot of trading occured in that area last week.



Daily profile doesn't show much more although the low and value low are hurdles to any move up.

Weekly Numbers
Range 1680 -> 1707.50
Value 1685.25 -> 1695.25
S1 - 1677, R1 - 1699.25

Daily Numbers
Range 1680 -> 1687 (pit)/1695.50 (globex)
Value 1682.50 -> 1686
Globex 1670.75 -> 1676.25

Other : 1660.25, 1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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1st October

No trading today. The US Govt shutdown has pretty much been shrugged off by the markets so far.

So whilst the news is already in, the solution isn't. There will be a lot of finger pointing today but also there will be rumors of solutions as well as solutions themselves and I'd prefer not to be in the market when these hit the news.

It may well just be a regular trading day but I'm not taking the risk today.

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2nd October



Well - market is certainly showing a decisive move on the back of the shutdown. Up... no.. errr down.



It is only 6:30AM EST right now but this is a picture you don't see that often - a 17 point range in yesterdays day session and we came to 1 tick short of the high and the low in the following Globex session. Of course, we still have 3 hours to break through that Globex range. Non farm employment at 8:15 or the ECB Press conference at 8:30 could do that.

Off the open, I'll be looking to see how these extremes act again, looking for more rotation than a decisive move away from this range. Of course, we have high news risk as solutions/rumors come out of how the shutdown will be un-shutdown.



In terms of levels, we did take a peek down to the 1666.75, just past our 1667.25 level and people will be watching for that to break as it's the weeks low.



We have value for the week as 1671.75 to 1682.75 and we are currently in the middle of that.

I'm don't really have much of an opinion today - I'll just watch the obvious levels and the value area from yesterday and the week so far. Once again I have no great urge to trade this market and I think the safest bet is to jump on momentum and scale some off quickly if possible.

If the depth gets too low - sub 500's at the first 2-3 levels, I will not trade.

Weekly Numbers
Range 1666.75 -> 1692.25
Value 1671.75 -> 1682.75
S1 - 1677, R1 - 1699.25

Daily Numbers
Range 1675.25 -> 1692.25
Value 1682.75 -> 1689.75
Globex 1675.50 -> 1688.00

Other : 1660.25, 1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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3rd October



Yesterday stayed within the weeks range and we do seem to be getting into a narrower range when viewed from this perspective.



Yesterday we managed to push 2 points below the prior days range before turning back up into Tuesdays valuea area where we stayed pretty much for the rest of the day.



This is about as 'perfect' as a profile can get in terms of distribution.

None of this gives us many clues as to which way we'll break. It's rangebound but 14 points range yesterday is a decent range, so it's not as if this range isn't tradable.

We still have the shutdown giving us increased news risk and we have unemployment claims at 8:30 AM EST and Non Manufacturing PMI at 10:00am.

So - I'm looking at the same situation as yesterday in that I don't have much of an opinion. I'll just watch the obvious levels and the value area from yesterday and the week so far. I'll try to lay-off the news risk by trading into momentum, not necessarily getting as good a price but trying to get in when it's moving to scale some off quickly and reduce the risk.

Weekly Numbers
Range 1666.75 -> 1692.25
Value 1673.25 -> 1683.75
S1 - 1677, R1 - 1699.25

Daily Numbers
Range 1673.00 -> 1687.50 (pit)/1692 (globex)
Value 1679.25-> 1687.25
Globex 1673.50 -> 1683.75

Other : 1660.25, 1667.25, 1671.50, 1684, 1688.50, 1698.75, 1702, 1705, 1712.75, 1726.75

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4th October

No news - seeing as the government is shut down!



Yesterday was interesting, we rotated around 2 HVNs we created in Globex and then Obama spoke and the market put in a good run downward and put in a 21.5 point range. We had news risk and then we had the news. Still, we only extended the weeks range by 3 points.

My first thoughts are that after this push down, we could well make it all back today with a push up. The next long term level downwards for me is 1660.25 and 1642 below that.



The overnight Globex session is predominantly long but it's only 6am. We have traded mostly within yesterdays value area and if we do have an adjustment down off the open, I'll be looking for buyers to step in at the value low 1668.50, although with the close at 1669.50, we might not get that far down. Market profile traders will be looking at the Globex low as having poor structure in need of revisit & repair.



The weekly profile shows us still very much in balance and whilst a push down again is possible, I favour more balanced behavior which means moving up to the value high for the week at 1681.75.

Weekly Numbers
Range 1663.25 -> 1692.25
Value 1669.75 -> 1681.75
S1 - 1677, R1 - 1699.25

Daily Numbers
Range 1663.25 -> 1684.75
Value 1668.59 -> 1676.50
Globex 1667.50 > 1674.25 (6am EST)

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

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7th October



News risk is increasing the more time we spend in this political impasse. Markets are overall indecisive. We aren't doing anywhere but we are putting in good intraday ranges. Looking at the long term charts, 1620 isn't a massive move for us and we could easily make it there in a day or 2 if the outlook worsens.



On the short term chart we can see the range is mostly 1670 -> 1690 with pokes through either side. It does appear slightly more bearish and I wouldn't be sueprised to see 1660 and possibly a breakdown if we do get through there. Of course, trading ranges always look like they are going to break as they go to an extreme.



The weekly profile shows a value low of 1671.25 and we are currently below that.



Then Fridays VAL is 1677.50 so we'd need to work our way up to there off the open and then to the opposite end of the range to move up to the top of our range. Any poke through last weeks VAL or Fridays VAL that then fails is very bearish for me and I'll be looking to short that scenario. We are down overnight but still only a few ticks below Fridays pit session low ans a way off last weeks low - and look where we ended up on Friday!

So for me, lots of news risk, rangebound market but with an eye for a failure to work back to value today.

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

Daily Numbers

Range 1667.50/1670.25 -> 1686.00
Value 1677.50 -> 1685.50
Globex 1666.50 > 1678.25

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

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8th October



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.



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.



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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9th October



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.



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.



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.



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.



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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DionysusToast View Post
9th October



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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10th October



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.



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.



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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11th October




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.



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.



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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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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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!



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.



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.



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.



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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8th November



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.



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.



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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11th November



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.



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.



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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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.



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.



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.



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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13th November

Another low volume day yesterday and still within last weeks range but we did break down from Mondays low a little.



So if we look at our overall range, it looks like we are now headed to the opposite side 1750 and possibly 1734.50. I don't expect that to happen in a day though. So for me, I'm going to bias short more than long off the open.



Normally, I'd be looking at this weeks value area instead of last weeks by now but as Monday was a holiday, I'll still be watching last weeks VAL as a potential stopping point. This weeks VAL is 62.75 as at typing, which is already one of our levels.




If volume is still low, we could be in for chop but overall I favor us now moving back down to the bottom of our range over the next few days. So far in the Globex, volume looks decent. For the downside today, we need to make a move down and break yesterdays low and stay below yesterdays VAL. If we can do that I think we are good.

Of course, no-one knows the future, so I will also be on the outlook for a failure to break down. Overnight inventory is short and this does often give us an initial push up off the open so that's something to look out for. Saying that we haven't made much of a move past yesterdays low, so I don't expect a snap up.

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


Daily Numbers

Range - 1758.50 -> 1768.50 (pit)/1769.75 (globex)
Value - 1760.75 -> 1765.75
Globex 1757.75 -> 1766

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

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14th November

Well - so much for my short bias from my prep yesterday!



From yesterday "So if we look at our overall range, it looks like we are now headed to the opposite side 1750 and possibly 1734.50."

We came down shy of the 1750 mark yesterday to 1754.25 in the Globex session. We failed to get to that low in the pit session and buyers came in and pushed us up. Volume was not particularly high - 1.6 million. Delta on the other hand shifted up about 100k contracts from the low.

So now the questions is - is this a range extension or are we going to move to 1800?

I have three scenarios in mind as we go into today and they are marked above. I will be watching the order flow as we get to the break-out point, the old high @ 74.50 which is also a tick above a single print on the weekly profile below.



We are building a distribution at these highs at 80-84 and we need to see either an initial push up OR price acceptance at these levels - building some volume in the 80's as a springboard to higher prices. I'd consider either bullish.

If we move down, then I'll be looking for a bounce up off 74 area and if not, I'll expect us to move down to the 50's again or possibly the 34.50.

Let's not forget what happened Thursday/Friday last week where the sky was falling on Thursday and then we made it all back on Friday.

Overnight inventory is almost 100% long at time of writing (5am EST) so that could cause an initial snap down.


Weekly Numbers
Range - 1754.25 -> 1785.25
Value - 1760 -> 1769
S1 - 1748.25, R1 - 1777.50


Daily Numbers
Range - 1754.25(globex)/1755.50 (pit) -> 1785.25
Value - 1763.75 -> 1779.25
Globex 1778.25 -> 1785.25

Other - 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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15th November

Bear in mind this is an early prep today (3am EST) and so the Globex trading could change things - especially if for some reason we break yesterdays pit session low (1777.25) in the Globex session.



We had a line in the sand yesterday at 74.50 and we got as low as 77.25. That was 1 point through the Globex low and at that point buyers came in and we took a move up to 89. So right now, all eyes on 1800.



This shows clearly the poke down through the Globex low but also how we barely dipped into yesterdays range. The Globex session at this point is overlapping the top of yesterdays value area. In terms of yesterdays structure, after the move up, we spent time at 83.75-> 88.50 which is a good thing in terms of accepting prices at these levels. We have a single print at 82.50 which is just below yesterdays VAL at 83, so that's a potential area of support.



The weekly profile shows us we have an upper distribution 1778-1790 and we can see how thin it is below that. Longs will want to see us stay in that upper distribution and a break to the downside should see us hit 1770 pretty quickly. Below that we are in a thicker area and whilst it could move down, it'll move slowly there.

Long term, we want to see price acceptance in this upper range if we want to see higher prices. for today looking to hold yesterdays value and if we do, then looking for 1800+ If not - well we know where the breakdown points are.

Weekly Numbers
Range - 1754.25 -> 1790.75
Value - 1755 -> 1778
S1 - 1748.25, R1 - 1777.50


Daily Numbers
Range - 1777.25 -> 1789.00
Value - 1783.00-> 1789.00
Globex 1786.50 -> 1790.75

Other - 1782.50, 1778, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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18th November (5:30am EST)



We didn't manage to get to 1800 yet - we got to 1796 on Monday. We have a small 'ledge' at 1788 and below at 1777.25, so these are both potential support areas as is the 'break out point' back at 74.50. Below that 74.50 level and I'd expect us to go back into range and head to 1750 & 1734.50.

I do expect us to push up through 1800 first and then I'll be watching the reaction to that happening. I presume that will happen today but obviously you can't be 100% sure.

Volume was light on Friday - about 1.2 Million contracts, so not a huge amount of volume trading at these levels. For upside, I'd be happy to see it trade around these levels for a few days as the market accepts these prices.



Globex today has been fairly light and the range is low. This is at 5:30 am though. We can see the 1788 level here at Fridays low and that would be a good downside level to hit before making a move up. Globes is within Fridays range and mostly within Fridays value area. Neutral basically.



We can see 3 or 4 areas of price distribution as we moved up last week, the latter being the 1788 - 1793 area. 1793 is potential resistance below that we have a lower distribution down to 1777.25. So when I look at last week, I see an upper value area 1777.25 -> 1793 and at this point that is more important to me than the value area marked out by the purple line. I'll use that as last weeks value for today and tomorrow.

So a neutral start, I expect 1800 to break with some areas below us for support and a reasonably clear line in the sand at 74.50.

Weekly Numbers
Range - 1754.25 -> 1796.00
Value - 1777.25 -> 1793 (see notes, this is not actual value area)
S1 - 1767.25, R1 - 1807.75


Daily Numbers
Range - 1786.50 (globex)/1788 (pit) -> 1796
Value - 1788.25 -> 1792.25
Globex 1790.75 -> 1794.25

Other - 1788, 1777.25, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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19th November



Yesterday, the Globex high got to 1799, then we made it up to 1799.75 with a lot of wiggling around up there before moving down to the prior days value high. Then another attempt at the high which was followed by a lot of narrow activity which probably shook a lot of people out on both sides. We got a final push up but again it failed and at that point we went down from there fairly rapidly.



We can see 3 or 4 areas of price distribution as we moved up last week, the latter being the 1788 - 1793 area. 1793 is potential resistance above that we have a lower distribution down to 1777.25 which is potential support. So when I look at last week, I see an upper value area 1777.25 -> 1793 and at this point that is more important to me than the value area marked out by the purple line. I'll use that as last weeks value for today.


Globex low has held yesterdays low so far and all action in the current session is below yesterdays value area, which is pretty much the breakdown point (single print @ 92.25). So looking for those to hold. If we break 77, I'll be looking for 50's then 34.50. If we go back to yesterdays value, looking for another attempt at 1800.

Weekly Numbers

Range - 1754.25 -> 1796.00
Value - 1777.25 -> 1793 (see notes, this is not actual value area)
S1 - 1767.25, R1 - 1807.75

Daily Numbers
Range - 1784.75 -> 1799.75
Value - 1792.50 -> 1798.50
Globex 1784.75 -> 1791.25

Other - 1792.50, 1788, 1777.25, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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20th November (5:45am EST)



Still a fairly small range so far this week. Still within the upper distribution from last week. Looking at that to hold at either the 1777.25 or 1774.50 for continued upside. CPI & Retail sales @ 8:30 AM EST and Home sales @ 10 am. So could be a mover. Again. I'm looking for the downside of 74.50 to see us move to 50 and then 34.50.

Volume yesterday was 1.5 million. Not high but not terribly low.



Yesterday opened in the middle of the Globex session which was also at the bottom/below value of Mondays session. We poked above the globex high by 10 ticks, pushing into Mondays value area, failed to get to Mondays vlaue area on the second attempt and then we fell through the Globex low by 9 ticks. Quite a symmetrical day in hindsight.

As of writing, we have mostly traded at the bottom of yesterdays range. Yesterdays value high held to the tick. It's quite fairly neutral so unless the news changes things we may see a more rangebound day that respects extremes of yesterday and this morning.

Weekly Numbers
Range - 1781.75 -> 1799.75
Value - 1784.50 -> 1792.50
S1 - 1767.25, R1 - 1807.75

Daily Numbers
Range - 1782.00 -> 1793.75
Value - 1784.00 -> 1790.50
Globex 1782.00 -> 1790.50

Other - 1792.50, 1788, 1777.25, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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21st June (4:30am EST)



Yesterday we mentioned "Looking at that to hold at either the 1777.25 or 1774.50 for continued upside". Yesterdays low was 1774.50. So at least for now, we are still in a position where buyers could step in. The 74.50 level is not meant to be an absolute level. Holding to the tick was not much more than coincidence yesterday. It's an area to be tested and that might include a poke through. Even if we see 72 without much selling and we move back up, then I'd still see it as the leve holding.



Zooming out a bit we can see the older range from 1734.50-1770 that we broke out from (the red arrow). It does look from this picture that this is just a small blip up before we carry on down but then ranges always look like they are about to break. Obviously, a small poke through to 74.50 and a move up could give us a rapid rise as buyers jump in noting the "Resistance becomes support" that occured at that line.



Looking at yesterday, we failed after a poke through the high, then moves straight down to 74.50 before the bounce up.

Looking at it this way, I'll be looking to see what happens at 1782 today. If we get back up there but fail, then I'd expect 1774 to break and for us to be at 1750 within a few days and potentially 1734.50.

Weekly Numbers
Range - 1774.50 -> 1799.75
Value - 1783.00-> 1794.00
S1 - 1767.25, R1 - 1807.75

Daily Numbers
Range - 1774.50 -> 1794.25
Value - 1781.50 -> 1794.00
Globex 1775.75 -> 1782.25

Other - 1792.50, 1788, 1782, 1777.25, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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22nd November



Back up to the highs and so all eyes back on 1800 today. That level will be quite crowded in terms of people jostling for position on both sides. Up to you whether you want to be getting into a position at that point. I personally stay away from entering in those areas. I'd prefer to be long into 1800 off a downside reference point if possible. Then I have breathing room in the trade.



Yesterday, prior to opening we a high volume node in the globex session that traded 1783.25->1784. We came down off the open to 1783.75 and traded 5.6k contracts, then we traded just 453 at 1783.50. Absolutely no interest at all in selling at 83.50. We then moved off from that level. These high volume nodes created prior to the pit session open have been holding well of late.

We stopped just short of the 1792.50 level (to 1792.00) and rotated for a while before moving on up off the 1792 level through the prior pit session high. I'll leave the 1792.50 level in and not adjust it down because it's in roughly the same area. Thus far in the pit session, that level is holding.

The Globex low/resistance=support level seems a bit close to where we are now to be the launching point for a move up. I'll be watching for that to hold for a move to 1800. If that fails, I'll be looking at the 88.25 level for the same thing. That is yesterdays value low and also one of our levels. If yesterdays low breaks, then it's a re-test of 74.50 on the cards but like last time in this area, I favor the upside. This time I might be right!



We do have a weekly value low at 84.25 but that doesn't add much as it's just a few ticks above yesterdays low.

Today is about trying for 1800 and possibly a swift sell off and back to 1774.50 if that fails. It's Friday though, so it could just die out. Does 1800 excitement trump regular Friday malaise?


Weekly Numbers
Range - 1774.50 -> 1799.75
Value - 1784.25 -> 1794.75
S1 - 1767.25, R1 - 1807.75

Daily Numbers
Range - 1783.50 -> 1795.50
Value - 1788.25 -> 1793.75
Globex 1792.00 -> 1796.00

Other - 1792.50, 1788, 1782, 1777.25, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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25th November

Thanksgiving week. If you do trade, keep an eye on the depth. An average of about 1,500 per level is the norm. If that changes significantly, then so will the volatility.



We did finally break 1800. I can't decide if 1800 or 1796 is the first level below us. Looking @ the chart above it looks like 1796 is the level and the move up to 1799.75 last week was just a peek through. Still 1800 is a major number and worth watching. In terms of taking a trade, I'd actually be much more comfortable entering at 1796 than 1800.

Thanksgiving may mean it's a quiet one. All eyes are on these highs, will we make more progress upwards or move sideways to establish prices at these levels? I don't know but I think if 1796 breaks, we will 1774.50



Last weeks value high is 1795.75, which coincides with the 1796 level from above. That gives us a bit more reason to see us staying above that level for continued upside but we could potentially stop at the value low at 1784.25. So that might be a line in the sand between 1796 and 1774.50. Certainly a level to be aware of.



Fridays value area low is 1796.50 - again that 1796 area is significant. We also have a single print at 1798 but I'm sticking to 1796 as my major line in the sand. We also have Fridays VAH at 1803 which could potentially hold off the open. I'd prefer to come a little lower.

Overnight inventory is almost all long. So look out for an initial adjustment down.

Weekly Numbers
Range - 1774.50 -> 1803.25
Value - 1784.25 -> 1795.75
S1 - 1782.75, R1 - 1811.50

Daily Numbers
Range - 1792/1792.50 -> 1803.25
Value - 1796.50-> 1803
Globex 1801 -> 1809.25

Other - 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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26th November



We did get an initial adjustment down at the open yesterday. That is often the case when overnight inventory is quite long. We went into a fairly small range after that first push down and stayed in the 1802.25-> 1805.75 for about 5 hours. Anyone who got the breakdown that occurred towards the end of the day deserves a medal for persistence and perhaps another for Zen like focus.

It's a holiday week - so I guess it's shaping up to be narrow one.

We went through 1800 but not to our first line in the sand at 1796.



There's nothing to add that we didn't say yesterday -

"Last weeks value high is 1795.75, which coincides with the 1796 level from above. That gives us a bit more reason to see us staying above that level for continued upside but we could potentially stop at the value low at 1784.25. So that might be a line in the sand between 1796 and 1774.50. Certainly a level to be aware of."

"Fridays value area low is 1796.50 - again that 1796 area is significant. We also have a single print at 1798 but I'm sticking to 1796 as my major line in the sand. We also have Fridays VAH at 1803 which could potentially hold off the open. I'd prefer to come a little lower."

The current Globex session is fairly narrow and neutral. Hard to really call the open either way.

Weekly Numbers
Range - 1774.50 -> 1803.25
Value - 1784.25 -> 1795.75
S1 - 1782.75, R1 - 1811.50

Daily Numbers
Range - 1798.50->1806.75(pit)/1809.25 (globex)
Value - 1802.50 -> 1805.50
Globex 1801 -> 1805.50

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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27th November



Yesterday was another lackluster day. Volume was just under 1.1M and range was 1 tick above the prior days range.

Nothing has changed since Monday:

"Last weeks value high is 1795.75, which coincides with the 1796 level from above. That gives us a bit more reason to see us staying above that level for continued upside but we could potentially stop at the value low at 1784.25. So that might be a line in the sand between 1796 and 1774.50. Certainly a level to be aware of."

"Fridays value area low is 1796.50 - again that 1796 area is significant. We also have a single print at 1798 but I'm sticking to 1796 as my major line in the sand. We also have Fridays VAH at 1803 which could potentially hold off the open. I'd prefer to come a little lower."

So same levels are in play. We do have Unemployment numbers ay 8:30am EST today, so there is a chance that this will stir things up if they are particularly good or bad.

Right now though (5:45am EST), the Globex session is pointing to a low range day.

Weekly Numbers
Range - 1774.50 -> 1803.25
Value - 1784.25 -> 1795.75
S1 - 1782.75, R1 - 1811.50

Daily Numbers
Range - 1798.75 -> 1807
Value - 1801.75 -> 1805.75
Globex 1801.25 -> 1803.25

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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2nd December



So last week was fairly narrow. I still think that 1796 is a level lots of people will be watching and below that 1794. If that breaks I see us going back into the old range and down to 1774.50. If that breaks, I'll be looking for 1750 and if that breaks I'll be looking for 1734.50.



The weekly profile doesn't tell us much. The Globex session is within last weeks value area so I'll be looking at the value area/extremes from last week for clues.



So far in the Globex session, most trading is below Fridays value area but as it was such a low volume day, I'm not reading too much into it.

So I see the market as needing to either move upwards or revert to rangebound behavior. I'm not sure where the bottom of the range will be but 74.50, 50 and 34.50 are all candidates.

Weekly Numbers
Range - 1798.50 -> 1812.50
Value - 1801.75 -> 1807.25
S1 - 1800.25, R1 - 1810.00

Daily Numbers
Range - 1802.75 -> 1812.50
Value - 1806.75 -> 1812.25
Globex 1801.75 -> 1807.75

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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3rd December




Yesterday we dipped a little below last weeks range through the 1800 and down to 1797. I'm looking at 1796 as a line in the sand, so I am going to be wary of another push down today and if that has strength, I'll be looking to hit 74.50.



The weekly profile shows value unchanged but price has probed lower. I don't read too much into last weeks profile as it was a holiday week.



Looking at yesterdays profile we can see we first pushed through the Globex low 3 ticks, then up through the Globex high 3 ticks and then pushed down to 1797.

Globex action is below yesterdays value but around yesterdays close. So it's neutral but I'll be looking for a test of yesterdays VAL 1801.50 as an indication of whether we will push down thru 1796 or go back up to 1812.

Weekly Numbers
Range - 1798.50 -> 1812.50
Value - 1801.75 -> 1807.25
S1 - 1800.25, R1 - 1810.00

Daily Numbers
Range - 1796.75 -> 1809
Value - 1801.50 -> 1807
Globex 1799.25 -> 1801.75

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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 Itchymoku 
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@DionysusToast, what is your opinion on the usefulness of market profile and or volume profile used in conjunction with currencies, currency futures, and or other exotic instruments without much volume?

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@DionysusToast, what is your opinion on the usefulness of market profile and or volume profile used in conjunction with currencies, currency futures, and or other exotic instruments without much volume?

I really never tried on currencies.

The market profile itself is just a way to organize the data more than being a technique. So that should still be valid, then it depends how well the value areas hold. The profile itself does rely on defining open/close times and that would be tricky on currencies, I guess you'd probably need to define 3 separate sessions as I do with Globex/Pit.

Currencies themselves have no accurate volume data that I am aware of but currency futures do.

In terms of other markets, I guess it depends what you mean by 'exotic' - I think the value concepts play out well on the Bund, FESX and Corn too.

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December 4th



We dipped through the 1796 level I was looking for and now I see the above 2 scenarios as likely. Of course, we could go straight up from here but I think at least a test of 74.50 is on the cards if not 1750.



We are now below last weeks range (low 1798.50) which has broken the run of weekly higher lows we had over the past month. It remains to be seen if we will have a lower high too. We have broken last weeks low and the prior weeks low is the 1774.50.



Last weeks low was our pit session high yesterday which lends it some significance. I see that as a line in the sand and will be looking for that to be tested and for sellers to step in if we can't hold it.

It's early here - 4:30 EST and overnight inventory is long so fare but all action is within yesterdays pit session, so I don't see that causing a major move off the open.


Weekly Numbers
Range - 1798.50 -> 1812.50
Value - 1801.75 -> 1807.25
S1 - 1800.25, R1 - 1810.00

Daily Numbers
Range - 1786.25 -> 1798.50 (pit)/1801.75 (globex)
Value - 1787.50 -> 1794
Globex 1790.25 -> 1795.75

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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 evanbro 
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Oh wow, can't believe I haven't seen this thread until now.

Subscribing to it.

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Oh wow, can't believe I haven't seen this thread until now.

Subscribing to it.

I can't believe it either... Shame on you!!!

I hope it's useful in some way.

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5th December



Yesterday we did carry on down and my expectation was range low would be 74.50 but if that broke then we'd be looking at 50's. As it turned out we got down to 77.75 and then whipped back up - which sees us potentially building a 1774.50-> 1812 range. I still have 1796 as a significant level and if that can't break today, I see us going back to 74.50 and possibly to 1750.



The red line weekly profile is last weeks low. We can see we have a lower distribution below that and we are building value mostly below last weeks low. So it does look like we are accepting these lower prices.



Looking at yesterday, we dipped down a few ticks below the Globex low off the open and put in a good move up into last weeks range but we got a point through and price collapsed almost 22 points. We then had a pretty good reaction back up. So interesting action - we seem to have sellers at last weeks low and buyers down close to the 74.50 level - which note is also the low of 2 weeks ago. I expect these levels to be significant today.

Globex has been narrow as at the time of writing but probably because of the unemployment numbers coming out in an hour.

Weekly Numbers
Range - 1777.75 -> 1809.00
Value - 1786.00 -> 1801.00
S1 - 1800.25, R1 - 1810.00

Daily Numbers
Range - 1777.75 -> 1799.50
Value - 1784.50 -> 1795.50
Globex 1788.25 -> 1793.00

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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6th December



Yesterday was a tough day without much direction and without much liquidity. The longer term chart does have us heading to 1796, which is a line in the sand. That could end up being our range high but after the past few days, it could just as easily be a turnaround and heading to test 1774.50.



Since dropping through last weeks low at 1798.50, we haven't managed to get back into last weeks range and stay there, value for the week is just below 1798 and it is therefore an area sellers could jump in. So worth watching if we do get through 1796.



Yesterday was a tough day and we stayed within Wednesdays range. So far in the Globex, we saw buyers step in before we got to yesterdays low and now we are rotating around yesterdays high. Considering where we are relative to the weeks action, I see this as fairly neutral.

I'd like to see 96-98 for a short and possibly yesterdays low at 1782 for a lower probability long. We do have plenty of news today and we could easily break either of these levels before the open. If the news is lackluster, then I see 1782 as being more likely to hold. I see 1774.50 as a more likely turning point if we go down off the news but we could see 1750 on bad news.



The VIX has been rising and it's really not that high but the impact on liquidity has been significant. Yesterday we were well below 1000 on the first 3 bids/offers for most of the day with the inside bid & offer being below 500. It was 'slppery' yesterday with price moving 3-4 ticks either way without much warning. Stops had to be widened on the back of that. I'll be looking out for that again today. It's odd action - whilst we did have it slipping and sliding about yesterday, the overall range was still very low.




Looking at the weekly chart, you can see how significant the 74.50 level is - it's been a while since we broke a prior 2 week low and that could trigger more of a sell off.

Weekly Numbers
Range - 1777.75 -> 1809.00
Value - 1783.50 -> 1797.50
S1 - 1800.25, R1 - 1810.00

Daily Numbers
Range - 1782-> 1792
Value - 1784 -> 1788.59
Globex 1783.25 -> 1793.75

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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I'd like to link to this thread in my bookmarks, but always have it go to the newest post, so all I have to do is click it and I see DT's prep for that day. Anyone know the way to fashion the URL link so it does that?

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 trendisyourfriend 
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Eric B View Post
I'd like to link to this thread in my bookmarks, but always have it go to the newest post, so all I have to do is click it and I see DT's prep for that day. Anyone know the way to fashion the URL link so it does that?

I think if you use this form it should work:

Quoting 


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Eric B View Post
I'd like to link to this thread in my bookmarks, but always have it go to the newest post, so all I have to do is click it and I see DT's prep for that day. Anyone know the way to fashion the URL link so it does that?

Why dont you just click 'Follow Thread' at the top and then select instant email notification. Then every time a new post is made you'll get an email. Click on the link in the email and you'll be taken directly to the newest post.

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Eric B View Post
I'd like to link to this thread in my bookmarks, but always have it go to the newest post, so all I have to do is click it and I see DT's prep for that day. Anyone know the way to fashion the URL link so it does that?

Click "New Posts" top of navbar.

Find the thread. On the left of thread text will say "NEW", that is the URL to bookmark to always go to the new (unread) post.

For the technical guys, it is the name of the thread with -new-post.html at the end like so:



But as @DarkPoolTrading mentioned, you should just Follow the thread and then it will also show up in your UserCP for easier access.

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thanks for the help, Mike

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9th December



Last Wednesday, we were looking at the market to hit 74.50 before turning up and it turned before we go to the level. Today, people are watching 1812 and it may be that a turn before the level is on the cards again, in which case it'll be straight down today. If not, I'll be looking to fade a move above 1812. Those are my 2 most likely scenarios and the ones that I'll be looking for confirmation of. If we do turn, I'll again be looking for 74.50.



We are above last weeks value and pretty much within last weeks range so far (well, 1 tick poke through). If we do moved down, I'll be looking at last weeks VAH of 1800 and 1796.50 as potential hurdles.



Overnight inventory is almost exclusively long, volume is average but at least not low. That bodes well for a move down off the open but it is only 6:20 EST here as at writing. Fridays pit session low was a tick below our 74.50 level. So another reason to watch that level. Fridays value high at 1804.75 is holding so far and that is also a hurdle for the downside.

Not much else to say. All eyes on 1812.

Weekly Numbers
Range - 1777.75 -> 1809.00
Value - 1784.00 -> 1800
S1 - 1785.50, R1 - 1816.75

Daily Numbers
Range - 1783.25 (globex)/1796.25 (pit) -> 1806
Value - 1799.75 -> 1804.75
Globex - 1804.75 -> 1809.25

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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10th December

Coming in to the holiday period and also we should be rolling into the March '14 contract on Thursday and the volume should be in that contract by Friday.

Volume yesterday was poor with just over 1 million contracts traded. The liquidity was low, so whilst the overall range was low, getting shaken out was pretty easy, especially if you tried to risk less for the lower rewards on the table.

No major news today, so this might be the end of the year in terms of any decent level of participation.



My overall premise remains the same, we either go straight down or down after a pop up through 1812.



so far this week we are above last weeks VAH at 1800, so that along with our level at 1796 are hurdles to the downside.



Yesterday had just over a 5 point range and it didn't respect any of the regular levels, in fact it didn't have enough range to breach anything other than the overnight high. The way I trade, there were no real second entry trades.

Globex is within yesterdays range at at 7:00AM EST has a 3.5 point range.

So today, a sit back and I'm going to see if I can spot some scalps with this lower liquidity - but I've no real urge to trade at all. Scalping low liquidity isn't something I do and so tonight is more of a learning experience for me to see if I can find an edge in this. My thoughts are that with the lower liquidity, you need to open up your stop but the lower volatility (caused by the very low volume) means the targets have to come in. The idea will be to see if I can find something to lean on so I can get away without widening the stops.

Weekly Numbers
Range - 1777.75 -> 1809.00
Value - 1784.00 -> 1800
S1 - 1785.50, R1 - 1816.75

Daily Numbers
Range - 1804.75 (globex)/1806.25 (pit) -> 1811.50
Value - 1807.50 -> 1810.50
Globex - 1808.00 -> 1811.50

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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11th December



It looks like the "white option" from yesterdays prep might be playing out which has a move to 74.50 before turning up back to 1812 again.

We need to get through 1796 first and so far we made it to 1799. If 1796 breaks we could have a nice range today.



1800 is last weeks value high. We've dipped into it 4 ticks but our down to 74 premise needs this to break convincingly, or we'll go back to 1812 area which will most likely be more sluggish action.



We have a 9 point range overnight with decent volume in Globex so far (6:30am EST) but the action is neutral relative to yesterdays range. There's no real news today either.

Yesterdays low is 1801 and value low is 1802. If these hold off the open, we may end up rotating around yesterdays range, we need them to break and then for 1796 to break for a decent run down.

Whilst I'm hoping for the downside break as it will be faster, I will take longs if yesterdays low/value low holds. Like yesterday though, I am in no hurry to make a trade and wary that we could have another low volume, low liquidity morning.

Weekly Numbers
Range - 1799.00 -> 1811.50
Value - 1804.50 -> 1811
S1 - 1785.50, R1 - 1816.75

Daily Numbers
Range - 1801 -> 1808.25 (pit)/1811.50(globex)
Value - 1802.00 -> 1805.50
Globex - 1799.00 -> 1808

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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December 12th

It's Rollover day today (and possibly tomorrow), so no trading for me today but we can look at the big picture because whilst I don't trade rollver. It does not mean the market can't move.

Here are the scenarios we were looking at on the 9th Dec:



And this is where we currently stand:



So far the 1774.50 level is holding on the 12-13 contract (the above is continuous & showing 03-04 already). If 1774.50 doesn't hold then I see us looking at 1750 and then 1734.50 before a return back up to 1812. I do not see yesterdays move down as a big bearish move because the bigger picture is that we are still exhibiting rangebound behavior.



This is taken at 4:00am EST. I favor a move back up today, even if it's just a small correction after yesterday. If we go back beloe 74.50, then I see the 1750 as a target. For upside we need to stay above 74.50 and yesterdals low and get back to thru yesterdays value low at which point I'd have yesterdays value high as a target.

Overnight inventory is short so far, which also could help for a snap back up off the open.

The spanner in the works is the rollover. The news at 8:30 might help though - if we have good unemployment numbers, I may well kick myself for standing to one side.


Weekly Numbers
Range - 1775.50 -> 1811.50
Value - 1797 -> 1811.50
S1 - 1785.50, R1 - 1816.75

Daily Numbers
Range - 1779.25 -> 1808
Value - 1790 -> 1808
Globex - 1775.50 -> 1784 (4:20 AM EST)

Other - 1809.25, 1800, 1796, 1792.50, 1788, 1784, 1774.50, 1764, 1761, 1750, 1742.75, 1734.50, 1725.75, 1712.75

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December 13th



The March contract has now overtaken the December contract in terms of volume so now we roll over. It doesn't feel like 5 minutes since we last rolled...



Here is the new continuous contract and the new 'big picture'. Our premise on Dec 9th was for a push thru 96 to 74.50 and if that didn't hold to 50 and then 34.50.

The new numbers are 94, 67.50, 48.25, 30.25 - all based on an 'eyeball' of the new continuous chart. 30.25 is last months low, on the Dec contract.



So now we are looking at either a move up to the highs or if the 67.50 can't hold then a trip to 49.25.



Globex session is within yesterdays range but mostly above the settlement, so that is neutral to bearish in terms of an adjustment at the open.

It's the first day for me in the March contract and not everyone will have moved yet so more of a 'back seat' day looking for a very firm opportunity based on 67.50 holding (or not) and not too worried about any minor opportunities.

Weekly Numbers
Range - 1765.50 -> 1805.25
Value - 1797 -> 1811.50
S1 - 1785.50, R1 - 1816.75

Daily Numbers
Range - 1765.50 -> 1776.75
Value - 1769.75 -> 1775.25
Globex - 1766.75 -> 1776.75

Other - 1812.50, 1806.25, 1794, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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December 16th

A few interesting things to consider before we look at the action.



We still have a fair amount of action in the December contract. So again, be on the lookout for 'unusual' action.

Overnight, we had a big move down and then a big move up. It appears that someone may have fat fingered the market.

"S&P Futures, Nikkei Slide On Large Block Trade" - S&P Futures, Nikkei Slide On Large Block Trade | Zero Hedge

The upshot is that someone threw 10k contracts at the S&P overnight all in one go. So we have to treat the move down in the Globex with suspicion.



So we were holding our 1767.50 level until we had that fat fingered trade. Now we are above it again. So the premise for a move down to 1767.50 and then a move up to 1806.25/1812.50 is still on the cards. So my first scenario for today is a move up. For that it appears that the 1778 level is a major line in the sand.

The other scenario is a move down to 1749.25 area before bouncing up. The overnight action is suggestive of that but because of what caused it, that's lower probability. If 1778 gets tested and holds, then it becomes higher probability and if 67.50 breaks it becomes higher still.

Last week had 2 distinct and separate distributions and above 1778, we had very volume all the way up to 1792. So if we do pop 1778/1779.25 to the upside we could go up quite quickly.



The weekly profile suggests out line in the sand for upside might be at 1779.25 - and that's close enough to 1778 for me to be extra confirmation that it's significant.



Fridays action was within Thursdays range but value was slightly lower. There was still a lot of rolling on Friday. We can see again the significance of the 1778-1779.25 area.

Weekly Numbers
Range - 1765.50 -> 1805.25
Value - 1765.50 -> 1797.50
S1 - 1754.25, R1 - 1794

Daily Numbers
Range - 1765.50 -> 1774.75
Value - 1767.50 -> 1772.00
Globex - 1754.00 -> 1778.50

Other - 1812.50, 1806.25, 1779.25, 1778, 1794, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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17th December



Yesterday we were looking for the 1778 area to give us some indication of whether we'd now move to the highs or go back down to the mid 1700's.

As you can see we popped up through that level yesterday and have since been resting on it.



We can see that we have traded below the 1778 level but not too much so far.



And here is yesterday and todays Globex so far.

So basically, same situation as yesterday but so far 1778 is holding but we aren't really pushing up yet. As such, I think the game today is all about that level holding or breaking.

Nothing more to add to what was said yesterday.

Weekly Numbers
Range - 1765.50 -> 1805.25
Value - 1765.50 -> 1797.50
S1 - 1754.25, R1 - 1794

Daily Numbers
Range - 1754 (globex), 1777 -> 1786.25
Value - 1779.50 -> 1783
Globex - 1777.50 -> 1780.50

Other - 1812.50, 1806.25, 1779.25, 1778, 1794, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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18th December

We are slowing down now into the end of the year. It's very thin on the ES and liable to slip around 3-4 ticks without any notice. That does change the game somewhat.



We have been rotating around the 1778 level (small white line on left side). So we have a range in the middle of a larger range and still waiting to decide if it's back to the highs or down to 1767.50 and possibly 1750.



So far, the Globex session is within yesterdays range.



We can see the POC is just above 1778.

So to me - it's all fairly neutral. I'm expecting a rotational, morning both because of the above and because FOMC day. I would expect some moves on the FOMC statement later. If not, I expect the rest of the week to be in a small range.

Weekly Numbers
Range - 1754.0 -> 1786.25
Value - 1772 -> 1782.50
S1 - 1754.25, R1 - 1794

Daily Numbers
Range - 1770.25 -> 1782.25
Value - 1772.25 -> 1777.75
Globex - 1777.50 -> 1780.50

Other - 1812.50, 1806.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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19th December



At the start of this week, the question was? "Are we going back to the highs to complete the range or breaking down towards 1767 & 1750.

So the question got answered but it made the trip in one day, so it's not as if the answer helps because the next question is "now we are at the highs, will we turn down to complete the range to the downside or make new highs?" Target for the downside would be the weeks VAH 1784.

With the big move up yesterday. I'm not going to be paying much attention to either of the profile charts. I'll be looking for signs of selling off the open and if not, weakness as we get back to 1806.75.

Weekly Numbers
Range - 1754.0 -> 1806.75
Value - 1766 -> 1784.00
S1 - 1754.25, R1 - 1794

Daily Numbers
Range - 1760.25 -> 1806.75
Value - 1766.25 -> 1792.75
Globex - 1799.00 -> 1806.75

Other - 1812.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

That's me done trading for the rest of the year. Enjoy the holidays and see you in January.

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6th January

First trading day for me after the New Year. I like to trade days with lots of liquidity and I'll be looking for the return of decent volume to the market over the next few days.



Seems like whilst the cat was away, the mouses were playing. My first thoughts looking at this is wondering whether this move up over the holiday period will hold when the volume comes back or if we will revert back into the range ww were in from Mid-Nov to the holidays.



I'm looking to confirm one of these three 'bigger picture' scenarios.
- Move straight up from here - which means holding the 1820.50-1822.50. A test of that area and a push up will have me thinking we are at least headed to 1850
- We break down and go back to 1806.25 area and turn back up - giving us the potential of an 1806-1850 range over the next few weeks
- We break down further into the pre-holiday range and head to 1767.50 area to test that range low.

So my major lines in the sand are 1822.50, 1806.25 and 1767.50. These are not levels I expect to hit today - just laying out how I see it playing out over the next few days so I have a bit more confidence in what's happening at a lower level.



The weekly picture shows a 26 point range last week. We do have 2 distinct distributions, so I will be watching 1833.25 for rejection but last weeks was fairly light on volume and so I don't take the levels as seriously. With the Globex session being within that but mostly below last weeks value. That looks fairly neutral to me but if we test and hold last weeks low, I'll be looking to go long.



We have a 7 point Globex range with Fridays close being about the middle of that range. Again it looks pretty neutral from that perspective, so I'll be looking for tests of Fridays range/value area for clues.

First day back after a break, I always feel a bit rusty and we have ISM Non-Man PMI at 10:00 am, so I'm going to watch it play out till after the release.

Weekly Numbers
Range - 1820.50 -> 1846.50
Value - 1827.00 -> 1842.00
S1 - 1816.00, R1 - 1840.75

Daily Numbers
Range - 1820.50 (globex)/1823 -> 1833
Value - 1824.25 -> 1830.25
Globex - 1823 -> 1830

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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7th January



My opinion is pretty much unchanged since yesterday:

"I'm looking to confirm one of these three 'bigger picture' scenarios.
- Move straight up from here - which means holding the 1820.50-1822.50. A test of that area and a push up will have me thinking we are at least headed to 1850
- We break down and go back to 1806.25 area and turn back up - giving us the potential of an 1806-1850 range over the next few weeks
- We break down further into the pre-holiday range and head to 1767.50 area to test that range low.

So my major lines in the sand are 1822.50, 1806.25 and 1767.50. These are not levels I expect to hit today - just laying out how I see it playing out over the next few days so I have a bit more confidence in what's happening at a lower level.
"

"The weekly picture shows a 26 point range last week. We do have 2 distinct distributions, so I will be watching 1833.25 for rejection but last weeks was fairly light on volume and so I don't take the levels as seriously."

You can see from the image above that we didn't move decisively either way.



Off the open yesterday we did move up towwards the 1833.25 level. We stopped short at 1832.50, failing to get to that upper distribution was quite bullish. We went almost 3 points below last weeks low before we started a choppy climb back up to Fridays close and then a drop back down to 1820.75



The Globex session sees us at 1823.25 as at the time of writing. In yesterdays range and in yesterdays value area.

Whilst we did have a good move down off the open yesterday, we really didn't make much headway down past last weeks low. So I can't really say "yes - it's scenario A, B or C" that appears to be playing out right now. I am biased to the downside the ideal scenario would be a pop up off the open and sellers responding. That could give us the 1806 today.

The only hurdle I see below is yesterdays low. I was expecting a break of last weeks low to give us more than a 3 point push down yesterday. So it may be that we break yesterays low and there's not much of a reaction.

Volume is still a bit light with 1.37M traded yesterday, but certainly much higher than last weeks volume.

Weekly Numbers
Range - 1820.50 -> 1846.50
Value - 1827.00 -> 1842.00
S1 - 1816.00, R1 - 1840.75


Daily Numbers

Range - 1817.25 -> 1832.50
Value - 1820.00 -> 1827.50
Globex - 1819.25 -> 1825.50

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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8th January


I'm still have the same question on my mind that I've had since Monday - can we hold these holiday highs, push up or revert mid Nov to mid Dec range.



We've poked below last weeks range and we didn't get much reaction. We poked through the 33.25 range and so far no reaction there. So from the longer term chart, it's indecisive and doesn't help me much.



The weekly profile is a little more helpful. As you can see last week we have 2 distinct distribution areas. Looking at the weekly profile, we can see that the upper distribution is still holding.



Volume is still light Monday was almost 1.4 Million but Tuesday a little under 1.2 million. Range yesterday was a bit narrow at 8 points so we really didn't make much of the push up.

What we do have is yesterdays pit session low at 26.25 and the globex low at 27.75. That's a line in the sand for me today. If that area holds, then I see us moving up into that upper distribution from last week towards 46.50 again. If not, I see us going back to the weekly lows then 1806.25. If that breaks 1796.50 and into the Nov-Dec range.

Weekly Numbers
Range - 1817.25 -> 1834.75
Value - 1823.00 -> 1831.50
S1 - 1816.00, R1 - 1840.75


Daily Numbers
Range - 1819.25 (globex)/1826.25 -> 1834.75
Value - 1830.50 -> 1833.50
Globex - 1827.75 -> 1833.25

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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9th January

On the face of it, the market has tipped it's hand and shown us it wants to go for the 46.50 high again.





The weekly profile shows a single print at 1835 - which is an area the market only traded 30 mins or less.



The thing is though - yesterdays pit session was neutral - we traded almost entirely within the prior days range. Just 3 ticks below the prior pit low with the same high.

So this move up into the upper distribution from last week is all in the Globex session. As the Globex session has had a push up overnight, I'm watching out for sellers stepping in off the open. Then looking to see if yesterdays low holds.Basically looking to see if this push up really resolves the range we have been in all week and is a sign we will push the highs again OR if this overnight push up gets taken back and we now head to 1806.50.

Weekly Numbers
Range - 1817.25 -> 1839.00
Value - 1824.50 -> 1833.50
S1 - 1816.00, R1 - 1840.75


Daily Numbers
Range - 1825.50 -> 1834.75
Value - 1829.25 -> 1833.75
Globex - 1828.75 -> 1839

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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10th January



Looking at the bigger picture it is looking more likely that we are going to hit 46.50 than revert to the range below 1806.50 we were in late last year.



Yesterday we had a push up on light volume in the Globex session. One of the things we were looking at were sellers stepping in right of the open. That's what we got BUT we didn't push much below Wednesdays low before recovering.

Once again we have Globex pushing up from yesterdays close. This time though, it's staying within Thursdays range so far. So we could get another correction down off the open but it's a bit less likely as being in the prior days range makes is somewhat more neutral.

So look for the sell of, but be wary around yesterdays close/value high as we may well use that as a launch point up to the highs.

No trading for me though - I just got bitten by a dog our cycling - so off for Rabies shots instead! Marvellous....

Weekly Numbers
Range - 1817.25 -> 1839.50
Value - 1824.00 -> 1833.50
S1 - 1816.00, R1 - 1840.75


Daily Numbers
Range - 1824.25 -> 1838 (pit)/1839 (globex)
Value - 1826.50 -> 1833
Globex - 1832.50 -> 1839.50

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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13th November



Last week we got some but not all of the pre-holiday volume back. We are close to the "Santa highs" and we haven't really resolved the question of whether they will hold or if we will drop back into the Mid Nov-Mid Dec range. Hopefully we'll get more volume in to the markets this week.



Looking back at last week it was sideways with a somewhat positive slant. So you have to say that a break of the high this week looks more likely than back thru 1806.25 down to 1794.14 and then to 1767.50.



Looking at the weekly profile, we can see the bulk of trading last week was around the 1832 area and not much above it. If we are to move down, it will probably be a grind as we chew through that area of high volume. On the other hand a move to the upside will most likely be faster. We are close to the middle of last weeks range, just above where the volume was. That in itself is never a good thing if you are looking for volatility.



Here's something else you don't really want to see if you want volatility - the globex session being in the range of the last 3 pit sessions...

So - I'm looking for a grind if we move down and acceleration if we get above 1838, if that happens, I do expect last weeks high to be tested (1842.50) and then a run to the Santa high 1846.50. A poke through that and we could then have a 1806-1850 range to rotate around for a few weeks.

Should we go down, then it;ll be slow till the low 20's after we can accelerate to last weeks low and test the 1806.25.

Weekly Numbers
Range - 1817.25 -> 1842.50
Value - 1824.00 -> 1834.00
S1 - 1826.75, R1 - 1845.33


Daily Numbers
Range - 1826.00 -> 1838.75 (pit)/1842.50
Value - 1827.50 -> 1833.50
Globex - 1830.50 -> 1838.75

Other - 1846.50, 1833.25, 1820.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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December 14th



Yesterday was interesting, as expected we did start off in a range for the morning session. Then we had a major breakdown. I have highlighted in yellow the potential ranges we may mark out for the next month or so. We still need to break 1806.25 to get into the late 2013 range, if not we are looking @ 06.25-> 50 range.



We can see 2 distributions this week but the lower one is mostly the Globex session from yesterday. As with all days where we have a decent drop, we could well take it all back today. On the other hand, we could break 06.25 and start moving towards 1767.50. For today, when the pit session opens, last weeks low of 17.25 will be one to watch to see if we can stay below that level. Even if we open above it in the remainder of the Globex session (7:30am at writing) the pit session will be more important in terms of sticking below that level. If we get above 21.50, then we could see us take back most of yesterdays move down.



Not much more information from the split profile other than the Globex trading is above yesterdays low and around yesterdays close. That makes it neutral in my opinion but a break either side could see an extended run as we don't have a lot of recent volume traded at these prices till we get up to the 20s or down to 06.25.

Weekly Numbers
Range - 1817.25 -> 1842.50
Value - 1824.00 -> 1834.00
S1 - 1826.75, R1 - 1845.33


Daily Numbers

Range - 1809.50 -> 1838.25
Value - 1819-> 1838 (but pretty much irrelevant on a day like yesterday)
Globex - 1812.75 -> 1819

Other - 1846.50, 1833.25, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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15th Jan



It's looking more and more likely that we are keeping the Santa gains for now and rotating around 06.25-50.00 for a while before making the next move.



This weeks profile now has 2 distributions and very little trading between 20-29.25. If we break back into that range, we could quite easily slip to the distribution on the opposite side.



As we mentioned yesterday, after a big move down you often make it all back up the following day. At the open, it actually seemed quite slow in the first hour yesterday and looked like we might be in for a choppy day but we did eventually break up and make back most of the ground.

Right now (7am) the Globex session is above yesterdays high and we have PPI at 8:30 am. We could be on for a new all time high today but with overnight inventory long, we may see an initial sell of. Still, a couple of hours to go before the open and the picture might change.

Right now, this is not a neutral open, so watch for selling at the open.

Overall, look out for a move to 46.50 and a pop through but be very wary if we drop through 29 as there's not much below us in terms of volume traded this week.

Weekly Numbers
Range - 1809.50 -> 1839.75
Value - 1819.75 -> 1838.25
S1 - 1826.75, R1 - 1845.33


Daily Numbers
Range - 1812.75 (globex)/1815.75 -> 1834.25
Value - 1824.25 -> 1834.25
Globex - 1831.50-> 1837.75

Other - 1846.50, 1833.25, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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Brother Peter,

Just a shout to apologize again for my tone in that Paypal correspondence. Someday I will learn not to
communicate with others online when in a bad frame of mind over something else.

I have always found you to be of impeccable character and your tools are simply the best.


See, I am giving myself a public flogging even if you chose not to.


grazie


AJ
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Brother Peter,

Just a shout to apologize again for my tone in that Paypal correspondence. Someday I will learn not to
communicate with others online when in a bad frame of mind over something else.

I have always found you to be of impeccable character and your tools are simply the best.


See, I am giving myself a public flogging even if you chose not to.


grazie

lol - that made me laugh. As before - no problemo.

It pales in comparison to the verbal bearings I get off my wife a daughter....

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16th Jan



Back up to the highs as expected yesterday. We came within 3 ticks of the all time high yesterday so now we have to consider a turn back down to 06.25. I was expecting a poke through the highs before rolling down so I'll be looking out for that to happen still. We do have employment numbers before the open and the Philly Fed at 10am, so that might be the push we need.

Continuation up at this point is my least likely scenario but of course anything can happen. If we do push up, I'll be looking for a pullback to 46.50 for a continuation long. Still - I am biased to a return to 06.25.



The 38-38.75 area held for 9 pit sessions with hits to the high on 4 out of those days. I'm adding 38.50 as a level. This is also a possible support point if we do move up. I'll be looking at that to be a key level today in terms of a move up.

As at writing we have held yesterdays value area high and are now trading below the open. Still, I think this globex session is pretty neutral at this point (6:30am EST). Yesterdays VAH of 43.75 will also be a key level and could be the point sellers step in.

Overall - expecting a pop through the highs and a move down towards 06.25 with 38.50 as a line in the sand that longs need to defend.

Weekly Numbers
Range - 1809.50 -> 1845.75
Value - 1825.75 -> 1844.25
S1 - 1826.75, R1 - 1845.33


Daily Numbers
Range - 1831.50 (globex)/1836.50 (pit) -> 1845.75
Value - 1840.75 -> 1843.75
Globex - 1838.25 -> 1843.75

Other - 1846.50, 1838.50, 1833.25, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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17th Jan



Whenever I see something like this, first thought in my head is always "just drive it through the high you bunch of wimps". We are very close to the all time high and it seems rude to not drive through it, if for no other reason than to see if there's more buyers up there. Look a little lower on the above chart to the highest of the blue lines and you can see that we've done this before.

So I still think a poke up is likely but we could be done now and be headed back to 06 area.



The weekly profile shows a clear double distribution and that there's not been a lot of activity between 20 and 30 this week. So if it does drop through 30, then we could see it follow with another 10 points and possibly to the weekly low.



The daily profile shows we had made 2 points lower low yesterday but it was a very narrow day and the Globex session so far (5am) is trading within that. We do have a fair amount of news today but we really need to get shaken out of yesterdays range or we could see another low range day.

So I'm watching for 30 to break for a good run down or for the all time high to break. Within the 30-45 range, I can see it being a bit choppy.

Weekly Numbers
Range - 1809.50 -> 1845.75
Value - 1830.75 -> 1843.75
S1 - 1826.75, R1 - 1845.33


Daily Numbers
Range - 1834.50 -> 1841 (pit)/1843.75 (globex)
Value - 1840.75 -> 1843.75
Globex - 1838.25 -> 1843.75

Other - 1846.50, 1838.50, 1833.25, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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21st January

Always a bit tricky to know what to do after a holiday like that, we did have a partial day on Monday but not much trading, so this prep has to try to figure out the best way forward for me in terms of looking at 'prior day' - is it yesterday of Friday?



Big picture remains unchanged, I'll be looking for a poke through the high to fail and for us to head back to 06.25.



So to the days... we can see that the Sunday Globex and Monday hour session was all within Fridays range, so I'll look at Fridays VAL/VAH/Highs/Lows for reference.

In any case we have poked above that in the Globex session so far (6am)and so there is an argument to say that overnight inventory is long even compared to Friday. As such, an initial sell off at the open is a possibility, especially if we get back to the Globex highs by the open time. There's no real news to help us do that but we are still above Fridays settlement so although I'd like to see more extension above Fridays high before the open, an initial sell of is still likely.



From a weekly perspective, we can see the bulk of trading this week has been in the upper distribution from last week. If it stays in there it could well be sluggish. If it breaks down through 1830, we could see last weeks lows fairly quickly.

Weekly Numbers
Range - 1809.50 -> 1845.75
Value - 1831.25 -> 1843.25
S1 - 1814, R1 - 1850.25


Daily Numbers
Range - 1829.25 -> 1840.50
Value - 1834 -> 1839.50
Globex - 1833.50 -> 1843

Other - 1846.50, 1838.50, 1833.25, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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22nd January



Still hugging the top of this range and I'm still looking for it to move out of the 30-44 range we market out last week.



We did pop down through 30 yesterday and as we can see, that is a dip below the upper distribution from last week. This weeks value is within last weeks value so that pop down yesterday seems to be more like range extension. I'm still expecting 30-44 to still be a little choppy.



A rather odd looking profile so far. We did have the expectation of an initial sell off from the open in yesterdays prep and we did get that but it was a little sluggish. We then did pop down thru the 30's, the point at which I thought we'd see more of a breakdown but what we got was buyers coming in driving it back into the 44 level again. So it seems 44 is expensive, 30 is cheap right now.

Globex action is fairly neutral, not much news and in last weeks range, so expecting it to be a bit slow in this area but the longer we stay here, the more power we have for the eventual breakout. I'm still thinking 06.25 is a possibility to the downside.

So no real bias at these levels - range is still 30-44 which is narrow, so looking for a break either side.


Weekly Numbers
Range - 1809.50 -> 1845.75
Value - 1831.25 -> 1843.25
S1 - 1814, R1 - 1850.25


Daily Numbers
Range - 1826.25 -> 1844
Value - 1830 -> 1839.00
Globex - 1834.75 -> 1843.25

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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23rd Jan



So still up here in the 30-44 area, still waiting for either a pop through or failure to the downside and really not a great deal of indication as to which way we will break.



The weekly profile shows how 'stuck' we are in this area. We can see that we traded there most of last week and are now doing the same thing. On the bright side, this is creating lots of positions that will bail and help to create an extended move as we break out.



In terms of the daily chart, we had quite a narrow day yesterday and a sell off overnight. That leaves overnight inventory quite short. That means an initial correction upwards could be on the cards. I'd be looking at 1835 as a potential stopping point for any move up. I still think we could breakdown to the downside and I previously thought that would happen when 1830 broke. For now, I'm looking to the weekly low 26.25 for that breakdown.

We did have a big range overnight and of course there is a chance we could pop right through the top and break the all time high. Of late though, we've seen a lot of big overnight moves followed by small intraday range. Then Asians & Europeans having all the fun.

Unemployment claims @ 8:30am and home sales @ 10:00am might be the push we need to break out of this area.

Don't hold your breath though!

Weekly Numbers
Range - 1816.25 -> 1844.00
Value - 1831.00 -> 1840.00
S1 - 1814, R1 - 1850.25


Daily Numbers
Range - 1834.75 (globex)/1835(pit) -> 1841.75
Value - 1837.25 -> 1840.75
Globex - 1828.75-> 1844

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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24th January

We've been looking for a pullback to the mid November - Mid December highs since the new year started. We started off this week with a lot of trading in the 30-44 area and we finally broke down.



The upper distribution from last week was 30-44 and the lower distribution was 13-18. We did have a bounce off 18 and need to now break 13 to then run for the low. At that point my guess is we'll head back up towards 50 (red arrows) but there is a chance we'll get back into the Mid Nov-Mid Dec range again.

For me that is just a matter of letting the level play out - hero traders can fight over it if they want but I'm happy to be a wimp and catch some scraps when it's clear which way we are heading.



On this weeks profile we can see that we are potentially building out a shorter term 16-26 range and so we might not get out 06.25 today if we end up rotating around there. Just another possibility to be aware of.



As of typing (5:45AM EST) we are threatening yesterdays lows. In fact since I tool the pic above we have traded yesterdays low. Of course we do have very short overnight inventory which can often see a snap back up. That is short inventory based on yesterdays close though and all overnight action is so far within yesterdays range to that makes it more neutral to me.

No real news to speak of today so watch out for levels above yesterdays VAL/VAH to hold if we do have a pop up to then take a ride down towards 06.25.

Have a great weekend all.

Weekly Numbers
Range - 1813.75 -> 1844.00
Value - 1830.00 -> 1843.00
S1 - 1814, R1 - 1850.25


Daily Numbers
Range - 1813.75 -> 1830 (pit)/1844(globex)
Value - 1817.25 -> 1823.75
Globex - 1813.75 -> 1828

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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27th Jan

Well - the sky is falling in.....



Or may be we have just dropped into the mid Nov - mid Dec range as we've been waiting for since the start of January.

Now we have our majory 67.50 line below us, which is the next downside level to test. Then 49.25 and then 30.25. Even at 30.25, I'd still see this as overall rangebound action. We can see the 06.25 line above us, that was the previous top of the range and so if we do head up off the open that's a major level being the top of the mid-Nov to mid-Dec range.



The weekly profile shows we have dipped below last weeks low in the Globex session. We are now back within it but obviously lots of people will have their eyes on that level! We can also see a "single print" at 1805, so another reason for people to be looking @ the 06.25 area.



We can see that the single is also present on Fridays profile and 03.75 is the value area high. So this means to me that the whole 3.75 -> 6.50 area could see a lot of action as it gets traded both ways by people looking at the market in different ways. For me - I'll stay out of that area and then get in when it's resolved one way or the other.

As with any bid down day, we can expect a snap back up the next day - so obviously that's something to look out for off the open and potentially getting long into the 3.75 area with a bit of breathing room in the trade. Right now though, I can't say I have any bias, just a couple of scenarios and I'll try to see which is playing out.

Weekly Numbers
Range - 1781.25 -> 1844.00
Value - 1822.00 -> 1843.00
S1 - 1760.75, R1 - 1823.50


Daily Numbers
Range - 1781.25 -> 1812.25 (pit)/1828.00 (globex)
Value - 1814.00 -> 1828
Globex - 1776.25 -> 1792

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1749.25. 1730.25, 1720.75, 1700, 1697.75

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28th Jan



This is something I should have spotted and mentioned in yesterdays prep.We can see Fridays spike up in the VIX and we can see similar spokes in October, June and to a lesser extent earlier in the year. When we get these spikes, the liquidity AKA number of contracts at each level on the DOM reduces by about 60% and yesterday was no different. This in itself is not responsible for the drop BUT it is responsible for the massive amount of 'wiggle' in the markets. With so few limit orders, the ES can whip 4-6 ticks either way with no warning.

So with this in mind, if you do see average depth on the DOM at 3-400 contracts at the first 3 levels you need to change your game or stand aside. Certainly you need to loosen up your stops.



Here's the past few days move on a much larger scale. It is a decent drop but what we did was give back all the low volume gains made over the holiday period and go back the mid-Nov to Mid Dec range. The 76.50 level I mentioned in the prep yesterday was the breakout point of the range we were in until we broke out on 13th Nov.



Below us we have levels at 49.25 and 30.25. So if we do run back to the 76.50 level and break it - look for those next. As we run down, also look for the December low at 54 because January is the 7th consecutive month of higher lows on the ES and if we break 54, we break that.



Todays Globex session is in the middle of yesterdays range. It's neutral to me, although some people will look at this as a Globex session that could be followed with a quick sell off.

For me - I'll watch out for the volatility first, let it play out and see if there is going to be a run one way. The bounce of 67.50 area (well 67.00 to be exact) was expected and does see us potentially moving back to 1850 over the next few weeks. We need to hold that ground now and that's what to look for today.


Weekly Numbers

Range - 1781.25 -> 1844.00
Value - 1822.00 -> 1843.00
S1 - 1760.75, R1 - 1823.50


Daily Numbers
Range - 1767.00-> 1791 (pit)/1792(globex)
Value - 1775 -> 1787.50
Globex - 1770.75 -> 1786.50

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1754 (Dec low) 1749.25. 1730.25, 1720.75, 1700, 1697.75

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29th Jan

At this point, I feel like I am repeating myself. Mind you, so is the market.



So now the question is - will the mid-Nov to mid-Dec range hold, which means we get to 06.25 and turn down to 1767.50 or will we go up towards 1850 again?




The VIX has settled a bit and even mid-morning yesterday we had better liquidity but still watch the depth to get an idea of how volatile it will be. If the depth is low, then loosen the stops.

Of course, being FOMC day we could have quite a dull morning.



I have 1794 as a minor level - we didn't up that high yesterday but we have popped through it overnight. Now we have dropped back down. If we look to the left we can see that we have mostly stayed below 1792 this week and so the first order of the day IF we are to hit 06.25 is the area boxed above.

It could be we are done now to the upside after the push up in the Globex session. It's something that you could look for playing out off the open but then it is FOMC day. Still, it's well worth watching the 1790 level off the open.

Weekly Numbers
Range - 1767 -> 1801.25
Value - 1776.50 -> 1789.50
S1 - 1760.75, R1 - 1823.50


Daily Numbers
Range - 1770.75 (globex) 1776.75 (pit) -> 1788.75
Value - 1783-> 1787.75
Globex - 1779 -> 1801.25

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1754 (Dec low) 1749.25. 1730.25, 1720.75, 1700, 1697.75

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30th Jan



Just to put things in perspective. This pullback still isn't massive compared to prior pullbacks.



We are back to the 67.50 level and have poked through it. If it fails, we are looking for 1749.25 and possibly 1730.25. If not, back up to 1806.25 and possibly 1850. So lots of people will be looking to see which way this breaks.



Weekly profile is fairly evenly distributed and the 1788 is the weekly VAH, so it's worth paying attention to that area.



On a daily level, not much additional information other than the prior days highs/lows to look out for.

We still haven't broken last months low, which is 1754. My presumption is that everyone is waiting to see which way it breaks. Maybe unemployment at 8:30am EST or Home Sales at 10:00am EST will give us the answer.

I'm neutral and waiting to see which way it plays out.

Weekly Numbers
Range - 1764 -> 1801.25
Value - 1772.50 -> 1788
S1 - 1760.75, R1 - 1823.50


Daily Numbers
Range - 1764.25 -> 1781 (globex)/1801.25 (pit)
Value - 1783-> 1787.75
Globex - 1767.75 -> 1779

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1754 (Dec low) 1749.25. 1730.25, 1720.75, 1700, 1697.75

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31st January



Yesterday we only got as far as our 1794 level before turning down. Two scenarios come to mind there.
1 - We are making successively lower highs and so will drop through 67.50 and head to 50.
2 - We are in a narrowing range and so we may well not even make it to 67.50 - just more chop.

So with that in mind, 67.50 becomes an area of focus today.



Looking at the weekly profile, it's an more of a perfect "D" shape than yesterday if we ignore that little lump above 1795.

So with us being in the middle of that yesterday, there's really no benefit from looking at the daily profiles. Barring some news event, it's going to be tough going from 73->88.

So we can play from the outside back in or wait for a break. Playing in the middle is a tough proposition for me.

There is one more consideration. Last day of the month. It is possible we get a push up based on that but I'll still wait for a break upside above weekly value before taking a long.

Weekly Numbers
Range - 1764 -> 1801.25
Value - 1773.25 -> 1788.25
S1 - 1760.75, R1 - 1823.50


Daily Numbers
Range - 1767.75 (globex)/1785 (pit) -> 1793.75
Value - 1783.50 -> 1792.50
Globex - 1774.25 -> 1784.50

Other - 1846.50, 1838.50, 1833.25, 1830, 1821.50, 1806.25, 1796.25, 1794, 1779.25, 1778, 1767.50, 1754 (Dec low) 1749.25. 1730.25, 1720.75, 1700, 1697.75

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3rd February



We've had higher highs and higher lows for 6 months running. February broke that by not having a higher high in the pit sessions. January's low is 1761.25. If we break that to the downside, we'll have our first lower low for 7 months. It'll be interesting when that happens.



The VIX is spiking again and whilst last week was rangebound, it was quite a decent range because of the lack of liquidity. So again, watch the