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DTs Pre Market Prep


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DTs Pre Market Prep

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14th October

NOTE - This is the last prep for 2 weeks. I will be taking my father on vacation for the next few weeks.



It's worth stepping back and looking at the big picture. This is the first time since July 2010 that we have breached a major swing low. This isn't a huge pullback in the grand scheme of things but we are doing something we haven't done for a number of years.

With QE ending this month, we could see an adjustment to new price levels and then see a somewhat more rational market. Right now, it's swinging wildly with high volume and low liquidity.

The market has an inherent long bias. Many types of investment vehicle can only buy (e.g. mutual funds) or stay flat. They are not allowed to short the market.

So I see this as a buying opportunity and I'm scaling into longer term positions. I don't know how low it will go but I do believe it'll start going up again because of the built in long bias.



Yesterday we had


Quoting 
Still headed down and now to a very obvious price point. We can see that this area was resistance in Apri/May last year and support in August this year.

It's not very easy to pinpoint the exact price here. 1881.75 is the August low and 1877.25 was the first time this area became resistance. There is a line at 67.50. So I'd not consider this level played out till we get through that 67.50 area.

We dipped through the 67.50 getting down to 65. We have popped above it and today I'm looking to see if we can hold that but expecting them to run and break it.



Yesterday we had


Quoting 
On Friday, we went through the 1909.50 level and bounced up before taking another shot and having a run down. Todays Globex session is 100% short so far and below Fridays range. So I'm looking at Fridays low as we go into today and then the breakdown point at 1906.50.

We got up to 1906 twice, then rolled over. So the same again today... watching the breakdown point 1884 and the VAL at 1888. We also have a longer term level at 1877.25 which was irrelevant in yesterdays sell of but has provided resistance in the Globex session as at this point (4:20am EST).

So look for an upside test and for sellers to come in. I'll need a lot of confirmation to go long!

Weekly Numbers
Range - 1893.25 -> 1971
Value - not much use on an elongated week like last week
S1 1868 R1 1945.75

Daily Numbers
Range - 1865 -> 1906
Value - 1888 -> 1903
Globex - 1863.75 -> 1878

Settlement - 1865.50

Today: 1884

Long Term - 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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I'm sure we will miss having your daily posts.

However, in the last years of my fathers life, he and I took a 'vacation' trip.
Now that he is not with me any longer, those are some of the best memories of our friendship.

Have a great time and savor the moments.

Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
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30th October

Back of vacation and wondering what all these squiggly lines on a chart mean. First few days back for me is just really getting back into the swing of things with no pressure to trade.



Seems like a lot of fun was had in my abscence. A huge volume day signaled the end of the down move and we are now looking like the tops are at risk again. We have broken above the 77.75 level and taken a pause there. I don't have any more levels between here and 2003. So today looking to see if we can properly pop thru 77.75 and then it looks like it could be a slow grind to 2003 if we consider all the chop to our left (the dreaded white box).



We pulled back yesterday to 78.50 and so that is worth watching today. We do need to 'escape' the Tuesday/Wednesday range and if 78.50 holds, I wouldn't expect too much more than a trip to yesterdays pit session low.

So far yesterdays value low has held in the Globex session but this is a very early prep. That low is also close to the 70.25 level.

So today I'm looking at 78.50 and yesterdays levels. Expecting grind if we move up.

Not much more to say until I get back into the groove as I've not been participating through all of this up move and I have no 'feel' for how those days have been playing out.

Weekly Numbers
Range - 1944.50->1985.75
Value - 1958.50 -> 1981

Daily Numbers
Range - 1962 -> 1985.75
Value - 1970 -> 1982.50
Globex - 1970-> 1974.75

Settlement - 1972.25

Today: 1978.50

Long Term - 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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31st October

Last day of the month this month. With the lack of overall liquidity, I don't think we can reliably make any presumptions based on that this month.



Wow.... So that's the high gone. So obvious question to answer today is "can we keep it". If so - a push up and a retest of 2015.25 would be an interesting long but we'd need more of a push up first. Obviously if it sells off, there should be a lot of people on board, looking at the double top and shorting it.



Given the move, there's not much to play off. If we do move down then yesterdays high or value high will be of interest as will 2003.

Yesterday we had a very erratic market until 10:15. The period from 9:30->10:15 was very tough to trade and so today I'll be looking to see if that part of the day is 'erratic' and look to play when it slows down. I don't expect levels to hold in the early part of the day or rather I don't expect them to hold with the sort of accuracy we usually see as it's so slippy.

Once we get to 10:15, I'll be looking at the reaction from the levels for bias and then see if I can play off the swing sizes or volume profile.

There is obviously more opportunity on the table because of the bigger swing sizes but the risk is greater too. I personally don't like this sort of market. As the next few weeks unfold, I'll either be adjusting my techniques or moving to a more liquid market.

Weekly Numbers
Range - 1944.50->2016.75
Value - 1952.25 -> 1980.25

Daily Numbers
Range - 1968 -> 1994.25
Value - 1977.25 -> 1993.75
Globex - 1970-> 2016.75

Settlement - 1988.50

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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3rd November



We took a poke through the highs in the globex session on Friday and in the day session has the smallest range day for a while, just rotating around.

On Friday we had
Quoting 
Given the move, there's not much to play off. If we do move down then yesterdays high or value high will be of interest as will 2003.

The 2003 level does seem to be holding right now and I'll be using that as a line in the sand and expecting sellers to come in if it breaks.



The weekly profile shows very thin trading below 2003 down to 1994.50. On the top chart above, that area was a chop zone, so that implies churn below 2003 but more recent action shows it shot straight through that area, so I'll be looking for more recent history to repeat itself.



This image better shows the big move up in the Globex session on Friday. We did see 2003 holding (well 2002.25) and that was confirmed in the pit session. The current Globex session (as at 5:25AM EST) is very narrow and the volume is relatively light too for the time of day. Whilst it would be good to see 2003 hold again for upside, we are in danger of getting into narrow chop which would be the complete opposite of the huge range days we have had of late, so I think we have to be wary of the market switching gears at these levels.

Of course it could just rally up to 2030 today so it's just a possibility to be aware of now we are at the highs.

So if 2003 holds, I'll stalk longs, if we pop up through 2015 and pull back to it, same thing. If 2003 breaks or 2015 holds as resistance, I'll look for shorts. In between those prices, I think we need to exercise caution. Fridays value area is pretty narrow and so trades off that area are a possibility, they might not yield much.

Weekly Numbers
Range - 1944.50->2016.75
Value - 1949.50 -> 1983
R1 - 2037.25, S1 1965


Daily Numbers
Range - 1986.74 (globex) / 2002.25 (pit) -> 2013 (pit) / 2016.75
Value - 2005.50 -> 2010.50
Globex - 2007.50 -> 2012.50

Settlement - 2011.50

Today only - 1994.50

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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4th November

An early prep today 3am EST.



Yesterday we had


Quoting 
Whilst it would be good to see 2003 hold again for upside, we are in danger of getting into narrow chop which would be the complete opposite of the huge range days we have had of late, so I think we have to be wary of the market switching gears at these levels.

So no great shock that we had a fairly narrow day. We did pop up and make a new high but those pops up didn't get anywhere. We settled 2 ticks below Fridays settlement.

In effect we go into today in basically the same position as yesterday...



As per yesterday


Quoting 
The weekly profile shows very thin trading below 2003 down to 1994.50. On the top chart above, that area was a chop zone, so that implies churn below 2003 but more recent action shows it shot straight through that area, so I'll be looking for more recent history to repeat itself.



11.5 points range yesterday. We can see the afternoon was more directional once sellers finally came in. We are now back in between the 2003 & 2015.50.

As per yesterday


Quoting 
This image better shows the big move up in the Globex session on Friday. We did see 2003 holding (well 2002.25) and that was confirmed in the pit session. The current Globex session (as at 5:25AM EST) is very narrow and the volume is relatively light too for the time of day. Whilst it would be good to see 2003 hold again for upside, we are in danger of getting into narrow chop which would be the complete opposite of the huge range days we have had of late, so I think we have to be wary of the market switching gears at these levels.

Of course it could just rally up to 2030 today so it's just a possibility to be aware of now we are at the highs.

So if 2003 holds, I'll stalk longs, if we pop up through 2015 and pull back to it, same thing. If 2003 breaks or 2015 holds as resistance, I'll look for shorts. In between those prices, I think we need to exercise caution.

The main difference today is that prior day value area is a little more significant and more worth playing.


Weekly Numbers

Range - 1944.50->2016.75
Value - 1949.50 -> 1983
R1 - 2037.25, S1 1965


Daily Numbers
Range - 2007 (globex) / 2007.75 (pit) -> 2019.25
Value - 2009.25 -> 2015.75
Globex - 2005.50 -> 2012.25

Settlement - 2011

Today only - 1994.50

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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November 5th



Still probing around the 2003-2015.25 range. Obviously building energy/positions in this range for the eventual break out. With something like this, I look for the range to hold (till it doesn't ) and when it breaks, look for the range extreme to hold for a continuation away from the range.



The weekly profile shows very even distribution around the Point of Control for the week (2009.50) . That makes 2009.50 probably the worst place to take a trade.



I don't see much of a pattern in terms of intraday support levels based on prior high/low/value areas. I'm watching them as always but not expecting much. We have hit the high extreme in the globex, so it may be that we now traverse down to 2003 but that's fairly tenuous.

I won't be in a hurry to trade today. It's choppy and that's generally a tough trade.

And best wishes to Ian at Jigsaw today who had a bump on the head on Sunday and ended up in the operating theater last night removing a blood clot that was squishing his brain. May you make a speedy recovery, my friend!


Weekly Numbers
Range - 1995.25 -> 2019.25
Value - 2005.25 -> 2012.50
R1 - 2037.25, S1 1965


Daily Numbers
Range - 1995.25 -> 2010.50 (pit) / 2013.75 (globex)
Value - 2001.75 -> 2008.75
Globex - 2003.75 -> 2015.25

Settlement - 2005.50

Today only - 1994.50

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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November 6th

An early prep today, so Globex action could change the picture.



As per yesterday


Quoting 
Still probing around the 2003-2015.25 range. Obviously building energy/positions in this range for the eventual break out. With something like this, I look for the range to hold (till it doesn't ) and when it breaks, look for the range extreme to hold for a continuation away from the range.

Not much more to add other than we seem to be trading more at the top of the range than the bottom.

Intraday though, the market is acting much more like the ES we know and love. It's not as erratic as it has been in since mid-September. Of course, that could just be because we are in a relatively tight range. We had good liquidity for a lot of yesterday with periods where depth was back in the 1000's per level. We also got a decent amount of stacking and that in turns means we had levels to lean on and time to make a decision.

Levels to lean on were also holding to the tick, not like the 5-6 ticks slip throughs we saw when liquidity dropped.

So it remains to be seen if this will continue when we break out but we can hope.



The weekly profile shows how the range is shifting up from both a time and volume perspective. Classic profile analysis tells us that means it's more likely to go up. For me, it makes it trickier to guage where a re-test will be if we move up and come back down.



Yesterday we had


Quoting 
I don't see much of a pattern in terms of intraday support levels based on prior high/low/value areas. I'm watching them as always but not expecting much.

And yesterday broke the "non-pattern" by probing down to Tuesdays value high before buyers came in. So whilst it wasn't what I was expecting, it was certainly nice to see as it's more in line with the personality of the ES.

The range yesterday was just under 12 ticks. We are at the top of a distribution that has lasted 3 days and so there is energy built up for a break. So today, looking for a signs of a break. By the time the pit session opens that may have happened aready (either side). If it does break in the Globex, then looking to see if that can be carried through when the real volume comes in at 9:30.

If we do get a break, then I'll go with the move and if not, I'll be biased short. Also watching yesterdays intraday levels for a hold if I the overall range holds - playing the range with a view to get to the other side but being wary of those intraday levels. If an intraday level holds, then I think the chance of a break increases significantly.

Weekly Numbers
Range - 1995.25 -> 2020.50
Value - 2007 -> 2016.50
R1 - 2037.25, S1 1965


Daily Numbers
Range - 2003.75 (globex) / 2008.75 (pit) -> 2020.50
Value - 2013 -> 2018
Globex - 2012.25 -> 2019.75

Settlement - 2018.75


Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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7th November, 2014



We have now pushed up away from the range early in the week. In terms of upside, it would be nice to see the market re-test the top of the range and reject it. That would give us higher probability longs. If we continue straight up, I will participate but I see those as lower probability trades till we have a test of some sort.

Of course, we could just sell off and again, the range high is key. Any short into the range high risks at least an initial bounce when we get there.



So where is the range high? Looking at the profile for the week, I'd say around 2018 area is the top of the distribution. So looking for 2018-2010 as a line in the sand for both sides.



That 2018-2019 area does look a long way down, so we also have yesterdays value high at 2025 and the late pullback from yesterday at 2022.25.

So today will play upside but feel better about it if there's a downside test. We are 100% long right now in the Globex session and shorts will be OK down to 2018-2019. If we move down off the open we have to be wary of those test areas because longs are used to getting their own way and shorts are used to getting trampled right now.

Weekly Numbers
Range - 1995.25 -> 2032.75
Value - 2006 -> 2017.75
R1 - 2037.25, S1 1965


Daily Numbers
Range - 2010.75 -> 2028.50
Value - 2016.50 -> 2025
Globex - 2027 -> 2032.75

Settlement - 2028
Today - 2018-2019

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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10th November



On Friday we had:


Quoting 
We have now pushed up away from the range early in the week. In terms of upside, it would be nice to see the market re-test the top of the range and reject it. That would give us higher probability longs. If we continue straight up, I will participate but I see those as lower probability trades till we have a test of some sort.

looking at the above zoomed in view, it does look like we've tested the top of the old range. So now looking to see if we can hold this for more upside today. So looking at 2020.50-2020.75 to hold.



Value wise - we can see the larger lower distribution from last week. We really do not want to start eating through that for long bias. I think last weeks value area is a good line in the sand for that but I'll give it a point below that before I start thinking we are back to the range and looking at 2005.



The globex session is so far basically moving around Fridays range, so just like last week, we need to be wary of starting out in a tight range. Wherever we open relative to Friday, I think tests of the highs/lows (or value area high/low) are going to be the best pointers early on.

So looking at a long bias needing 2020.50-2020.75 to hold then looking for 2018 to hold if that fails to maintain the long bias. Will take trades off Fridays key levels off the open with a preference for the long side. Switching to shorts below that 2018 level or a bounce off Fridays high/value high.

Weekly Numbers
Range - 1995.25 -> 2033.50
Value - 2003.75 -> 2019.25
R1 - 2041.25, S1 2003

Daily Numbers
Range - 2020.50 -> 2030.75 (pit) / 2033.50 (globex)
Value - 2024 -> 2029
Globex - 2021 -> 2029.50

Settlement - 2026
Today - 2018 , 2020.50-2020.75,

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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11th November



Another push up yesterday. Obviously no targets in sight as we are in fresh territory. Volatility is dropping and the market is reasonably well behaved.

If we do come back to the 2020 area to test the old high, that would be nice but we've already tested it once, so for the longs it's just a matter of finding something to lean on.



We can see that we have 2 distributions so far but it is early in the week. Still, we should keep an eye on 2030.25 as a line in the sand.



Levels from yesterday we can play off - we pulled back to 2030.25 in the afternoon, which is close to the VAL. That looks like a good spot but if we push up more in the remainder of the Globex session, I'll be looking for the globex highs too.

So bias long, looking at yesterdays level for cues as we are in new territory.

Weekly Numbers
Range - 1995.25 -> 2033.50
Value - 2003.75 -> 2019.25
R1 - 2041.25, S1 2003

Daily Numbers
Range - 2021 (globex) / 2025.75 (pit) -> 2035
Value - 2030.25 -> 2034.75
Globex - 2031.75 -> 2039

Settlement - 2034
Today - 2030.25->2030.50

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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12th November




So little occured yesterday, that we are basically in the same position.


Quoting 
Another push up yesterday (Monday). Obviously no targets in sight as we are in fresh territory. Volatility is dropping and the market is reasonably well behaved.

If we do come back to the 2020 area to test the old high, that would be nice but we've already tested it once, so for the longs it's just a matter of finding something to lean on.




Quoting 
We can see that we have 2 distributions so far but it is early in the week. Still, we should keep an eye on 2030.25 as a line in the sand.




Quoting 
Levels from yesterday (Monday) we can play off - we pulled back to 2030.25 in the afternoon, which is close to the VAL. That looks like a good spot but if we push up more in the remainder of the Globex session, I'll be looking for the globex highs too.

So bias long, looking at yesterdays level for cues as we are in new territory.

We also have 2031 from yesteday, so we make that a range 2030-2031 to look for today.

Weekly Numbers
Range - 1995.25 -> 2033.50
Value - 2003.75 -> 2019.25
R1 - 2041.25, S1 2003

Daily Numbers
Range - 2031 -> 2037.75 (pit) / 2039 (globex)
Value - 2032.75 -> 2036.25
Globex - 2030.50 -> 2037

Settlement - 2036.50
Today - 2030->2031

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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13th December



A fairly narrow week so far this week. Not much to see from the 4 hour chart. Yesterday we did nothing settling half a point from Wednesdays settlement.



We can see a distribution of activity 2030.50-2037 and we have popped above that. I have 2037 as a line in the sand, if it looks like buyers are defending it, I think it's a good long and hopefully we'll see the market move a little faster up there after what has been a bit of a slow week. If 2037 breaks to the downside I think we will see 2030, possibly quite slowly.



Yesterday we had a late pullback to 2031.75, so if we do move down, that is also a level to watch.

So not much on. I would prefer to see the range high hold for a decent push up. If we go back into the range, it'll probably be a grind again.

Weekly Numbers
Range - 2021 -> 2043
Value - 2029 -> 2038
R1 - 2041.25, S1 2003

Daily Numbers
Range - 2026.50 (globex) / 2027.75 (pit) -> 2037.25
Value - 2032.25 -> 2036.75
Globex - 2033.50 -> 2043

Settlement - 2036
Today - 2030.50 & 2031.75

Long Term - 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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17th November



Last week was relatively narrow, we kept the gains above the 2020.75 breakout point but didn't make much progress. The markets tend to move-consolidate-move-consolidate and we haven't really had a move since breaking the highs of 2020.75 that leaves a visible gap between consolidation areas. On the other hand if we look at the swing up from 1810, we didn't have much consolidation on the way up, so you could argue that this is just a 2000-2040 consolidation area.

I think there's an argument for thinking this is going to fall back below 2020.75 and through 2000 and I think there's an argument for this being consolidation after a 200 point move up and another move up after that consolidation.

Either way, we should now have built plenty of stops outside of last weeks range. We can't tell when it'll break but we can, try to get positioned into that break and not worry too much about longer term.



Last week we have double/triple distribution. There is a case for stops below 2026 with caution for shorts as we go to 2020.75. Also above 2037 we didn't have much trading and we may see acceleration if that breaks. We have low volume at 2030 so also look for that as a line in the sand.



We are below Fridays range right now. So look out for a rebalance up off the open if that is still the case at 9:30 AM EST.

I'll be looking at Fridays lows/value lows to see if we have a rejection going back into the range for a short. For longs - the 2026 and 2020.75 lines in the sand would give a good long if we see buyers come in there as I think we should at least get to 2030 if that holds.

Personally, I think the downside holds the most potential from where we are now as stops above are pretty far away. It looks like longs will be a grind till we get through the 2037

Weekly Numbers
Range - 2021 -> 2043.75
Value - 2030.50 -> 2038.50 (but look at the double/triple distribution)
R1 - 2047.50, S1 2024.75

Daily Numbers
Range - 2032 -> 2039.75
Value - 2034 -> 2037.50
Globex - 2026.25 -> 2035.25

Settlement - 2038
Today - 2030, 2026, 2020.75

Long Term - 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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18th November



Yesterday we had:


Quoting 
Last week was relatively narrow, we kept the gains above the 2020.75 breakout point but didn't make much progress. The markets tend to move-consolidate-move-consolidate and we haven't really had a move since breaking the highs of 2020.75 that leaves a visible gap between consolidation areas. On the other hand if we look at the swing up from 1810, we didn't have much consolidation on the way up, so you could argue that this is just a 2000-2040 consolidation area.

I think there's an argument for thinking this is going to fall back below 2020.75 and through 2000 and I think there's an argument for this being consolidation after a 200 point move up and another move up after that consolidation.

Either way, we should now have built plenty of stops outside of last weeks range. We can't tell when it'll break but we can, try to get positioned into that break and not worry too much about longer term.

Looking at the chart above it really looks like we just probed the top of the range. I was expecting acceleration above 37 but that was not apparent. So today I'm watching the top of last weeks range for acceleration on a break or a lazy roll over back down to 2000.



As we are above the main distribution from last week, we have to consider that as potential support now. So watching for a test around 2037 today (although we did get that late yesterday) and will be cautious if short into that price and looking for longs & a breakout if it tests & holds.



Not really much to add to the above based on the split profile. Globex has probed up and there's 5 hours left but for now we are just rotating around the top of yesterdays range and are currently testing 2037 again.



Yesterday was interesting. We can see we moved up to the white line (2037) and then moved back to the open which held before moving up to prior days high. Then down to the prior days low, then back to the prior days high and then 2037 acted as support. So lots of action at 2037 but also prior days high/low and the current days open.

What is significant about this is that this is evidence that REAL liquidity is getting back to normal. These are levels that everyone watches (especially todays pit session open) and when the market is thing, they are significant but it tens to slide through them a fair amount first. Yesterday we saw the sort of "to the tick" reversals that are more indicative of a thick market.

Obviously - you don't know WHICH of the levels will hold ahead of time - but we can start re-thinking how much breathing room to give trades, now that things appear to be getting back to normal.

Weekly Numbers
Range - 2021 -> 2043.75
Value - 2030.50 -> 2038.50 (but look at the double/triple distribution)
R1 - 2047.50, S1 2024.75

Daily Numbers
Range - 2026.25 (globex) / 2031.25 (pit) -> 2040.50
Value - 2035 -> 2040
Globex - 2036.25 -> 2042.25

Settlement - 2039.75
Today - 2037, 2030, 2026

Long Term - 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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19th November



We finally escaped the range to the upside. It was as a grind up on fairly low volume - 1.1 million for the day. A good trade would be a re-test of the range for a long or for sellers to show their faces now that we have hit 2150. To be honest, I'm still thinking 1700 was a good price...

Is this a reflection of the value of the economy as a whole? Or just lots of money swilling around looking for a home? I find it hard to rationalize. I am trying to resist the urge to be biase short because after all, it is going up.



Looking at the weekly profile 2044 looks like a logical spot for a pullback to stop. The way the profile is building is very indicative of a trending market - move-consolidate-move-consolidate...



The Globex session is in the middle of yesterdays range and mostly below settlement. Being in new ground makes it hard to pick levels but the value area from yesterday looks sensible. I think today though, it's probably a day for keeping an open mind and keying off levels that develop intraday. Unless I see a lot of action one side I don't really have anything for a bias or any recent activity to tell me it's behaving in a certain way (except up).

It is FOMC day, so it may well be that reaching 2150 and some hawkish move could start a move down. Probably not much to do in the morning though.

Weekly Numbers
Range - 20216.25 -> 2054
Value - 2027.50 -> 2044
R1 - 2047.50, S1 2024.75

Daily Numbers
Range - 2035.75 (globex) / 2039 (pit) -> 2054
Value - 2046 -> 2053
Globex - 2044.59 -> 2049

Settlement - 2048.50
Today - 2044

Long Term - 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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20th November



Still in a slow grind up overall. Still on fairly lackluster volume.



We can see that the weekly value area does mark out the 2 areas with the most action. We may end up seeing out the week just filling in the middle. I'm not expecting too much of a run unless we can break above 49.25 or below 37.



If we do push down, then there may be people thinking that this is a reversal off a major level - as we hit 2150 and then turned over. So the more down days we get, the more people will jump on that trade. I don't see much to play off other than yesterdays range and value extremes. So today, expecting not too much but would like to see a push down as I think that is the trade that will attract the most attention.

Weekly Numbers
Range - 2026.25 -> 2054
Value - 2037.75 -> 2049.25
R1 - 2047.50, S1 2024.75

Daily Numbers
Range - 2037.75 -> 2050.50
Value - 2041.75 -> 2047.75
Globex - 2039.25 -> 2048.25

Settlement - 2047.25

Long Term - 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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21st November



Good day yesterday to my surprise. Still moving up on weak volume and back through 2150 again.




Quoting 
We can see that the weekly value area does mark out the 2 areas with the most action. We may end up seeing out the week just filling in the middle. I'm not expecting too much of a run unless we can break above 49.25 or below 37.

Yesterday we dipped below 37 in the Globex session and shortly after the pit session open we got as low as 36.50. Buyers stepped in and we had a sraight run up to 52.

looking at the above profile, we have a step at 2043 and so that is an area to look out for today.



We can also look out for 47.25 as a line in the sand. Buyers stepping in there or 2043 should give us a good long. If 2047.25 breaks I wouldn't expect sellers to push it down but if 2043 goes then I would.

Of course, we also have to watch for a failure at the high or a point or 2 through it and sellers stepping in - 2054.

Strange, strange market....

Weekly Numbers
Range - 2026.25 -> 2054
Value - 2036.50 -> 2050
R1 - 2047.50, S1 2024.75

Daily Numbers
Range - 2035.25 (globex) / 2036.50 (pit) -> 2052.50
Value - 2046.50 -> 2052
Globex - 2049.75 -> 2053

Settlement - 2052
Today - 2043, 2047.25

Long Term - 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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24th November

Thanksgiving week - so it's likely to be a quiet week. Happy thanksgiving to all the Americans reading this. Thanks also for all the Thanksgiving buffets in Bangkok this week - I'm still deciding which one to pig out at!



Still working up. I still don't see anything above 2015.15 as a line in the sand. I am adding in 2026.75 as a longer term level. Otherwise it's all fresh air and a parabolic move up. It's hard to see how this is justified but the market can stay irrational for as long as it wants.



Looking at last weeks profile, we can see that we have very thin trading above the red line 2054.25. So I'm watching that area should we come down.



Also worth watching is 2063 - the late pullback on Friday afternoon.

So we are marching up, it's a hard market to short. We are in fresh area, so there's not much to play off and we do have some medium confidence levels below.

Watch out for the volume as it may be low right from Today. If so, try not to get chopped about too much!

Weekly Numbers
Range - 2026.25 -> 2072.25
Value - 2033.50 -> 2053
R1 - 2081, S1 2034

Daily Numbers
Range - 2049.75 (globex) / 2054.75 (pit) -> 2072.25
Value - 2056 -> 2064.50
Globex - 2060.75 -> 2067.50

Settlement - 2061.75
Today - 2054.25, 2065

Long Term - 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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25th November

Volume was pitiful yesterday with less than 800k traded. My guess is it'll be like this for the rest of the week. We need major news to really move this market if the participation is so low.

Participation also changes the characteristics of the market and for another 2 days, it's really a tough job to get into the rhythm of the market and make money from it.

We do have consumer confidence today at 10pm and there is a chance that'll cause a move.

On balance though, I'd rather take the time off and enjoy the Thanksgiving week.

So Happy Thanksgiving all and see you next week.

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DionysusToast View Post
25th November
Volume was pitiful yesterday with less than 800k traded.

One interesting thing last two sessions the High of the Day the was at the open.
(Friday and Monday)

FWIW

Edit at 9:54
If this continues as it is.
Another HOD at the open.

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1st December



We can't draw too many conclusions from last weeks trading as it was so light. We are pulling back to a prior high (2054) and so there is possibility we find support here for another move up. Still no sign of sellers but the higher we climb without a rest, the more power a sell of will have.



We can see that last week, most of the action was 2064.50->2073.25, as above it was a light week but it is possible these levels are significant into this week. Certainly a rejection of 2064.50 from below should give sellers a bit more courage. To the left we can also see the 2054 level significant as it's just above the top distribution from the prior week.



The split profile doesn't add much to this.

So a light week last week, trading in new territory, leaving us with not a great deal to play off unless we head down. So watching 2054 and 2064.50 to see if the market reacts.

Weekly Numbers

Range - 2060.75 -> 2075.25
Value - 2065 -> 2071.50
R1 - 2072.75, S1 2061.25

Daily Numbers
Range - 2063.50 -> 2073.25
Value - 2067.25 -> 2072.75
Globex - 2055.25 -> 2065

Settlement - 2066.25
Today - 2054, 2073.25, 2064.50

Long Term - 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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2nd December



A tricky start yesterday, a slow start off the pit session open which meant I missed the breakdown off the opening range BUT we did get a nice bounce back up after that push down (at which point you should have been expecting a reaction) with decent opportunity to get on board. It was fairly volatile despite just a 12 point range.

So eyes on the depth today and (for me anyway), try not to fall asleep if it's slow off the open. It's worth keeping an eye on oil too right now in terms of looking for clues the indices are going to break.



If we look left (and we are reaching for levels up here), we can see a step in the profile at 2048.25 which is our current week low, so that's worth keeping an eye on. Above us, the same 2064.50 level from yesterday. Lines in the sand albeit minor ones.

What we don't want today is to stay in this range 2048-2060 , otherwise that might capture the action all week.



As we can see a very swingy day once we broke out of that initial narrow range off the open. It's making the new 2054 level look like it's insignificant, so that will come off unless we get a reaction there. Like I say - not much to play off up here as it's still fairly new ground. So today - the 2048.25 and yesterdays range/value and then looking at what develops intraday. And of course, trying not to get cut up if it's more volatile.

Weekly Numbers
Range - 2060.75 -> 2075.25
Value - 2065 -> 2071.50
R1 - 2074, S1 2060

Daily Numbers
Range - 2048.25 -> 2060 (pit) / 2064 (globex)
Value - 2051 -> 2056.50
Globex - 2049.50 -> 2059

Settlement - 2050.75
Today - 2048.25, 2054, 2073.25, 2064.50

Long Term - 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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3rd December



An interesting day yesterday - we pushed up and seemed to spend an eternity around 2060 building volume before moving up to 2060.

If we are building a consolidation area here, it's looking to be a small one. I'd like to see us hit the high and roll over to 2027 area and then consolidate 2027-2080 for a month or so. That would make me feel a bit better about moves up.



last week we had a lesser traded (time wise) area at 2063.25 and I'll be watching that same area today. We also have the 2060 area and below where the bulk of this weeks trading has been. Below 2060, we should grind down to 2051.



Yesterday we had the pullback to 2060 which was also Sunday/Mondays Globex high. So that seems like a reference point worth watching. It's also above the VAL at 2059.75. This would be an ideal area for a long because if it holds, people will jump on the move. If it breaks, I don't see people jumping on it to the downside, rather it looks set to be a grind down.

We can also see here how the 2063.25 area has potential. It does seem a bit close to the highs to be a good long but this market is shy of sellers of late, so I'm looking at that as a minor line in the sand as we might not make it to 2060.

Weekly Numbers
Range - 2048.25 -> 2068
Value - 2051 -> 2059.50
R1 - 2074, S1 2060

Daily Numbers
Range - 2049.50 (globex) / 2052.50 (pit) -> 2068
Value - 2059.75 -> 2066.25
Globex - 2063.25 -> 2067.75

Settlement - 2066
Today - 2063.25, 2060

Long Term - 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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4th December



Normally - this is what I'd be expecting the market to do after a run up. We do have signs of the market wanting to take a pause and consolidate and I'm certainly NOT calling this a top.

So let's see how this plays out. Sellers have been very much absent since 1820 and this isn't the time to fade the market on a swing trade but if it does move down, I favor a consolidation forming.



Looking back at the week so far we've been dipping into the prior day off the open but not to any particular common reference points. Yesterday I was looking at 60 and 63.25 which were relatively modest pullbacks but we didn't get anywhere near that low.

Volume is low - 925k contracts yesterday.

So the plan today - not worry too much about the "usual" reference points. Watch the volume and watch for a very modest move down off the open and be ready to buy at modest pullbacks or not at all.

With the low volume, I think what we need to also look at is the "wiggle" in the market. If we see lost of 3-4 tick sudden moves either way, then it's being nudged around a lot and the thing to do is wait for a nudge and fade it as long as you aren't seeing directional moves on correlated markets.

Of course, you don't have to play that game but if you do see the above, your game plan will need to change anyway as this nudging around will necessitate widening of your stops.

Weekly Numbers
Range - 2048.25 -> 2076
Value - 2050.50 -> 2065.50
R1 - 2074, S1 2060

Daily Numbers
Range - 2063.25 (globex) / 2065.50 (pit) -> 2076
Value - 2068.50 -> 2072.50
Globex - 2071.25 -> 2075.25

Settlement - 2072.50
Today - 2075.25

Long Term - 2075.25, 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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8th December



We are slowly grinding up on fairly low volume. It would make sense for a range to form at this point but the market isn't making much sense right now, so we may just grind up to the New Year.



With a grind up in mind, we keep an eye on downside reference points. Last week the down moves were shallow. Based on the weekly profile 68.25 looks a reasonable shallow pullback point. We could well test that before the Pit session open.



Another 'feature' of last week was that we were pretty much ignoring the 'usual' reference points. This may be the market getting pushed around on low volume but it seems we are having to take our cues off intraday developing reference points.

Moving up is most likely still overall. For any serious short positions, I'd want to see good delta shift on a push down, preferably after failing to hold a new high. Otherwise basically looking to the volume profile to see if some support forms early on.

Weekly Numbers
Range - 2048.25 -> 2079
Value - 2057 -> 2076.50
R1 - 2056.50, S1 2087.25

Daily Numbers
Range - 2068.50 (globex) / 2069.75 (pit) -> 2079
Value - 2072.50 -> 2077
Globex - 2068.50 -> 2077.50

Settlement - 2076
Today - 2068.25

Long Term - 2075.25, 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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DionysusToast View Post
Based on the weekly profile 68.25 looks a reasonable shallow pullback point. We could well test that before the Pit session open.

LOL so far 67.75...

Close enough for me.


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@DionysusToast

Thank you for the link/ email

Interesting stuff to digest

Not that yours is not but I don't do much with/ use market profile

I use a customized (internalized) VSA on /CL - primarily spike bars outside of standard deviation moves on volume etc

One thing that *might* cross over to your pre-market prep is I watch whole numbers and quarter numbers - 00, 50, 25, 75

-Bill_M

EDIT


Quoting 
-Before we break down the significance of each section it is important to point out what we feel may be the most important component of all sections – the comment fields. We find that physically writing or typing facts, ideas, instincts, gut feelings, etc. REALLY helps solidify the trading plan for the session.


I attended a Dalton seminar and he was asked a similar question, write it or type it. He mentioned write it because you have a better tendency to remember it. To each his/ her own - I tend to agree with Mr Dalton

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9th December



We have now got to the bottom of the inner range. Now we see if this will hold and we go back to the highs or if it breaks and we head down to the 2020's.

If it does hold, then a long bias to the highs is a good bet.



Here is yesterday. It started out as expected.


Quoting 
With a grind up in mind, we keep an eye on downside reference points. Last week the down moves were shallow. Based on the weekly profile 68.25 looks a reasonable shallow pullback point. We could well test that before the Pit session open.

We tested that area (well a few ticks below) in the globex session and soon after the open. A shallow move down, then buyers came in pushed it up a little and it moved painfully sideways for a few hours.

Then the market sold off and that 68.25 area became resistance. If we are looking for continuation down today, what do we see from yesterday that supports it? Well the delta came off 40k which isn't massive. Volume for the day was just 1.3 Million.

So we can say more commitment that the past weeks but not a lot of commitment overall. So right now I don't see that this has to carry on due to overwhelming participation to the downside. The initial push down was caused by stops either side of that 2 hour range. That really could have gone either way. But anyway, continued downside is one of the scenarios we need to look out for but right now participation to the downside is not high.



This one is worth a thousand words. We can see that Monday almost covered the entire range from last week. One of the things to look out for after a day like yesterday is a snap back up. This being at the bottom of the inner range, I think we need to look for a line in the sand to the upside that will see shorts bailing.



The 2063.25 level looks good both on the profile and on the swing charts. We had a pullback to there in the afternoon with good positive delta and that has now been taken back.

So basically - we are at the low of a potential range but a small one. If the range breaks, I think we'll sell down to 2020. At this point we could see the buyers come in and longs are good but I think that once we get above 63.25, the shorts will know that they are done so being long into that would be good because we could well see yesterdays high if the shorts bail at that point.

Some very "wishy-washy" action in the past weeks and I feel we have firmer ground to stand on going into today.

Weekly Numbers
Range - 2048.25 -> 2079
Value - 2057 -> 2076.50
R1 - 2087.25, S1 2056.50

Daily Numbers
Range - 2053.75 (globex) -> 2075.75 (pit) -> 2077.50
Value - 2060.25 -> 2075.75
Globex - 2051.50 -> 2062.25

Settlement - 2059.50
Today - 2063.25, 2068.25

Long Term - 2075.25, 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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WilleeMac View Post
@DionysusToast

Thank you for the link/ email

Interesting stuff to digest

Not that yours is not but I don't do much with/ use market profile

I use a customized (internalized) VSA on /CL - primarily spike bars outside of standard deviation moves on volume etc

One thing that *might* cross over to your pre-market prep is I watch whole numbers and quarter numbers - 00, 50, 25, 75

-Bill_M

EDIT




I attended a Dalton seminar and he was asked a similar question, write it or type it. He mentioned write it because you have a better tendency to remember it. To each his/ her own - I tend to agree with Mr Dalton

Hi Bill

I think it matters more that you do the same thing every day and feel good about doing it!

Of course, we go through periods - like the past couple of weeks where the market sort of does it's own thing and you feel 'off your game' - but sanity prevails over the long term!

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10th December



We had a snap back up yesterday but not before a lot of 2 way trading with a lot of indecision. Early part of yesterday was a tough trade and a tough read. Overall volume was just under 1.9 Million.

As per yesterday


Quoting 
So we can say more commitment that the past weeks but not a lot of commitment overall. So right now I don't see that this has to carry on due to overwhelming participation to the downside. The initial push down was caused by stops either side of that 2 hour range. That really could have gone either way. But anyway, continued downside is one of the scenarios we need to look out for but right now participation to the downside is not high.

Today we may see the sellers jump back in and sell some more at the somewhat recovered prices. That would be a sign that there may be real seller intent.

As it is I expect us to either move up on decent volume towards 2080 (but not necessarily get there in one day) or to have a low volume sideways day.

If sellers jump in, it means they sold, waited for buyers to jump in and quietly sold some more. A push down would mean they used yesterday to get some more shorts. So I think it's unlikely but if we do have a big push down today and we get below 2026, I'll be fairly bullish in the following days.



On the weekly profile, we can see thin trading above the value area and it's possible that the 2063.25 area will hold this market for a push down. As we move up through it, we should move fairly easily up to the weekly high.



We can see the late pullback at 2063.25 which has the potential at least for a short term hold. Then below us we have a late pullback to 2051 and a breakout point at 2046.25 which I am looking at for longs to jump in if we retest.

I would pretty much ignore yesterdays value area and look to play off these areas.



Here's a look at the Monday/Tuesday action. In terms of delta, by the time Tuesday closed out, we were down about 25k in delta. That's very little. So this is either the sellers being very clever and trapping buyers yesterday or the move down was nothing to write home about.

So far, Globex volume is below average.

Weekly Numbers
Range - 2033.25 -> 2077.50
Value - 2038.50 -> 2063.25
R1 - 2087.25, S1 2056.50

Daily Numbers
Range - 2033.25 -> 2060.75 (pit) / 2062.25 (globex)
Value - 2035.25 -> 2053.75 (but IMO pretty useless today)
Globex - 2055.25 -> 2060

Settlement - 2057.50
Today - 2063.25, 2051,2046.25

Long Term - 2075.25, 2054, 2026.75, 2020.75, 2015.25, 2003, 1977.75, 1970.25, 1951.25, 1934.50, 1909.50, 1877.25, 1867.50

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@DionysusToast

Peter please try and get going and post this information earlier please

I'm just poking fun at 'ya

So is this supper time or breakfast time?

Anyway thank you very much

-Bill

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WilleeMac View Post
@DionysusToast

Peter please try and get going and post this information earlier please

I'm just poking fun at 'ya

So is this supper time or breakfast time?

Anyway thank you very much

-Bill

lol - had the electrician here earlier after buying 2 water heaters and a water pump.

There was much shaking of heads over what the last sparky did. A lot of air sucked in between the teeth too.

So I've been without power and will probably soon be without money...

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11th December



Rollover day.

We've poked through the 2026 area just shy of our 2015 level. We had a lot of volume come in yesterday up to 2.3 Million. So sellers did take control and take out the longs that had clawed back the losses on Tuesday.

But as it's rollover day, I'm not trading it. If Order Flow is a major component of your trading and then you get a day where the flow of orders is moving positions from one contract to another, it changes the meaning of the order flow.

For example, if there's a lot of volume in an area and we then move up out of that area, we expect that the shorts there would have been stopped out.

But if the sellers were simply selling December and buying March contracts to roll to the new contract, then their selling has no directional bearing on short term action. So volume profile analysis and a lot of order flow analysis becomes meaningless.

The roll tends to take a few days now. It used to be that by Thursday lunchtime the volume would be in the new contract. Nowadays it tends to take longer. Sometimes a few days longer.

So for today and tomorrow - no trading for me but I will have an eye on the markets for when the volume shifts.

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15th December

Market has rolled. New levels below.



Into the pit session on Friday, we still had a little more volume in the December contract for ES but NQ and YM had March leading volume.

Lots of volume on Friday and a good move down. We have moved down past the old breakout point at 2007.50. So today looking to see if we can stay below that for more of a move down.



Here's a closer look at the levels but if it's selling off hard, don't look for any of them to hold.



Today , I'll be watching 2007.50 (old high) and 2004.75 as possible areas sellers will step in. Last week was the roll, so I'm not reading too much into the weeks activity, just really looking to see if sellers step in again today and take advantage. Of course, we have to keep an eye on the market 'snapping back' after any down day and if that happens it'll be fairly easy to play upside.

What will be more tricky will be a slow start. It is getting close to Christmas and that is a traditionally slow time. Also, we have had a lot of 'slow start' days that have had me asleep by 10:15 and then broken out leaving without me. Fading any ranges after the 3rd or 4th hit of any extreme is a little dangerous because of this.

Weekly Numbers
Range - 1989.75 -> 2070.50
Value - wide range week - so best ignored
R1 - 2042.75, S1 1963.75

Daily Numbers
Range - 1989.75 -> 2025.50
Value - 2006-> 2019
Globex - 1987.75 -> 2003.25

Settlement - 1997.25
Today - 2004.75

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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16th December



Another down day and a lot of volume - 2.8 million contract. It was also quite illiquid, so trading with small stops would have been a tricky proposition. I make no predictions as to where this is going but volume for this time of year is very high and other markets are moving down too this week.




Quoting 
Today , I'll be watching 2007.50 (old high) and 2004.75 as possible areas sellers will step in. Last week was the roll, so I'm not reading too much into the weeks activity, just really looking to see if sellers step in again today and take advantage. Of course, we have to keep an eye on the market 'snapping back' after any down day and if that happens it'll be fairly easy to play upside.

The market pause at 2008.50 in the Globex session but we pushed up through that to 2012 before sellers came in. When they did come in, it was a fairly orderly sell of with continued lower lows and lower highs. We did look like a reversal was possible with the push up that commenced at 10:45am EST but sellers took it down again. The afternoon moved sideways and we've stayed in that afternoon range so far in this Globex session.

So one thing to look our for early on is that range holding (1980.25->1996.75) and that becoming a value area that we trade around for a while. Just one of the scenarios that is possible today.



We can see that area here. Shorting the top of this range would be an interesting trade if the opportunity to do so comes up early in the day as sellers could come in and push us down again to new lows again.

I think it's all about momentum - figuring out if it's lacking and fading the range OR if one side is dominant with excessive volume for a big move. I'm not a fan of fading moves like this but snap backs are common after big pushes down. For longs, you would have plenty of upside if we do get a snap back, so I think the key is to just not try to get in at the bottom, let it turn, see the volume and then stalk a position.

Also - as it's illiquid - I don't expect levels to hold to the tick (or even to the point) and I think it's going to be tough to use small stops.

Weekly Numbers
Range - 1989.75 -> 2070.50
Value - wide range week - so best ignored
R1 - 2042.75, S1 1963.75

Daily Numbers
Range - 1974.50 -> 2012.25
Value - 1981 -> 1994.50
Globex - 1980.25 -> 1993

Settlement - 1990
Today - 1980.25. 1996.75

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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17th December



Well, that was a fairly big day. 3.3 Million contracts traded a move down, although the pit session had an almost 50 point range but settled at 1971.50, just 5 ticks below the open.

We are still holding the 1961 level but as a line in the sand and playing a break - I think levels will largely be ignored if we have the same sort of volume vs liquidity (aka limit orders) ratio that we had yesterday.



Yesterday we said.



Quoting 
I think it's all about momentum - figuring out if it's lacking and fading the range OR if one side is dominant with excessive volume for a big move. I'm not a fan of fading moves like this but snap backs are common after big pushes down. For longs, you would have plenty of upside if we do get a snap back, so I think the key is to just not try to get in at the bottom, let it turn, see the volume and then stalk a position.

Also - as it's illiquid - I don't expect levels to hold to the tick (or even to the point) and I think it's going to be tough to use small stops.

And same thing again. We could just die out at any point or we could have another wild ride.



Volatility wise, the swings were huge yesterday and very often we were moving through prices trading only 40-60 contracts. Side by side, the first 90 minutes on the ES made Crude look slow. So if you trade the ES because it's relatively thick & slow compared to Crude and other thin markets, then this will be a challenge. Yesterday I didn't take a trade until after 11:30 when we were on the way down.

So for me today - just looking for momentum and stand aside if it's too wild/unreadable. The opportunity is there to make and lose money on days like this and I feel no real need to get involved. These days are the exception, not the rule and I don't mind passing on them at all.

Weekly Numbers
Range - 1961.50 -> 2012.25
Value - wide range week - so best ignored
R1 - 2042.75, S1 1963.75

Daily Numbers
Range - 1961.50 (globex) / 1963 -> 2011.25
Value - 1973 -> 1998
Globex - 1965.25 -> 1977.50

Settlement - 1971.50

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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18th December

All - I am done trading for the year. It's a week before Christmas and the kids need some time with Dad.

As I sign off for the year I'd like to share a message I sent out to the Jigsaw customers today.


Quoting 
This is mostly a message to the less experienced traders out there.

The moves we have seen in the indices (and treasuries) over the past 2 weeks have been extraordinary.

Many people have made a lot of money.

Many people have wiped out their accounts.

The Market Makers have all but disappeared, not just from the indices but also from other markets, notably the treasuries. There's been a few times this week where the ES has been more volatile than Crude. A lack of liquidity (aka limit orders) isn't that rare in December. It happens every year but right now, the amount of liquidity is as low as I have ever seen it and volume is up. That combination is creating incredible volatility.

During this time, bear a few things in mind

- Traders rarely shout out loud about their losses, you are always going to be hearing a disproportionate amount of stories from traders about their wins. Don't get caught up in the hype of hearing about all the money individuals are making. Just as much is being lost. Guys that made out on Monday trading irresponsibly may well have given it all back and more on Tuesday.

- You cannot play this market with small stops/low risk. Doing so will give you a very high loss rate as the volatility sweeps you out of your trades. You either risk more or don't play.

- The markets are rarely like this. If you usually and regularly get 6-8 tick trades in a market with normal volatility, you will be able to do that for 90% of the year. The times when it is too slow or too fast don't really matter.

- Order Flow is hard to read right now. If you are new to Order Flow and struggling with this market, that is to be expected
and as the markets settle down, it will become clear again.

I speak to a lot of full time traders. There has been a lot of discussion this week about this action. Most are sitting out this period anyway because it's December and it's traditionally a poor time to trade. In fact, Gary Norden sent this message out earlier this week about closing his trade operation down for the rest of the year. Many traders are saying that they would not trade this anyway even if they weren't already out.

If you are trading and feel you are missing out if you don't trade these days, please take care. If you are learning to trade, then maybe now is a good time to take a break from trade school until the New Year. Knowing when to stand aside is as important as knowing when to enter a trade.

If you are making lots of money in this action, you should probably switch to trading Mexican Peso futures in the New Year!

I am done for the year myself. So best wishes to you all. Enjoy the rest of the year however you celebrate it and I'll catch you all in January all fresh and ready for trading 2015.


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5th January

It is perhaps a little early to be back at it, so today I'm mostly just planning to observe.



If you look at the past 7 or 8 trading days, the volume has been very low. It should pick up a little today but it's unlikely to be in full swing.

I'm not really too interested in what happened over the past 2 weeks, so I have no weekly or daily profiles to look at today.

What I would be interested in today would be one side coming in aggressively. I doubt it will happen but I'm keeping an open mind.

If the participation is too low, then I wont trade it. Over the next few days, I am looking for us to build decent prices on decent volume so we build up some lines in the sand. As it is, I don't think we can rely on the past few weeks activity for that. If the volume can stay above 1.4 Million for the next few days, then I think we can have some levels that are significant.

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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6th Jan



Volume certainly seems to have returned to the markets. In fact, yesterday was quite similar to those days early in December. So first thing I think we look out for heading into today is even more volume coming in. Liquidity wasn't too bad but really not enough to contend with this amount of volume, so the volatility was high and I'm sure lots of people got taken out not taking it into account.



We took a hefty drop off the open and ranged around 2010-2018. Big down days can always have a snap back up the next day and for longs, I'd either like to see rejection of yesterdays low or a move through 2018-2020 area. I think up through 2020 would also be good for a long. Reverse for shorts too - would be good to see the 2018-2020 area hold for a short. That may have already occurred though as currently the Globex high is just above 2020.



The volatility yesterday was high. As such, I think part of the game today is getting a handle on the volatility and part is getting a handle on the direction. The swing sizes were extreme yesterday and we were moving 6,8, 10 and more points without much of a pullback to speak of. If this is a repeat of early December, then we would expect volumes and volatility to increase and for the market to continue heading south overall.

For me - I don't want to do too much within the 2010-2020 range, if we do rotate around there early on, I think I'll wait for a break before joining.

Daily Numbers

Range - 2009.50 -> 2040.50 (pit) / -> 2048.25 (globex)
Value - 2011.75 -> 2024.75
Globex - 2013 -> 2020.50

Settlement - 2016

Today only - 2018-2020

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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7th January



Volume was up again yesterday. It's still very volatile.



Yesterday we said


Quoting 
For me - I don't want to do too much within the 2010-2020 range, if we do rotate around there early on, I think I'll wait for a break before joining.

Monday PM had marked out a range and in Tuesday Globex session, we extended that a little to the upside. As Monday opened, we spent the first hour in that range. The range was a tough one, swinging 22, 28, 25 ticks without much chance to jump on at a good price. The breakdown was again very rapid, similar to Mondays move.

Later in the day we came up to tag Mondays low before moving down again.

So today, again looking to see if we are going to break. I have 2010 as a level to look out for as well as yesterdays low. To be honest though, I may switch to Treasuries today. This market is fairly stressful, so unless it breaks down and makes an obvious run, I'm not that interested. The rewards are obviously there but so are the risks and this ES isn't the ES I am used to.

Daily Numbers
Range - 1984.25 -> 2023.50
Value - 1988.75 -> 2010
Globex - 1994.50 -> 2003.50

Settlement - 1994.50

Today only - 2010

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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8th January



Volume tailed off yesterday but it's still on the high side. What we have to figure out at this point is if this is a pullback in a new downtrend or if the market is heading back up to the highs. We could be marking out a 1960-2100 range that we will stay in for some time if do go back to the highs. That's more for consideration when we get there though.



The market marked out a range in the morning and broke up to mark a higher range in the afternoon. For upside, it would be good to see us retest that range. So 2021.50-2023.50 for a retest.



And of course, that is perhaps the 'widest level' we've ever put on our prep. Again I'm including a swing chart - we did have some smaller pullbacks early on yesterday but it was still fairly volatile and that afternoon chops still had some 7 point one way swings. So that level is wide because it's more volatile right now. I think if we do come down there and buyers step in, then that will encourage a lot of speculators to jump on board.

If we head down through 2021.50, it may again be tough and choppy conditions.

If we move up without a retest, then I think it's a lower confidence trade to the long side, leaning on a level that develops intraday. Similarly for shorts, the highest confidence short would be a failure to get through the overnight high.

As always - if we stay high after a big push up in the Globex session, we have to watch out for an early adjustment downwards.

Daily Numbers
Range - 1994.50 (globex) / 2004.75 (pit) -> 2023.75 (same high as prior day)
Value - 2011.25 -> 2020.25
Globex - 2019.75 -> 2038.50

Settlement - 2019.50

Today only - 2021.50-2023.50

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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9th January, 2015




Expectation now is we go to test the highs or get very close and fail. I think down from here without a test is less likely. Yesterdays action was more like the ES we know and love - move, build volume, move, build volume etc. We did chop around when we got to the highs but I see that more as building volume for the next push.



As such, going into today, 2050 is a key level. If we get below that then some longs will get stopped out and that could cascade into a larger down move. So if we break 2060 and we see volume come in, then we don't have much below us to support price. In the Globex session yesterday some levels had less than 200 contracts trade on the way up. So whilst I still think we are looking at retesting the old highs, there's not much volume traded between 2050 and 2020 to lean on.

So - a retest of 2060 in the pit session would be nice and should see buyers step in and give us a push up. That level has been retested already in the Globex session, so if we push up from here before the open (news may do it), then we have to look for an intraday level to play off. Below 2060, I think we could move down rapidly.

Daily Numbers

Range - 2019.74 (globex) / 2036 (pit) -> 20258.50
Value - 2050 -> 2058
Globex - 2049.75 -> 2055

Settlement - 2055

Today only - 2050

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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12th January



Decent volume again on Friday. Into today, we'll be looking to see if this is just a shaking out of a few longs before we make an attempt at the highs of if we are going to roll over. Obviously, Fridays range breaking either side will help with that. We could break the lows easily in the rest of the Globex session. Into the pis session, I think we have some other levels to look at that will help us confirm.



Looking at last weeks profile, we can see that we had fairly thin trading below 2031. So if we do go below 2031, we should move to 2023 or 2020 without much effort. So the first level today to watch is 2031.



We can see Fridays move down then a wide sidways chop. The current Globex session is at the lower end of that chop - which leaves us with the drop below through 2031.



On Friday we said


Quoting 
As such, going into today, 2050 is a key level. If we get below that then some longs will get stopped out and that could cascade into a larger down move. So if we break 2060 and we see volume come in, then we don't have much below us to support price. In the Globex session yesterday some levels had less than 200 contracts trade on the way up. So whilst I still think we are looking at retesting the old highs, there's not much volume traded between 2050 and 2020 to lean on.

Off the open we made an initial attempt at the overnight highs which failed and sellers came in. We broker through 2050, down to 2045 and then we did manage to take it back to 2052 - but if you look at the delta accompanying that move, it was insignificant. Then we had a big push down - 15 points (60 ticks) and 134,000 contracts - so it does look as if sellers could smell blood and they came in force.

So the 2050 is still on my radar today but also 2045(ish) too because that's where we seemed to flip - the low that became the high of the range for the rest of the day. Of course it did probe upwards but this isn't an exact science.

So today looking for 24 or 50 as areas where speculative sellers might be coming in.

Weekly Numbers
Range - 1984.25 -> 2062
Value - 1988.75 -> 2040.25
S1 1992.50, R1 - 2069.25

Daily Numbers
Range - 2031.25 -> 2061
Value - 2035.25-> 2045.75
Globex - 2032.50-> 2039.75

Settlement - 2035.25

Today - 2031, 2045, 2050

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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15th January



Still high volume & volatile. We took a dip down through the January low that was 1984.25 and then shot back up to 2008.75.

Next level below is 1961, although this is really a coin toss now. Massive participation which seems mostly speculative. In the Globex session we are also putting in some pretty big swings - almost 40 point range overnight so far.

So - another "keep your powder dry" day. As much opportunity as these massive swings provide - people are loosing big on these days too.



This week is overlapping last weeks range - so again, it's hard to take a directional bias from this.



I think we should keep an eye on 2022.75 (typo above says 2008.75) area today. Also to look at yesterdays lows and for a run to 1960 if we break them.

Overall - a good conditions to lose your shirt if you aren't careful.

Weekly Numbers
Range - 1981.25 -> 2051.75
Value - 2004 -> 2042.50
S1 1992.50, R1 - 2069.25

Daily Numbers
Range - 1981.25 -> 2008.75 (pit) / 2019.50
Value - 1991.25 -> 2003.75
Globex - 1986 -> 2027.25

Settlement - 2007.50

Today - 2022.75, 1984.25

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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 WilleeMac 
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@DionysusToast

Kind of on topic

Peter,

Yesterday, today, tomorrow is contract roll for /CL FEB G to MAR H

I attribute the price rally rout at end of day yesterday to basically who the hell wants to go out at the low of the contract (taking profits/ both.)

And looking at the price action on the DOM today for G & H it looks as though they are just trying to square up the two contracts (although I believe nobody knows what the hell, what to do with oil at these price levels.)

Does /ES go through these temper tantrums of, I'm right you're wrong at contract roll? (/CL is all over the place on both contracts.)

If so what should we be looking for other than price acceptance/ rejection and how should it be approached other than being flat and let 'em duke it out?

Meh, just throwing some stuff out there

Thank you

-Bill_M

EDIT 0820amET

Maybe this?


Quoting 
Eric Scott Hunsader ‏@nanexllc 14m14 minutes ago

Dear Europe, What did you do this morning? My screens - are nuts ♥ The U.S.

Or this?


Quoting 
Bloomberg Business ‏@business 15m15 minutes ago

Swiss central bank unexpectedly abandons exchange rate cap on franc SNB Unexpectedly Scraps Cap on Franc in Reversal of Key Policy - Bloomberg

All I know is there's a bunch of f**** happy campers out there,,,,,,,

EDIT2

And I just found this


Quoting 
FuturesTrader71 ‏@FuturesTrader71 24m24 minutes ago

Good morning, Traders! Surprise developments overnight. Will cover in this morning's Trader Bite #FT71 #ES_F


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16th January

Short & sweet today...



We are getting close to the 1961 level which is obviously very significant.

So today, I'm looking for a test there. If it breaks I can see a lot of people jumping in and pushing it down. If it holds, then I think that will give buyers a bit of confidence.

I'm not really too interested in anything else today. It is a Friday at the end of a massively volatile week and there is a chance that we see the action fade by lunchtime.

With the volatility, it's been a bit of a crap shoot this week, so there's no need to overanalyze it. Hopefully sanity will return next week.

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WilleeMac View Post
@DionysusToast

Kind of on topic

Peter,

Yesterday, today, tomorrow is contract roll for /CL FEB G to MAR H

I attribute the price rally rout at end of day yesterday to basically who the hell wants to go out at the low of the contract (taking profits/ both.)

And looking at the price action on the DOM today for G & H it looks as though they are just trying to square up the two contracts (although I believe nobody knows what the hell, what to do with oil at these price levels.)

Does /ES go through these temper tantrums of, I'm right you're wrong at contract roll? (/CL is all over the place on both contracts.)

If so what should we be looking for other than price acceptance/ rejection and how should it be approached other than being flat and let 'em duke it out?

Meh, just throwing some stuff out there

Thank you

-Bill_M

EDIT 0820amET

Maybe this?



Or this?



All I know is there's a bunch of f**** happy campers out there,,,,,,,

EDIT2

And I just found this

At rollover time it can be very unpredictable indeed.

If you think about it from an Order Flow perspective, a lot of the trades are actually closing positions in one contract to open in the other - but there's no directional bias in those trades.

So I tend to just stay out of the way mostly.

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20th January



MLK day yesterday. So using last weeks prices for reference. It would be difficult to have a strong directional bias going into today. We are in the middle of last weeks range, we are in the middle of last weeks range but in a period of overall low liquidity/high volatility.

So one eye on volatility (or lack thereof) and one eye on the market making a break.



Not much to say about this, other that it doesn't tell us much. That's a large weekly range. We didn't make it down to 1961 and I still think if that breaks, sellers will try to push it down more and squeeze out some longs.



I'd like to see us test either 2003 or 2023.75 before making a trade. I also have an eye on Fridays lows but they are so far away I rather hope I'd be in a trade way before we got there. For now - I just want to see what happens at those 2 prices. I think testing/breaking either is going to attract attention.

Weekly Numbers
Range - 1970.25 -> 2051.75
Value - 1974 -> 2019
S1 1992.50, R1 - 2069.25

Daily Numbers (Friday)
Range - 1970.25 (globex) -> 1981.25 (pit) / 2014.25
Value - 1990.50 -> 2014.25
Globex - 2003 -> 2023.75 (Sunday-Monday)

Settlement - 2013

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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 bourgeois pig 
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Hi Pete,
I was wondering what the significance of the 1960 level is on the ES?
Big Mike mentioned this level on the ESpoonalysis a couple of times and now that you have mentioned 1961, I was wondering what is special about that number.......
Thanks!

"Napoleans severest comment on his beaten enemies - that they "saw to many things at once""- Hart
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bourgeois pig View Post
Hi Pete,
I was wondering what the significance of the 1960 level is on the ES?
Big Mike mentioned this level on the ESpoonalysis a couple of times and now that you have mentioned 1961, I was wondering what is special about that number.......
Thanks!

Previous swing low from December.

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 kman 
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Thanks, it was a nice short around 23

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21st January




Market is still in the range and still tough to call in terms of bias. Volatility was somewhat reduced yesterday, so be aware of any additional reductions in volatility today. Yesterdays high was 26.50, close to the high on the 15th of 27.25 so a break of that level might bring in some buyers and trigger some stops. So watch that area.

Yesterday we said


Quoting 
So using last weeks prices for reference. It would be difficult to have a strong directional bias going into today. We are in the middle of last weeks range, we are in the middle of last weeks range but in a period of overall low liquidity/high volatility.

So one eye on volatility (or lack thereof) and one eye on the market making a break.

And that is still valid today.



Yesterday we said


Quoting 
I'd like to see us test either 2003 or 2023.75 before making a trade. I also have an eye on Fridays lows but they are so far away I rather hope I'd be in a trade way before we got there. For now - I just want to see what happens at those 2 prices. I think testing/breaking either is going to attract attention.

We got as high as 23.25 early in the day and we the market did hold 03.50 for a while but it broke down further but with no follow through.

So today basically looking at an expanded weekly range 97.50 at the bottom and 26.50-27.25 at the top. It may be tough going between those prices again.



A choppy day yesterday unless you caught it early on. This is very volatile but it's not swinging around as much as the prior 2 weeks. The real test will be how much we move when we get out of this range. So keep an eye on the volatility. It's still a tough trade in my opinion.

Weekly Numbers
Range - 1970.25 -> 2051.75
Value - 1974 -> 2019
S1 1992.50, R1 - 2069.25

Daily Numbers
Range - 1997.50 -> 2023.25 (pit) / 2026.50
Value - 2000.75 -> 2013.75
Globex - 2012.50 -> 2021.50

Settlement - 2016.75

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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@DionysusToast

Peter

It is not my attention to pollute your thread, only an FYI (please comment)

I'm seeing /CL broken into night (Globex) and day (CME, pit) sessions

Specifically I have Frankfurt/ London 0200amET to 07:59:59amET

And CME at 0800amET to 01:59:59amET

My reason for 8am is folks tend to front run the pit open

Two tick volume/ price profile using Sierra Chart

My2cents

-Bill

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WilleeMac View Post
@DionysusToast

Peter

It is not my attention to pollute your thread, only an FYI (please comment)

I'm seeing /CL broken into night (Globex) and day (CME, pit) sessions

Specifically I have Frankfurt/ London 0200amET to 07:59:59amET

And CME at 0800amET to 01:59:59amET

My reason for 8am is folks tend to front run the pit open

Two tick volume/ price profile using Sierra Chart

My2cents

-Bill


Not quite sure what your platform/session setup has to do with Peter's ES thread.

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 WilleeMac 
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Uhhhh

Errrrrr

Ummmmmm

Alex, breaking the profile into session(s) ??

-Bill

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WilleeMac View Post
@DionysusToast

Peter

It is not my attention to pollute your thread, only an FYI (please comment)

I'm seeing /CL broken into night (Globex) and day (CME, pit) sessions

Specifically I have Frankfurt/ London 0200amET to 07:59:59amET

And CME at 0800amET to 01:59:59amET

My reason for 8am is folks tend to front run the pit open

Two tick volume/ price profile using Sierra Chart

My2cents

-Bill

The ES really has just one session - but I too make my own 'custom session' to coincide with the pit session/stock market times.

It's good I think to have the VP reset at that time to get a view on the activities new to the session.

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22nd January



Volume is tailing off but liquidity is not coming back and we still have a very stable ES. Going into today, many people will be looking for upside continuation.



Yesterday we said


Quoting 
So today basically looking at an expanded weekly range 97.50 at the bottom and 26.50-27.25 at the top. It may be tough going between those prices again.

For upside continuation, it would be good to see us hold that 26.50-27.25 area from above. I think that will give buyers confidence.



We are holding above that now in the Globex session but it is still quite close, so if we do break down through there, watch the late pullback down to 2016.25 from yesterday.

I was looking for strength yesterday on a break above 27.25 but it just fell back down. No-one jumped on it breaking above that range and so I think we have to be aware that it's quite possible we fall back into the range and have more volatile chop. Based on yesterdays action I think the upside will probably be fairly choppy until we get through 2050 and then hopefully, we'll see an attempt at run up to the highs. Certainly below 16.25, I think it'll be tough trade.

Weekly Numbers
Range - 1997.50 -> 2035.75
Value - 2005.75 -> 2021.50
S1 1992.50, R1 - 2069.25

Daily Numbers
Range - 2005.25 -> 2032.75 (pit)
Value - 2019 -> 2030
Globex - 2025.50 -> 2034.75

Settlement - 2026.50

Today - 2026.50-2027.25, 2016.25

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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23rd January



We are at an inflection point - 2062 is a level plenty of people are looking at and also signifies us breaking out of the range. If we break the range with conviction, we should hit a new high.



To the downside, trading was thin above 2046, so if it does roll over - it should get there fairly quickly. So if we roll at the high or break the Globex low, look for that as the next area to the downside for buyers to step in. Below that it's a bit hard to call where buyers might come.

It's still extremely volatile.

Weekly Numbers
Range - 1997.50 -> 2062
Value - 2004.25 -> 2030.25
S1 1992.50, R1 - 2069.25

Daily Numbers
Range - 2019.25 -> 2059.25
Value - 2027.25 -> 2046.25
Globex - 2052.75 -> 2062

Settlement - 2056.50

Today - 2046, 2062

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806 still extremely volatile.

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26th January



We had a quiet, sideways day on Friday. No sign of liquidity returning but definitely the range was tighter. So today watch out to see if that's the beginning of volatility starting to normalize.

Of course, the vote in Greece has thrown the markets somewhat. We have a gap down in the ES - 9 points from the Friday settlement to the Sunday open. The Euro is down a little but I am writing this just before the London open.

So we can look at technical levels, the first thing to do today is look to see if the market is directional and if it is, it's possibly re-positioning and not a technical move at all. So it may be a news driven day.

We do have the minor line in the sand around 26.50 below us - a point we recently broke out above, so that is a potential area to hold into the pit session.



Below us on the weekly profile, we can see it thickens up below 2020 and so we may find a reaction there.



To the upside, people will be watching Fridays low and Fridays value low (as that was effectively the low of all the chop).

So into the open - look for an initial re-balance upwards as the Globex session is looking to open 100% short.

If we do go up, looking for Fridays levels as areas sellers may step up and start a move, below us looking for 26.50 and 2020 as potential points for buyers to step in.

Just remember it may be 100% news driven and ignore all levels.


Weekly Numbers
Range - 1997.50 -> 2062.50
Value - 2003.25 -> 2034.75
S1 2027.25, R1 - 2077.25

Daily Numbers
Range - 2043.50 -> 2057.25 (pit) / 2062.50
Value - 2049.75 -> 2055.75
Globex - 2025.50 -> 2037

Settlement - 2044

Today - 2020, 2026.50,

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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27 Jan



The markets reaction to the Greek elections was muted to say the least. I think it still pays to be wary about news from Ukraine or Greece.

1.3 million contracts traded yesterday and we had more time to make a decision yesterday. We were looking for the breakout point to hold and it did but it held in the Globex session. So that pearl of wisdom didn't do us much good in the day session.

Today, I'm looking for signs that we are taking a run for the highs. So eyes on 2068.25. If we can get through there, we should expect a push up. If there's no push up there, then I believe that sellers will smell blood and push us down quickly again. Failures to get through the high usually gives sellers confidence and of course, the late longs will bail fairly quickly.



In terms of areas that would give longs more confidence, I think yesterdays low (2034.50) or value low (2042.50) holding would give buyers confidence. Globex is fairly neutral at the time of typing (3am EST), so not much clue right now about what we'll do at the open.

Yesterdays Value high is currently holding, which is very bullish and of course needs to be considered if it's still holding into the open.



The best opportunity yesterday IMO was the pullback to 2040. We had the initial pushes down and then built volume from 2038-2040. The shorts in that area stopped out (you could see the acceleration) and then we came back to test 2040 - well, we actually went down to 2039.25 but this is an illiquid market, so that's close enough. Not an easy trade to hold but a fairly clear opportunity, especially considering it's been a little murky lately.

The swing sizes are getting smaller now and although the market can still slip 5 ticks in seconds, it's become much more manageable. Hopefully, we'll see some more liquidity providers jump in.

Also of not yesterday - someone spoofing the offer around 2040 and absorbing selling on the bid before driving it up. I'm sure the CME 'spoof police' will catch them....

So ideally a pullback to a reference point from yesterday would be the easiest long and caution as we get to 2068.25.


Weekly Numbers
Range - 1997.50 -> 2062.50
Value - 2003.25 -> 2034.75
S1 2027.25, R1 - 2077.25

Daily Numbers
Range - 2025.50 (globex) / 2034.50 (pit) -> 2054
Value - 2042.50 -> 2051
Globex - 2051.25 -> 2055

Settlement - 2053.50

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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28th January



Another wild day yesterday, just under 2 million contracts and some iffy earnings/dollar strength blamed for the initial move down.

Looking left, there's really nothing I can use to get a bias right now, so looking to play local action that develops intraday.



The late pullback before the close was at 2022, which is close to VAL. Worth keeping an eye on. Volumse so far is above average in the Globex session and we've tagged the 2047 level (well 2 ticks short) in the Globex session and we've seen sellers come in from there. So we should be alert for a continuation of that which will in my opinion put the buyers off. Mostly because it looks like they tried and failed. So anyone short term speculating today should be taking that into account.



Interestingly the pullbacks yesterday were fairly small - some in the 20 tick range bus mostly 8-15 ticks. So watch the pullback sizes today as they might help us if we get a directional move.

So no real bias but looking for continuation down to encourage shorts, especially if we can crack yesterdays low. Watching 22 for a potential hold.

Weekly Numbers
Range - 2013.25 -> 2055
Value - 2028.75 -> 2047.75
S1 2027.25, R1 - 2077.25

Daily Numbers
Range - 2013.25 (pit) -> 2037 (pit) / 2055 (globeX)
Value - 2021.50 -> 2032
Globex - 2028.25 -> 2040.75

Settlement - 2030

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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29th January



Once again, hard to choose a bias as we are still in the choppy zone to our left. Last time we got as far down as 70.25
, so eyes on that and of course below is the more significant level - 1961 below. I expect if that breakes, we may be in for a trip to the low 1800s again.



Yesterday was a down day even before the FOMC. Like any large down day, value area won't mean much and first thing we look for is a snap back up which could be extensive. If course, it could go either way but on the way up we'll have new shorts being stopped out. So today - just looking to see which side is dominant and then looking for a way in.


Weekly Numbers
Range - 1987.75 -> 2055
Value - 2021.75 -> 2047.75
S1 2027.25, R1 - 2077.25

Daily Numbers
Range - 1991.25 -> 2038.75 (pit) / 2046.50 (globeX)
Value - 2014.25 -> 2034.75
Globex - 1987.75 -> 1999.25

Settlement - 1991.50

Today - 2016

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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30th January



Last trading day of the month, so we could get a push up - be alert for that. We had good volume yesterday and it looks like we are headed to the top of this range again. So if we move up, should be a high confidence play. So we look at the potential obstacles...



We are at the 19.75 area right now and there is a possibility that this will hold. So that's a level to look out for. Any failure at the prior day high can always bring sellers in and that could mean revisiting the low of the range.



Yesterday we has


Quoting 
Yesterday was a down day even before the FOMC. Like any large down day, value area won't mean much and first thing we look for is a snap back up which could be extensive

We took back the area from the breakdown point but this was not the sort of snap back I expected. My expectation is that a snap back would be on from the open. So what we really had yesterday was a test of the range low.

A retrace to yesterdays VAL or the breakout point at 2010.25 would be good - seeing buyers step in at this point should put the sellers off.

So going in with a long bias, preferring a downside first & wary of 2019.75.


Weekly Numbers

Range - 1982 -> 2055
Value - 2012.25 -> 2053.25
S1 2027.25, R1 - 2077.25

Daily Numbers
Range - 1982 -> 2019.50
Value - 1983.50 -> 2005
Globex - 1987.75 -> 1999.25

Settlement - 2018.50

Today - 2016, 2010.25

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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2nd February



Looking at this, it is possible that our range is narrowing - 1984 as a low and 2019.75 as a high - or those are the longer term levels we've moved around the past 2 days.



I had a long bias Friday but with a failure to get through the prior days high, sellers jumped in. So today be wary that we may stay in that range, if so that would be tough trading. A break upside keeps us in the chop zone to the left and a break downside gives us the potential of a run to 1960.



A fairly wide range day on Friday and not an awful lot to play off.

So a hold of the extremes 84->19,.75 is on the cards and we've already tested the low so we may open and move to the high. So off the open a moderately confident long. What we really want is a breakdown.

Weekly Numbers
Range - 1982 -> 2055
Value - 1989.75 -> 2034.75
S1 1962.50, R1 - 2034.50

Daily Numbers
Range - 1986.25 -> 2017.25 (pit) / 2020.50 (globex)
Value - 1996.25 -> 2009.75
Globex - 1984 -> 1996

Settlement - 1988.50

Today - 1984,2019.75

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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3rd February



Yesterday we had


Quoting 
Looking at this, it is possible that our range is narrowing - 1984 as a low and 2019.75 as a high - or those are the longer term levels we've moved around the past 2 days.

We did have a push down to 1975 but back into the range. So again, looking for the range to hold and we've already hit the upside overnight.

As per yesterday - a break upside is back into the range from the past weeks and a break down has more potential. So into today just watching the range and playing off intraday areas that develop.

Weekly Numbers
Range - 1982 -> 2055
Value - 1989.75 -> 2034.75
S1 1962.50, R1 - 2034.50

Daily Numbers

Range - 1973.74 -> 2018.50
Value - 1983.75 -> 2000.25
Globex - 2007-> 2016.50

Settlement - 2017

Today - 1984,2019.75

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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4th February



Yesterday we had


Quoting 
As per yesterday - a break upside is back into the range from the past weeks and a break down has more potential. So into today just watching the range and playing off intraday areas that develop.

And we broke up and it was tough action in the AM, which is when I trade. So now I'm hoping we can carry on up and NOT bounce off the outer range as above. That gets us out of the chop zone.



Yesterday we had the AM high at 2034.50 and a late pullback to 2032 - so that's the area I'd like to see a pullback. Up from there and I think we'll have plenty of longs joining in. Of course we have already been there overnight. So we may be tested and upwards already.

For shorts - I'll play intraday leve;s but looking for 2019.75 to be tested - again because I think it will draw attention if it does.

If we break 19.75, I would like to see us pull away and them come back and retest it. For a later long.

Weekly Numbers
Range - 1973.50 -> 2044
Value - 1976.50 -> 2025.50
S1 1962.50, R1 - 2034.50

Daily Numbers

Range - 2007 (globex) / 2021 (pit) -> 2044
Value - 1983.75 -> 2000.25
Globex - 2033.25-> 2043

Settlement - 2042

Today - 2032, 2034.50

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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5th February



Still no clear direction. Still in the chop zone, still looking to see what happens when we get to 2061 area - see if we can break the range or if we are still trapped in it.

We have now been down to test the inner range - failing to get down to 2019.50 by a point and so with that tested, we could see some buyers jump in. The test was overnight and there was a reaction. So we just need that to carry into the day session.



Yesterday we had


Quoting 
Yesterday we had the AM high at 2034.50 and a late pullback to 2032 - so that's the area I'd like to see a pullback. Up from there and I think we'll have plenty of longs joining in. Of course we have already been there overnight. So we may be tested and upwards already.

We did get a reaction there in the morning and moved up but it was very choppy and we ended up giving up the gains. We can see a nice distribution on the volume profile from yesterday, so I'm looking for a reaction around the value area today.

We've taken a dip down to test the inner range overnight but made a good recovery which does give some cause to consider the upside. Still - it's hard to have a strong bias.

So looking for intraday levels today.

Weekly Numbers
Range - 1973.75 -> 2049.25
Value - 1988.50 -> 2049
S1 1962.50, R1 - 2034.50

Daily Numbers
Range - 2029.25 -> 2049.25
Value - 2035.75 -> 2043.75
Globex - 2020.75 -> 2040

Settlement - 2030

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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9th Feb



Friday we had


Quoting 
Still no clear direction. Still in the chop zone, still looking to see what happens when we get to 2061 area - see if we can break the range or if we are still trapped in it.

So we pushed through the top of the range and now have fallen back. We got almost to our old high of 2068.25. This is not what we wanted in terms of getting clean action but today going in with a short bias looking for a move to the bottom of the range over the next few days and looking for this range to continue.



Looking at Friday, we pushed up to 2054 into the close, so that area is worth a look and it's also the VAL. Globex is short so far (2:30am EST) and so there could be an initial adjustment up off the open.

So biased downwards because we've failed to hold the high of the range, of course we could make another run for it, so as usual confirmation from how it develops intraday.

Weekly Numbers
Range - 1973.75 -> 2068
Value - 2015 -> 2066.50
S1 1995, R1 - 2089.25

Daily Numbers
Range - 2044.50 -> 2068
Value - 2054 -> 2067
Globex - 2041 -> 2050.50

Settlement - 2053

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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10th February



Volume is tapering off. We were hoping for resolution yesterday and didn't get it. We've popped the top of the range and fallen back into it but there's no confirmation we are now headed to the bottom of he range.



It was a narrow range yesterday. So it's pretty much open now - a move to the top and through - or traverse to the bottom.



In terms of things you don't want to see at the start of the week - the above is in my top 1. This is often how we get stuck in a range for the week. Sunday overnight, Monday day, then Monday night all in the same narrow area. So today, watching these extremes/value area and ready for rangebound behavior.

Really not much to play off except this developing range and intraday areas that develop.

Weekly Numbers
Range - 1973.75 -> 2068
Value - 2015 -> 2066.50
S1 1995, R1 - 2089.25

Daily Numbers
Range - 2036.50 -> 2051.75
Value - 2042.50 -> 2050
Globex - 2042.50 -> 2047.75

Settlement - 2042.50

Long Term 2068.25, 2047, 2019.75, 2007.50, 1996, 1961, 1922.25, 1878.25, 1806

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11th Feb



Still in the overall range but fortunately we got well out of Mondays range. So again, looking for it to break out of this zone for a clearer picture.



Yesterday is one of those "looks easier in the rear view mirror" days. In the morning, we fall back into Mondays range and as expected that was pretty choppy and the first hour was very tough for me & other traders I chat to".

My favorite comment was "This is ugly..."

We did nearly get down to yesterdays VAL and we did move up with a decent swing when that got rejected. A move I got caught on the wrong side of.

So today looking to see if we can survive a downside test and then finally get outside this range and start marking some easier to read levels.

Below us we have the single print at 2058.75, the VAH at 2058 and then the late pullback to 2052.75. I think if any of these hold, buyers will be a bit more confident. If not, I think it's tradeable but the action wont be anywhere near as clean as if we break this range.

Weekly Numbers
Range - 2036.50 -> 2066.50
Value - 2040.25 -> 2052.75
S1 1995, R1 - 2089.25

Daily Numbers
Range - 2040.50 /2043.25 (pit) -> 2066.50
Value - 2046.50 -> 2058
Globex - 2059 -> 2064

Settlement - 2052.75, 2058.75

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806

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12th February



We've popped the top of the range and also through the old high at 2068.25. Volume is diminishing though - there's been no 'excitement' about this break as yet...



The top of the white box is around 2062.50 - so we really want to see it stay above that or we risk falling back into the range. So that's a line in the sand for me.



The weekly profile shows a distribution 2058.75-> 2064.75. Ideally, again I would like to see the top of that hold. If we go down to 2058.75, I feel we'll get to the lower distribution 2045.



We can see that yesterday was fairly balanced with a push thru 2068.25 towards the end of the day before falling back. The bigger push up has been in the overnight session, so the first job today is for the market to hold on to that and try to keep us above these levels. If we can hold yesterdays high, that would be ideal as it should give other buyers confidence and give us a high probabaility move.

So into the open - looking for signs of continuation upwards, possibly after a downside test. 62.50,64.75 or 68.25...

If it drops down - I think it's lower confidence trading. Less people jumping on it.

Weekly Numbers
Range - 2036.50 -> 2079.50
Value - 2040.25 -> 2061.75
S1 1995, R1 - 2089.25

Daily Numbers
Range - 2053.25 -> 2069.75
Value - 2058.25 -> 2064.75
Globex - 2058.50 -> 2079.50

Settlement - 2065.75

Today - 2058.75, 2062.50, 2064.75

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806

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 WilleeMac 
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Thank you for getting up/ staying up the other day

I'm certain it screws up the sleep cycle (I know being on New York time and trading /6E /CL)

-Bill_M

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Thank you Peter for your everyday work here!

One question: What is meant with the "Today" levels? Where do they come from?

Thanks in advance.
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17th Feb



Presidents day yesterday, so today just settling into the week and seeing if we can hold these highs.

Looking at 2080.75 to see if that holds and see if we can then get above 2088.75. I don't have much else on my radar today.

Weekly Numbers
Range - 2036.50 -> 2094.50
Value - 2039.75 -> 2068.75
S1 2055, R1 - 2113

Daily Numbers
Range - 2081.50 / 2082.75 (pit) -> 2094.50 (Friday)
Value - 2086.50 -> 2091.50
Globex - 2080.75 -> 2093

Settlement - 2093.50

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806

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arroganzmaschine View Post
Thank you Peter for your everyday work here!

One question: What is meant with the "Today" levels? Where do they come from?

Thanks in advance.
Max

Just means any level that I might play off today only

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18th Feb



Looks like a grind up, we are holding above the hold high, no real downside test yet and not much volume. We've backed off 2100 a few times and maybe there's some excitement above there. But I'm not holding my breath.

We saw the return of some depth yesterday with 1000's showing up at times and 5-600's being the norm on he DOM. So watch out for changes in depth as a signal for volatility to change.



In terms of downside references 2080.75 (pullback after breaking the high) is still of interest as is the old high 2088.75.

The late pullback yesterday was to 2093, which is holding in the overnight session. So into the open looking to see the reaction at either 2093 or 2098.75. If either holds, we should at least see the other. We basically had 2 trading ranges yesterday, so it may well be one of those days when the opportunities come early or after a long wait.

Volume is well below average right now - 6:40am. So an eye on that as we open too. Yesterday volume was below average into the open but it really picked up at 10am and then dropped off again. Just to keep us alert, I guess...

Weekly Numbers
Range - 2036.50 -> 2094.50
Value - 2039.75 -> 2068.75
S1 2055, R1 - 2113

Daily Numbers
Range - 2080.75 / 2086.25 (pit) -> 2098.75
Value - 2090.50-> 2098
Globex - 2093.50-> 2098.50

Settlement - 2096

Today - 2080.75, 2093

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806

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19th Feb



Not much activity at the top, volume has tapered off a bit with just over 1.1 million traded yesterday. And we settled 2 ticks under the prior days settlement.

Still watching 80.75 as per the red line above. As of now we are stalled at the old high 88.75, so a push up from here should being in a bit of confidence.




We are obviously in a range, so obviously looking for signs of breaking either side. Looking at yesterdays range/value and the weekly range.

We got down to 88.50 yesterday pit session - a tick through the old high. We dipped deeper in during last nights Globex session, so watching that area carefully.

Also - still with an eye on the liquidity.

Weekly Numbers
Range - 2080.75 -> 2098.75
Value - 2088.75 -> 2096.75
S1 2055, R1 - 2113

Daily Numbers
Range - 2088.50 -> 2097.50 (pit) -> 2098.50 (globex)
Value - 2090 -> 2094.50
Globex - 2087.25 -> 2095.75

Settlement - 2095.50

Today - 2080.75

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806

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arroganzmaschine
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Hopefully it is allowed to post a question here.

How do you define the globex session? I thought it's from 10.15pm(GMT+1) till 15.30pm(GMT+1). So from the Closing after 22.00pm till the opening. Or am I wrong here?

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 trendisyourfriend 
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arroganzmaschine View Post
Hopefully it is allowed to post a question here.

How do you define the globex session? I thought it's from 10.15pm(GMT+1) till 15.30pm(GMT+1). So from the Closing after 22.00pm till the opening. Or am I wrong here?

CME Globex (ETH) Extended Trading Hours

Central time
MON – FRI: 5:00 p.m. previous day – 4:15 p.m.; trading halt from 3:15 p.m. – 3:30 p.m.

CME Globex (RTH) Regular Trading Hours

Central time
MON – FRI: 8:30 a.m. to 3:15 p.m.
---
Night session would be MON – FRI: 5:00 p.m. previous day to 8:30 a.m

https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html

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arroganzmaschine
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trendisyourfriend View Post
CME Globex (ETH) Extended Trading Hours

Central time
MON FRI: 5:00 p.m. previous day 4:15 p.m.; trading halt from 3:15 p.m. 3:30 p.m.

CME Globex (RTH) Regular Trading Hours

Central time
MON FRI: 8:30 a.m. to 3:15 p.m.
---
Night session would be MON FRI: 5:00 p.m. previous day to 8:30 a.m

https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html

Night Session would be the thing I was looking for. Thank you!

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23rd Feb



Last week we'd been watching for a test of 80.75 and on Friday we had a move down and whilst we didn't get that far down, we got within 1.5 points and then buyers stepped in. So we've breached the highs, had a decent downside test and buyers were interested.

We also had the best volume day for the week - just over 1.6 million contracts.

So going into today with a long bias.



It was quite a decent push up and the only bearish thing about today is that often after snap ups we get an equal snap down. So that's worth watching out for.

Below us we have the late pullback of 2101.25 and the old high of the week 2099.50 as potential areas that buyers will come back in. So I am watching to see if we get a around there and if so, I expect some more buy side participation.

If we dip below 2099.50, I'm expecting chop more than a swift move down as we chopped around this area plenty last week. I expect the indecision there to continue.


Weekly Numbers
Range - 2080.75 -> 2108.75
Value - 2089.25 -> 2096.75
S1 2098.75, R1 - 2116.25

Daily Numbers
Range - 2082.25 -> 2108.75
Value - 2082.25 -> 2099.75
Globex - 2102 -> 2108

Settlement - 2107

Today - 2099.50, 2101.25

Long Term 2088.75, 2068.25, 2047, 2019.75, 2007.50, 1984.75, 1961, 1922.25, 1878.25, 1806