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DTs Pre Market Prep

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8th September



Still in the narrowing range, so no clear direction from my perspective.



Yesterday was a vacation in the US but as you can see we are in the middle of the last 2 weeks range, so again, that doesn't give us much of a hint as to which way it will go.



A big move up overnight through and much higher than Fridays close so far. So if this is still the case into the open, we need to be on the lookout for an opening move down to "rebalance"as we open. For the brave that means jumping in short on any sign of weakness for an early trade. For those less brave, you stand aside and let it work out for the first 15 minutes to see if it wants to continue or not. I'm in the latter group into today, as it's directionless overall. I'll be looking for last weeks highs and lows to key off as well as intraday levels.

Weekly Numbers
Range 1898.75 -> 1987.50
Value 1910.25 -> 1953.25
S1 - 1883, R1 - 2045.75

No daily numbers - yesterday was a holiday and so who knows if people will be looking to yesterday or Friday


Long Term 2126.25, 2102.50, 2073.50, 2056.75, 2023, 1992.25, 1946.25, 1860

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9th September



Yesterday was indecision but today we have the potential of a lot of traders pointing in the same direction and actually making a decent and tradable move.

We are back to the 92.50 level, a level that has been an inflection point many times. If we fail from this point and move back down, then we do risk the chance of it being choppy below but I think initially people will jump on the down move as it's a nice well known level that people will be looking at.

To the upside, if we break up -people will be looking for us to move to 2023 and potentially beyond - or the bottom of the old range.

Anyway - we are at the top of a range and not the middle of one, so either way we break, we have a good chance of a cleaner move.



The weekly profile backs this up, we are at the top of the range from the past 2 weeks.



This is a big pop overnight, so once more look for the potential initial move down off the open. Other than that I'll be looking for a good swing with high volume either on a break or rejection of this level. That could start before the 9:30 am open.

Weekly Numbers
Range 1898.75 -> 1987.50
Value 1910.25 -> 1953.25
S1 - 1883, R1 - 2045.75

Daily Numbers
Range -1930 (overnight) / 1944 (day) -> 1968.75
Value - 1945.25 > 1957.25
Globex - 1964 -> 1992

Settlement - 1965.75

Long Term 2126.25, 2102.50, 2073.50, 2056.75, 2023, 1992.25, 1946.25, 1860

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10th September

The rollover!



Today is the 'official' rollover date for the index futures. So now we move into December.

I say the 'official' date because of late the roll has taken longer and longer to occur. It used to be (3 or so years ago) that by Thursday lunchtime, the volume in the new contract would have overtaken the old one.

Now it seems to take longer. But the bottom line is that the rollover is when positions move from one contract to another.

So if you see a lot of buying in the September contract, it could mean that SHORT positions are being moved to the December contract.

On most days on the ES, you can consider almost all trading to be short term speculation. So when you see a lot of sellers, you know that eventually the sellers will need to unwind because that's what they do to end that short term trade. On a rollover day, you cannot make the same assumption.

So on days like this - it's good to watch but I prefer not to trade, not until we have December showing a clear leader in volume.

So no trading "officially" till Monday. Rollovers used to be erratic but in the past couple of years we've had some fantastic directional moves on these days, so I may well be "living in the past" with my rule of not trading these days.

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DionysusToast View Post
10th September

The rollover!



Today is the 'official' rollover date for the index futures. So now we move into December.

I say the 'official' date because of late the roll has taken longer and longer to occur. It used to be (3 or so years ago) that by Thursday lunchtime, the volume in the new contract would have overtaken the old one.

Now it seems to take longer. But the bottom line is that the rollover is when positions move from one contract to another.

So if you see a lot of buying in the September contract, it could mean that SHORT positions are being moved to the December contract.

On most days on the ES, you can consider almost all trading to be short term speculation. So when you see a lot of sellers, you know that eventually the sellers will need to unwind because that's what they do to end that short term trade. On a rollover day, you cannot make the same assumption.

So on days like this - it's good to watch but I prefer not to trade, not until we have December showing a clear leader in volume.

So no trading "officially" till Monday. Rollovers used to be erratic but in the past couple of years we've had some fantastic directional moves on these days, so I may well be "living in the past" with my rule of not trading these days.

Ha, seems I've being watching the action on the wrong contract today, some seriously funky stuff happened and didn't know what to make of it. Think I should probably stay out too then... Such a boring 4 weeks.

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DionysusToast View Post
10th September

The rollover!



Today is the 'official' rollover date for the index futures. So now we move into December.

I say the 'official' date because of late the roll has taken longer and longer to occur. It used to be (3 or so years ago) that by Thursday lunchtime, the volume in the new contract would have overtaken the old one.

Now it seems to take longer. But the bottom line is that the rollover is when positions move from one contract to another.

So if you see a lot of buying in the September contract, it could mean that SHORT positions are being moved to the December contract.

On most days on the ES, you can consider almost all trading to be short term speculation. So when you see a lot of sellers, you know that eventually the sellers will need to unwind because that's what they do to end that short term trade. On a rollover day, you cannot make the same assumption.

So on days like this - it's good to watch but I prefer not to trade, not until we have December showing a clear leader in volume.

So no trading "officially" till Monday. Rollovers used to be erratic but in the past couple of years we've had some fantastic directional moves on these days, so I may well be "living in the past" with my rule of not trading these days.

Most ETFs use futures to some degree to maintain their exposure. In the past there was an exploitable edge, i.e. when these ETFs rolled their contracts, you could try and front-run them and by shorting the closer month and buying the next month. This trader made decent money using that strategy Emil van Essen - IASG but I don't think he trades it anymore. I believe it was his spread-trading strategy and the performance was good for a year or two and thereafter it decreases quite a lot.

I believe most of the ETFs and LTTF funds now start rolling over earlier and try and minimize their impact in order to keep their roll-over cost as low as possible. Another example of how the market constantly changes...

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DionysusToast View Post
10th September

The rollover!

So on days like this - it's good to watch but I prefer not to trade, not until we have December showing a clear leader in volume.

So no trading "officially" till Monday. Rollovers used to be erratic but in the past couple of years we've had some fantastic directional moves on these days, so I may well be "living in the past" with my rule of not trading these days.

I like pretty much the Cme "Quarterly Roll Analyzer" to gauge the rollover process. Here is the link, but I'm afraid you can see the tool only if you registered to Cme website.

However, according to it we were lagging way behind as of yesterday, with just above 10% of the contracts already rolled.

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grausch View Post
Most ETFs use futures to some degree to maintain their exposure. In the past there was an exploitable edge, i.e. when these ETFs rolled their contracts, you could try and front-run them and by shorting the closer month and buying the next month. This trader made decent money using that strategy Emil van Essen - IASG but I don't think he trades it anymore. I believe it was his spread-trading strategy and the performance was good for a year or two and thereafter it decreases quite a lot.

I believe most of the ETFs and LTTF funds now start rolling over earlier and try and minimize their impact in order to keep their roll-over cost as low as possible. Another example of how the market constantly changes...

Agreed - and for other markets like crude & natty gas, there's ETFs that give exposure to those that carry a lot of contracts - I guess we are lucky it's just once every 3 months for us.

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11th September



About 50/50 in terms of volume, so for me - back to it on Monday.

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14th September

The roll is done - with just under 2x the volume in December that September has. That's good enough for me.

....NOTE THERE ARE NEW LEVELS BELOW....



We are still in a narrowing range and seem to be working our way back up to the 1983 level. Again, when (if) we get there, we should get decent participation whether it holds or breaks.

If we move down today, I'd expect it to be less directional as there's not a clear target below or a clear rejection above.



We can see that the 3 week range is narrowing but moving to the upside. We can see that the bulk of trading was below 1950, so an eye on that today.



Fridays Value High has held so far, so if we do fall back to Fridays low/VAH and then push up, that would likely bring in some additional participation.

So looking upside for 83, expecting selling to lead us to lackluster trading unless the Friday High/VAH holds on a test. Also looking at the potential of 1950 being a decision point.

Weekly Numbers
Range 1906.50 -> 1982.75
Value 1922.50 -> 1947.50
S1 - 1924.25, R1 - 1977.50

Daily Numbers
Range -1927.50 -> 1951.75
Value - 1943.50 > 1945.50
Globex - 1946.50 -> 1964.25

Today only - 1950

Settlement - 1950.25

Long Term 2117, 2092.50, 2046.75, 2013, 1983, 1936.25, 1850, 1781.50

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15th September



Still in a narrowing range. We have FOMC Thursday with lots of people expecting the FED to back off on raising interest rates. It may be that we stay in this small range and aren't able to escape until Thursday.

So patience is key today.



As we can see, we are now in the midst of the majority of trading from last week, which adds to the likelihood of directionless trading.



Overnight we've basically traded in yesterdays day session range so into today, a test of one of those extremes would be a good place to see a reaction.

Other than that - meh...

Weekly Numbers
Range 1906.50 -> 1982.75
Value 1922.50 -> 1947.50
S1 - 1924.25, R1 - 1977.50

Daily Numbers
Range -1936.50 -> 1952.50 / 1964.25
Value - 1938.50 > 1944.50
Globex - 1935.25 -> 1949.50

Settlement - 1944

Long Term 2117, 2092.50, 2046.75, 2013, 1983, 1936.25, 1850, 1781.50

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