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DTs Pre Market Prep

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Hi All

I decided to move my pre-market prep over here.

I tend to push this out on a forum, the Topstep indices room and a Skype group I'm a member of.

I'd prefer this thread to be a place for anyone to post pre-market prep for any market.

Not much to say other than you'll pick it up as you go along..

DT

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28th May, 2013

First a step back, to get this rolling.

Market has put in a fairly big move up without really consolidating.



As the market tends to spend more time in horizontal than vertical development, my expectation is that we should now settle into a range and the 1630-1690 range looks ideal in terms of size and in terms of a good place to 'hang out' based on what it's done since the 15th. Of course the range could extend downwards but I'll be biased short towards and past 1690 and I'll be biased long towards and past 1630.

In terms of last week:



A pretty big range with value spread quite wide but a noticable line in the sand just below 1660 (1659.50). That's an area to watch.

In terms of daily levels. Well yesterday doesn't really count in my opinion, so for want of anything else, I'll be watching Fridays value area and the range from both days.

Overall, based on the idea we are in a range, I'd rather be long than short for a potential trip back to 90 before moving back to the low of the range.

Note though - We hit the lows on Friday and then moved up. That move up was 'confirmed' on Monday - when the US markets were closes, so beware of the possibility of a swift drop based on Mondays action being misleading. We are long overnight and this in itself often triggers selling off the open.

This is day trading though, so I expect the ES to put in decent swings in both directions on most days and I trade both sides.

Weekly Numbers
Range - 1632.75 -> 1685.75
Value - 1647.00 -> 1685.50
R1 - 1679.50, S1 - 1628.00
Line in the sand 1659.50


Daily Numbers
Friday Range - 1634.50 -> 1651
Friday Value - 1639.25 -> 1647.25
Monday Range - 1644.00 -> 1655.50
Globex Range - 1651.25 -> ??

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Still looking at 1634-1690 as the overall range.



Got into the low 70's yesterday before dropping back to a low of 52.75 - right trough that "line in the sand @ 59.50.


Based on yesterdays profile, I think that area is still significant but I'm now looking @ 61.50 based on yesterdays action.

Weekly levels (this week)
Range 1641.75 -> 1672.75
Value 1645.25 -> 1658.75
R1 - 1679.50, S1 - 1628.00

Daily Levels
Range 1651.25 (globex)/1652.75 (Pit) -> 1672.75
Overnight 1641.75 -> 1657.75

Also looking at 1634.25 (Thursday low as a line in the sand).

You can see from the volume profile on the MP above that the majority of the volume in globex was in the 43-> 48.75 range, so that's worth watching.

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May 30th - Happy Birthday to me!

OK - So here's the daily & the 60 min. We didn't quite get down to the 1630 yesterday and we've turned up from 1638.



The 60 min on the right looks fairly appealing but the daily looks a bit of a mess. Levels aren't holding that well. We did get rejection of the Tuesday Low on Wednesday and then we later bounced up off the weekly VAL (this weeks) but we then moved through it to the downside.

Looking at the profile



We can see that yesterday was in the range of Thursday/Friday last week, at the bottom of our potential long term range of 1630-1690. Whilst we haven't broke thru last weeks low, we need to stop skirting around id if we are to push up. A test to the downside might be what we need to push up.

The wildcard is that it's the end of the month. The month opened at 1593.75. It's going to be interesting to see if they run this up into the end of the month. This could be triggered off the pending home sales @ 10:00am. Part of me says it's likely but part of me thinks they might not risk it as it's already a great month.

Most of globex was in yesterdays range with a little peek out the top. We look set to around yesterdays value area, so will be looking to test that off the open. If we do go down, I'll be looking at a break of last weeks lows to bring sellers in.

Still looking at 1661.75 as a potential pivot too.

Weekly Levels
Range 1638 -> 1672.75
Value 1642.25 -> 1655.75
R1 - 1679.50, S1 - 1628.00

Daily Levels
Range 1638 -> 1652.75 (Pit)/1657.75 (globex)
Value 1643.75 -> 1651.25
Overnight 1641 -> 1654.75

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Happy birthday!

.
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Happy birthday DT!

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3rd June

OK - so last week was a bit ugly and choppy. We still have a case for a 1630->1690 range and as you can see on the daily that could be a 1620-1690 range:



And on the hourly



The key is that we could well be at the low extreme of the range. Might be. Could be. Possibly. Anyway - if we are, even though we are barely out of last weeks chop, we could well have some nice moves if longer term players come in here.



Weekly profile shows that we didn't really do much last week. Be looking to see what happens when we hit the Value low of the week.



Daily Profile just shows we came out the bottom of that chop.

Weekly Levels
Range 1626.25 -> 1672.75
Value 1644 -> 1656.50
R1 1659, S1 1612.50

Daily Levels
Range 1626.25 -> 1658.00
Value 1642 -> 1657
Globes - 1626.50 -> 1638.50
Other - 1634.25, 1640

News @ 10:00am but I'll be looking to get positioned before that if the open is lively.

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June 5th

My case for a move back up to 1690 to continue a 60-70 point range for a while is looking weaker based on our inability to pick up from these lows or stay when it makes a bullish move. News this AM wasn't great. More news @ 10am to watch out for.



This weeks profile looks like this so far.



This weeks range overlaps last weeks but value is not overlapping. Volume is evenly spread but there is a case for saying this is price acceptance at lower prices.

Off the open, lots of people will be looking at the lows
Mondays pit low - 1620.75
Tuesdays pit low - 1621.50
Globexl low - 1621.75

So that's a bit of a line in the sand there!

Depth wise - we had less than 50% of normal depth on the DOM on Monday, accompanied with higher volume. That made for a tough day. Tuesday was also low on liquidity but also low on volume. Might be more of the same today and if it is, it could be another tough one.

Weekly Numbers
Range 1620.75 -> 1645.75
Value 1626.50 -> 1636.75
R1 1659, S1 1612.50
Also watch 1644 - last weeks VAL

Daily Numbers
Range 1621.50 -> 1645.75
Value 1626 -> 1639.50
Globex 1621.75 -> 1632.25
Settlement 1631.25

Volume slightly above average in the Globex - 58k above average at 8:55

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June 6th

Always good to take a step back and consider the bigger picture...



We've been "one timeframing" up on a monthly basis for 7 months running. You can see that last month was a really big pop up. As yet, we haven't broken that monthly pattern and the low of May is not far away. Whilst I won't trade 1576, I'll be watching it to see what happens to see if we get a meaningful reaction.

Still - we do have a few levels to eat through on the way there. We have been getting bounces off the levels we made on the way up and there's no reason to think that will stop.




Weekly Profile is interesting - value is above us - so first order of the day - does value come down to price or price go back up to value?



Weekly Numbers
Range 1605.50 -> 1645.75
Value 1622.25 -> 1638.75

Daily Numbers
Range 1605.50 -> 1628.75 (pit)/1632.25
Value 1606 -> 1617.50
Globex 1606.75 -> 1616.75
Settlement - 1608

Also - 1620 (breakdown point yesterday)
1607.25, 1595, 1576

This week all buying has been met with a new drive down, so this could well continue. On the other hand we look set to open within yesterdays value and so we may balance here or go back to the weeks value range.

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7th June

It seemed that the break out point from early May - the 1595 was the level that ended up being significant yesterday.



Yesterday, the question was, will value move down or price move to value. The latter occurred so we are back in the value range for the week. The boundaries of that range are now in play.




Weekly Numbers
Range 1596.50 -> 1645.75
Value 1616.25 -> 1640.75

Daily Numbers
Range 1596.50 -> 1624.25
Value 1602.25 -> 1613.75
Globex 1618 -> 1633.25

Also - 1646, 1633.75, 1620.50, 1607.25, 1595.50

Just watching the value areas - a rejection of yesterdays and holding the weekly value.

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10th June

A bit late to it today - a nice gap up in the globex:



The hourly shows we made it to the top of the channel.



But also shows how the levels made on the way up have been respected.

In terms of last week, here is how we ended up:



We have already opened, so I won't go into too much commentary but first order of the day is if we can stay above the low of the Globex in order to carry on up or if we go on to test the other levels above. then we have the high of last week to test as well as the 1646 level slightly above it.

Weekly Levels
Range: 1596.50 -> 1645.75
Value: 1618.75 -> 1640.75
LVN 1617
R1 - 1657.25

Daily Levels
Range 1625.75 -> 1644
Value 1634.75 -> 1641.75
Globex 1634.50 -> 1648.25
Other: 1620, 1632.75, 1646, 1660, 1672

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11th June




We made it up to the 1646 mark before rolling over and we built a fair amount of volume at the low end of the Globex range today. It is normal for overnight inventory (in this case short) to be reversed in the day session, so there is a chance of a move up off the open.



As you can see there's a bulge at the bottom of the profile, so first thing we need to do is get out of that area but also we can see 1632.25, 1634.25, 1635.25 - some areas with very low volume. That'll probably be irrelevant in the day session but I still think it's worth making a note of them.

Fridays globex low is key and it's at around the 1620 level, so if we do go down off the open, lots of people will be watching to see if that breaks and I am sure lots of people will join in whether it breaks or not. So my scenarios are for a bounce of 1620 and a push up which will gather steam if we get pas yesterdays high or a break of 1620 to the downside causing another sell off, especially as we break Fridays low of 1618. 1618.75 is also last weeks VAL.

We are opening up way below yesterdays range 1638.00 was the low & settlement was 1642. Watch out for a probe down off the open that fails and sees us move back to yesterdays range.

Weekly Levels
Range: 1596.50 -> 1645.75
Value: 1618.75 -> 1640.75
LVN 1617
R1 - 1657.25

Daily Levels
Range 1634.50 (globex) 1638.25 (pit) -> 1648.50
Value 1640.75 -> 1645.75
Globex Range 1625 -> 1642.75
Friday Pit Low 1625.75
Other: 1620, 1632.75, 1646, 1660, 1672

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12th June



Range is narrowing, so first thing that needs resolving is "up or down?"

1648.50 to the upside & about 1620 to the downside. Be wary of false breakouts with absorption on the opposite side 2-3 ticks out but if that's not happening, a breakout either side is worth joining.



This weeks value area is overlapping last weeks with the volume POC being at 1642.25. That's actually fairly bearish but what this weeks value area does is gives us some areas to play off if we don't get outsidt ehg 1620-1648.50 range.

Other that that, it could go either way. I will be looking at yesterdays value area, yesterdays range, thisweeks value area, then the range.

Weekly Numbers (this week)
Range - 1621.50-> 1648.50
Value - 1630.50 -> 1646
R1 1657, LVN last week 1617

Daily Numbers
Range - 1621.50 -> 1639.75
Globex - 1626.25 -> 1637
Value - 1624.50 -> 1634
Close 1627.50
Other: 1620, 1632.75, 1646, 1660, 1672

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Rollover - no prep, no trading for me.

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DionysusToast View Post
Rollover - no prep, no trading for me.

Hi DT,

Im interested to hear your reasoning for not trading today. I know it is fairly common for people not to trade on settlement day. However if you dont trade on rollover does that mean just today, or from today until settlement?

Thanks, just curious.

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I'm also interested to know how do pre market preparation if that's possible.

Thanks

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Hi DT,

Im interested to hear your reasoning for not trading today. I know it is fairly common for people not to trade on settlement day. However if you dont trade on rollover does that mean just today, or from today until settlement?

Thanks, just curious.

There's lots of people moving their positions into the September contract today. That activity distorts the market somewhat.

Also - there is very little depth on the DOM and although that has been the case for the past few weeks, it really is thin today.

Both of these things change the characteristic of the market. As of typing - 11am EST, there's 1.1M contracts traded in the June contract and 356k in the September contract. At some point today (or possibly tomorrow), the September contract will be the leader in terms of volume.

This not only makes trading choppy today, it also makes the pre-market analysis a bit tricky tomorrow because it's based on a weird day.

I get back to it on the Monday but it's really Tuesday where the prior days analysis will start to be really meaningful again.

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I'm also interested to know how do pre market preparation if that's possible.

Thanks

The way I do this is one of many ways. I think the keys to good pre-market prep are:

- be consistent in your method
- do it every day
- have multiple scenarios on the table as to how it might play out (if this level breaks - I think it'll go down, if this level holds, we'll run to level xxxx - that sort of thing)

In terms of info out there:
Stock Market Trading Training Seminars | Learn2StockTrade.co.uk - there's a seminar there on pre-market prep
Subscribe to Daily Pre-Market Updates - James Dalton Trading - it's $200/month but after a month or 2 you'll not need to be a subscriber any more in my opinion

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18th June

Back to it with meaningful data to prep off after the roll.

Yesterday was very choppy and FOMC is coming on Wednesday so we could well carry on this chop until then. News this AM did very little to nudge the market.



This is the weekly profile - last week on the left and Monday on the right. It seems that last weeks value area was respected yesterday, so keep an eye on it today to see if it holds.

The hourly chart looks like this:



We have the 1646.50 line above and the 1620 line below. It looks pretty bullish if we break the line above. Last weeks value was at the top of the range and so was Mondays. That's also bullish in terms of building value at higher prices. I think if we can hit 1650, then people will be a bit more eager to join the buying.

Breaking the 1620 to the downside doesn't look as significant to me, just more of the range we are in. To me the downside is just range but it has made big drops to the downside with the moves up taking more time, so I guess we have to look out for that too. Certainly if we drop below 1618, I think it'll attract some sellers.

Nothing really significant on the weekly/monthly charts for me.

Weekly Levels
Range 1591.75 -> 1642.50
Value 1618.25 -> 1639.75
Weekly Pivot - 1620.75, Weekly R1 - 1640.25

Daily Levels
Range 1618(globex)/1623.75-> 1641
Value 1631.25 -> 1639.25
Settlement 1633.75
Other - 1620, 1648.75

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19th June

Volume was relatively light yesterday and the 1648.75 level held. We went a tick through it in the Globex session as of typing this (7:30 am EST). I imagine quite a few people had that area as a target for their long trades, so I wouldn't see the bounce off that area as bearish just yet. In fact, people getting neutral means they can buy again at these levels whereas longs from lower down are more likely to sell the higher we get. A case of needing a bit of selling before we can go back up.




The bounce off the area in the Globex session isn't that bearish either in my opinion.



All we have done overnight is rotate around yesterdays value area. We went a tick through 48.85 but that's it. I expect this to be tested today. It could be 6 ticks through and fall away but I favor bulls jumping in if we push through with conviction.

To the downside, we did build a little base around 1632 before moving up and I think 1620 is still a major line in the sand. The weekly R1 at 1640.25 did appear to act as support yesterday morning and so it's also worth keeping an eye on.

Of course, all this is in isolation of the FOMC rate announcement due at 12:30. There's also no news other than crude inventories. As such, this morning at least could be very quiet. If the first few minutes are quiet, it'll probably stay that way till 2PM unless we break 1648.75.

As for the FOMC - I have no expectation or bias. My only plan is to be flat when it comes.

Weekly Levels
Range 1618 -> 1649
Value 1633.25 -> 1648.50
Weekly Pivot - 1620.75, Weekly R1 - 1640.25

Daily Levels
Range 1632.25 (globex)/1634.00 (pit) -> 1648.75
Value 1641.50 -> 1648
Globex 1641 -> 1649
Other - 1620, 1632, 1640, 1648.75

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20th June

This pre-market prep is a little earlier than usual. When we have 8:30am EST news, I tend to wait till the news is out of the way before doing the prep. Not today though.

We had a big move down yesterday after the Feds announcements. We didn't get to test the 1648.75 level before the drop and we fell short of testing the 1620 level too. We did get to 1622 as we got into the cash close.

Today we have Unemployment numbers at 8:30am, Flash Manufacturing PMI at 9am and then Consumer Confidence, Home Sales & Philly Fed at 10:00am. We have dipped down below 1610 in the Globex session so far and below us we have levels at 1595.50 and 1591.25. We can expect these levels to at least cause a bounce as shorts take profits if we carry on down.



We can see the drop is significant. We don't know how much of this is short term speculation or long term re-positioning. Volume was not exceptionally high yesterday. We can see that recently prior large drops have been followed by responsive buying and we've made the ground back in a day or two. If this is mostly short term speculation, then we have a lot of buying ahead of us as these shorts close out.

I'll let the news play out, that could trigger an all day move or it could be just a blip. When we get to the 9:30 open, I will initially be looking for responsive buying to move us back into yesterdays range. If we do move down, then I will have my eye on the volume. If it is exceptional, then I will presume it is "other timeframe" sellers re-positioning after the FED move and I'll be less fussy about trade location and just jumping on board a short. If we do drop with volume, there simply might not be a good pullback to short and so you either stay out or jump in.

One other reference point of interest is on the monthly chart:



You can see we've been "one timeframing up" on a monthly basis. In other words, each month for the past 7 months have made higher lows. Last months low is at 1576. If we breach that to the downside, we could be looking at a longer term downtrend.

Weekly Numbers

Range 1605 (and dropping) -> 1649
Value 1628 -> 1648.25
Weekly S1 - 1599.75

Daily Numbers
Range 1622 -> 1649
Value 1632 -> 1646.50
Globex developing-> 1623.50
Settlement 1623.75, 1595.50,1591.25. 1620

In short. There is quite a lot going on. It'll probably pay to be patient today.

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DionysusToast View Post
If we do move down, then I will have my eye on the volume. If it is exceptional, then I will presume it is "other timeframe" sellers re-positioning after the FED move and I'll be less fussy about trade location and just jumping on board a short. If we do drop with volume, there simply might not be a good pullback to short and so you either stay out or jump in.

Good plan. How was the execution?

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Big Mike View Post
Good plan. How was the execution?

Mike

Note that I only trade the ES morning session. I also scale out and my first scale is 1 point. Subsequent scales are set by what levels are around & the overall volatility. On a regular day about a point apart. On a volatile day 6-8 ticks apart.

1) Off the open, we came down to 1605.50, bidders stepped up and absorbed the selling. I got long at 9:31:29 @1606.25. It was a ballsy trade and after seeing the 'hold' but it was based on the scenario that buyers could step in off the open, it did go up but struggled and I pulled my targets into 1 point.

2) Then we made a move down, which was quite aggressive. I figured that failing to go higher on that push up meant that sellers could now control it for the day. At this point the TICK was bearish and volume was above average but it was only 9:34 and so a bit early to start calling out what sort of day it would be.

We went thru the ONL and got a pullback to it. The pullbackj was 8 ticks which is pretty standard on the ES and it held there, so I shorted 1605.25 at 9:34:45. I scaled at 4 ticks & 8 ticks. at 9:41, it became evident bulls were taking it again and the rest I got out @ 1603.50. I was pretty happy with that exit in terms of managing the trade.

3) Then up through the open again with a big push up in terms of volume, ticks and delta. We went through the open and then started to pull back. We came back to towards the open and I went long just before the open at 9:48:29 at 1607, with news coming up at 10:00am. I got 1 point fairly quickly, then as we came down towards my entry, I took some off at +1 tick as I wasn't seeing the sort of pop I wanted into the news - I would have expected the next leg up to be 10-12 ticks. I left some on at +8 ticks thinking I could cut before the news and I was pretty lucky to get filled there before it came down.

Then we got the news and that was the turning point. One of the things concerning me about the action so far was how little liquidity there was. Instead of 1000's on the DOM at each level, there were hardly any levels on either side above 1000. It has been thin the past few weeks but only on the first 2-3 levels.

4) After the news, I took a small trade at 1602.50 - just 1 lot and just above the pit session low. There were signs it was holding and the cumulative delta still looked pretty bullish (TICK was bearish though) it just blew through me and a market order got me out 7 ticks below. Not slippage - just the speed the market blew through me and my reaction time. I literally didn't have time to get out.

I watched the next few swings - very large for the ES and mostly because there was relatively little volatility. I play thick markets because I consider them lower risk. I don't get along with thinner markets and the ES was looking pretty thin to me. It's not something I do well. At this point I had profits on the table and I decided to not participate for the rest of the day because of the liquidity.



What is interesting is how the delta moves up there even after the market turned down at 10:00am. The ES doesn't do this often and it's more indicative of thinner markets like CL.

The Average Tick and Relative Volume looked like this:



In terms of how I did. Whilst I didn't make out like a bandit, I'm happy with the decisions I made.

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DionysusToast View Post
In terms of how I did. Whilst I didn't make out like a bandit, I'm happy with the decisions I made.

OK, so 17 ticks or so per contract? On a day that over 40 points?

Don't get me wrong, please. You made more than I did today, because I sat on the sidelines and didn't make any trades as I don't particularly do well in strong trend days.

But man... I am glad I am not a scalper. Ever since I decided to abandon that, and move back to larger time frames, things are just so much more... relaxing! Not to mention more profitable.



The nice thing amount the market is there are a million ways to make money. Unfortunately, there are about 100 million ways to lose it!



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Big Mike View Post
OK, so 17 ticks or so per contract? On a day that over 40 points?

Don't get me wrong, please. You made more than I did today, because I sat on the sidelines and didn't make any trades as I don't particularly do well in strong trend days.

But man... I am glad I am not a scalper. Ever since I decided to abandon that, and move back to larger time frames, things are just so much more... relaxing! Not to mention more profitable.



The nice thing amount the market is there are a million ways to make money. Unfortunately, there are about 100 million ways to lose it!



Mike

Fair comments Mike but I think you are making a judgement on a very small set of data. Certainly in terms of taking one days trading and saying that it is a less profitable way to trade than some other way. I ended up sitting the day out precisely for the same reason you did in the end. I just took a few shots at it in the process because I thought there was a good chance of finessing my way into a runner. The lack of liquidity merely stopped me from taking another shot at it.

I stand behind the premise of each trade in terms of having potential to turn into a runner. Is there one specifically that you think was a pure scalp with no chance of running?

The idea is to get into a position and then let the scaling work for you in terms of maximising the number of ticks.

The scaling gets you some profits banked early on and de-risks the trade. The refined entries also help de-risk the trades. All of those trades were taken with a view to the move running more ticks than they did. Any one of those trades could have lasted the rest of the day. Turns out they didn't. A trade at 9:31 will often have you in position for 2-3 hours and it might have you out in 2-3 minutes! Most of the time it's done by 10:30am.

It really doesn't matter if the ES moves 40 points on one day. It moves 10-15 points most days and most intraday traders will be set up to take advantage of the rotations within that. I don't think that too many ES traders will be trading a 5 point range one day and then getting 40 points the next. Most traders are perma-faders who would have been buying that all the way down.

Anyway - don't take this as me being upset, I think it's a good discussion to have and would like to hear more on it.

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DionysusToast View Post

What is interesting is how the delta moves up there even after the market turned down at 10:00am.

I saw you mentioned this somewhere else (maybe a presentation of yours), but was not sure why this could happen, now as you mention it again, why do you think this happening?


Big Mike View Post

But man... I am glad I am not a scalper. Ever since I decided to abandon that, and move back to larger time frames, things are just so much more... relaxing! Not to mention more profitable.

Hey Mike, what time frame do you use, and do you use multiple time frames?

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ghl123 View Post
I saw you mentioned this somewhere else (maybe a presentation of yours), but was not sure why this could happen, now as you mention it again, why do you think this happening?

It tends to happen in more erratic, less liquids markets.

The mechanics of that move on the ES where delta went up as price moved down is that people were going short with limit orders. Whilst the majority of traders with market orders were longs, limit orders were absorbing that buying. Now - the odd thing about yesterday is that the quantity of limit orders generally was extremely low but as I mentioned this does occur more in less liquid/more volatile markets. So absorption should have stood out a mile.

For the "thinner market theory" - take a trader like myself that lets it get to an area and then goes in with a market order on the ES. When it gets to my spot if I see a sign that it is being held but at that point, if I am right, it is almost pointless to try getting in with a limit order 'cause the more right I am the less likely I will get a fill.

If I were to trade CL, there would not be such a need to hit into a trade with a market order even with my style of trading because the extra volatility would most likely see you swept into a position if you went in with a limit order and got a few ticks price improvement.

So - yesterday on ES, it would have been one of 2 things:

1 - Sellers quietly absorbing the buying with limit orders on the offer.
2 - Just a feature of the increased volatility/reduced

If it was number 1, then they were pretty damn stealthy about it. Here's the footprint from that period:


Hard to call, really. If that was people quietly offloading to unsuspecting buyers - they did an absolutely fantastic job about doing it subtly.

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June 21st

A big move down yesterday and lots of volume - 3.6 million contracts which is indicative of longer term re positioning.

We did fall short of the 1576 level (last months low) and so we are still one timeframing up on a monthly basis.



If we zoom in a bit:



We can see that we have moved back up to the 1595 area overnight, which is effectively the break-down point in terms of breaking down from the longer term range. This may be new longs profit taking or it might be prior support becoming new resistance.

In terms of the profile:


The Globex value area is within the value area of yesterdays pit session.

The order of the day today is:

- see if we manage to stay in yesterdays value area or if there really are sellers in the high 90's
- if yesterdays value area breaks then we are looking at yesterdays low and last months low. We may well probe through 1576 6-8 ticks looking for sellers. If there are none there, I expect a swift move upwards. If sellers are there, I expect another decent drop.
- I think the chances of getting shaken out of any trade taken at 1576 are high.

To the upside I'm looking at the levels we set on the way down - 1595, 1607.25, 1620

Weekly Levels
Range 1577 -> 1649
Value 1611.75 -> 1648.75

Daily Levels
Range 1623.50(globex)/1609(Pit) -> 1577
Value 1587.75 -> 1608.75
Other - 1595, 1607.25, 1620

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Big things are coming this summer. I wonder for how long gold will be suppressed though, until investors will realize it is even better safe heaven than US dollar. And stocks have a long way to fall to revert to the mean...

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June 24th

Here's a monthly chart:


We did break down below last months low, so we are no longer one timeframing up on a monthly basis. In terms of the drop we have had so far, it's not particularly big when you look at the bigger picture.

We have been in vertical development downwards and at some point we will settle into a range. Where that will be is anyone's guess. It might even be back into the mid May-mid June range.

I can't see a good reason to try to pick the bottom of this move. Many common levels have held intraday on the first hit but just for a 2-3 point bounce before moving down. Many of them have then acted as resistance.



We can see that the Globex session has already pierced through last weeks low. If we look at Fridays day session and todays Globex, we can see that we did take a peek into Fridays value area before getting rejected:



Being mostly short overnight often sees buyers step in off the open. I don't hold much hope of that. I'll be watching Fridays Value area, Fridays low for rejection and if it doesn't get rejected, I'll get into position with a view to catching the opposite end of the range. I'll also be looking at 1576.25 above for rejection as well as 1558.75 below.



Let's face it, most people are probably thinking of shorting it and they are probably right but at the end of the day all short term shorts need to cover at some point. I'm going to let my bias develop as it plays out.

Weekly Levels
Range 1570.50 -> 1649
Value 1596.25 -> 1648.75
R1 - 1631.75, S1 1553.50

Daily Numbers
Range 1570.50 -> 1594.25 (pit)/1597.25 (globex)
Value 1578.75 -> 1590.75
Globex 1565 (so far) -> 1596.25
Other 1576.25, 1558.75, 1528.75

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25th July

Sometimes it's annoying just trading the US Morning Session. Waking up to see a 27 point move up for most of the afternoon is one of the annoyances.



The morning was characterized by the market swinging back and forth taking out stops. Liquidity was pretty low. The move in the afternoon was very well behaved on the way up and fairly well behaved on the way down as it gave back some of the move up. The AM was a good example of action I find hard to hold onto a position for more than 1-2 targets (with the redeeming factor being the reversal off the overnight low) and the PM was a good example of action that to me is much easier to run. It's good to see that sort of 'decisive' action.

We poked through the 1559 level yesterday and finally had buyers come in. It's the end of the month this week too but I'm not sure if that's going to really help to the upside considering the size of the move down this month. Anyway we did start the month at 1629.50, so it's worth bearing that in mind if we move up.



Whilst we did push up, we did not get to Fridays high and we only just about poked into Fridays Value area, the low of which was 1578.75. I think we need a good push through there towards Fridays VAH of 1590.75 before we can say the bulls have control. The Globex session today has stayed above Mondays lows, pushed above Mondays VAH but as yet hasn't managed to get through Mondays high. So whilst the daily chart does look a bit bullish, I still don't buy into it.

On the hourly, we have potential resistance at 1580.25 which I'll be watching if we get a push up off the open.



The levels we made on the way up and then the way down will need to be moved based on the recent action. I want to wait a few more days before doing that to see how this move plays out.

Weekly Levels
Range 1570.50 -> 1649
Value 1596.25 -> 1648.75
R1 - 1631.75, S1 1553.50

Daily Levels
Range 1553.25 -> 1580.25 (pit)/1586.25 (Globex)
Value 1556 -> 1571.50
Globex 1558.25 -> 1578.75 (so far)
Other 1629.50 1590.75, 1580.25, 1558.75, 1528.75

News at 10am will probably be the clincher in terms of facilitating a move up. Certainly pays to have a lot of wiggle room in a trade if you are holding through 10am.

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26th June

We just about made a higher high yesterday and in the Globex today we have also pushed through yesterdays high. First order of the day will be to see if the pit session will hold that or fall back into yesterdays range/value.



We have an area around 1597.25 that we need to break through to the upside and then next resistance around 1617.25. Note that 1596.25 is last weeks VAL, so pushing back into that is good for the bills.



To keep this going up, holding a few key levels will help. Last months low of 1576 and last weeks low of 1570.50.



The Globex session has most of the volume at the lows and the value area high is about where yesterdays day session VAH was. So I'll be looking for bounces up off yesterdays pit high and yesterays VAH. To the upside, I'll be looking at a potential move down from 1596.25-1597.25. If either fail I'll try to go with the move.

Weekly Levels
Last weeks VAL - 1596.25
Range 1553.25 -> 1591.75
Value 1566.75 -> 1581.25
R1 - 1631.75, S1 1553.50

Daily Levels
Range 1558.25 (globex)/ 1570 (pit) -> 1587/85
Value 1576 ->1582.50
Other- 1596.24->1597.25, 1576, 1570.50, 1617.25

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27th June

Yesterday was interesting and it's worth looking at what happened and think about what people might be thinking today.

The plan for yesterday was " looking for bounces up off yesterdays pit high and yesterdays VAH. To the upside, I'll be looking at a potential move down from 1596.25-1597.25."

Off the open we pushed up through last weeks Val at 1596.25 and through our 'potential break out point' from yesterday at 1597.25. We got 2 ticks through that level to 1596.75, bounced down and came back up to 1596.25. That failure to breach the level saw us go down to test the prior days pit high of 1587.75 and we got as far as 1588.50.

Then we moved up and managed to go onto new highs to 1601.25 and in todays Globex we are at 1606.25.

Today we are already in last weeks value area and for continuation up, I'd look for it to do something similar to yesterday which is test yesterdays high (1601.25)/value high (1598.25) and see if buyers step in. It could also test last weeks VAL of 1596.25. It's all around the same area.



Volume is a little lower on the past 2 up days but I am sure if we pass a test to the downside that buyers will be confident. I just wont be an early one.



We didn't really mark out any levels on the way down but we did have a wiggle at 1617.25 which we were looking at, so that is a hurdle we need to get over.



Todays Globex looks a lot like yesterdays. Value overlapping the prior pit session with an extension later on. Whether today's pit session follows remains to be seen.

Weekly Levels
Last weeks VAL - 1596.25
Range 1553.25 -> 1591.75
Value 1560.50 -> 1585.25
R1 - 1631.75, S1 1553.50

Daily Levels
Range 1573 (globex)/1588.50 (pit) -> 1601.25
Value - 1588.50 -> 1598.25
Settlement 1595.50
Globex (so far) 1594.75 -> 1606.50

Don't forget the news @ 10am!

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28th June

Last day of the month and last day of the quarter. April opened at 1563, and we are well above that. June opened at 1629 and that could well be a target today.





Overnight we made it a tick through Thursdays high. Right now it is only 6:45am EST, so that could change and we could spike up before the open to repeat what has occurred in Globex the past 2 days. Right mow, this is where we stand.



So we have a slightly higher value area and almost the same range as the pit session. We have PMI at 9:45am and Consumer Sentiment, Inflation at 10:00am. Probably not a big deal but not worth being in a trade without some breathing room into either.

If we stay within the range to 9:30, then see if they hold. If not, see if they get rejected. 1629 is a legitimate target but we need to get through 1617.25 first. To the downside is yesterdays low and VAL, then then 1601.50 and then the 1595.25 area. I suspect it'll be a push up today because of the month/quarter end though.

Weekly Levels
Last weeks VAL - 1596.25
Range 1553.25 -> 1614.50
Value 1556.75 -> 1594.75
R1 - 1631.75, S1 1553.50

Daily Levels
Range 1594.75(globex)/1605.25 (pit) -> 1614.25
Value - 1606.75 -> 1610..75
Settlement 1606.50
Globex (so far) 1605.50 -> 1614.50
Other 1629, 1617.25, 1601.50, 1595.25

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1st July

Well - so much for window dressing on the last day of the quarter!

I guess it could well be a slow week with July 4th coming on Thursday. We did poke through the 1595.50 level by a point and now it's a bit of a coin toss in terms of where it goes from here. We've got good arguments for it settling into a range 1595-> 1648.25 OR 1552.50 -> 1617.25.



Before we get to 1617.75, there is a shorter term resistance level at 1614.50 and it would be good to see a test and break through that early on.



In terms of last week, value is below us right now (1556.75->1598.25), so if we rush back int that area, we could walk down to the opposite side as the week progresses.



The Globex range is approximately where Fridays pit session was, so the first thing we need to do today is get out of that. A failure to get through either side is a good trade with plenty of potential to get to the opposite side.



Weekly Levels
Range 1552.25-> 1614.50
Value 1556.75->1598.25
S1 - 1563.50, PP - 1589.00, R1 - 1624.75

Daily Levels
Range 1594.25 -> 1609.75(pit) /1614.50 (Globex)
Globex - 1593.25 -> 1610 (as at 8:15am)
Close - 1599.25
Other - 1617.25, 1595.25, 1601.75

We are set to open up 10 points from the close but still within Fridays range so I think it's a coin toss. The news at 10am might cause a break either way. From the open, see how we react around Fridays range/value.

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2nd July

Not much change from yesterday morning, we did poke up above that 14.50 level but we fell back through it and we only managed to get up as high as 1614.25 in the Globex session.



We are between those 2 blue lines right now that have proven significant and I think a break either way (unless it's a 4 tick peek) will provide good opportunity.

Value is lower in the Globex and as of typing we are at 1606, yesterdays low. I'll be looking to see if we can move up through yesterdays range off the open or move back down to the 1594 level if we don't. If we do move up into the range, I'd be looking at 1617.50 or 1620 as the place where short term longs will have as a target,



We do have factory orders at 10am but it will probably be a fairly quiet day. Volume was a little over 1.5M yesterday which is quite light and the volume so fare is about 70k below average in the globex session. I will be keeping my eye on the volume profile from the start too. If it builds out a nice 'D' shape off the open, then I'll scalp the range.

Weekly Levels
Range 1552.25-> 1614.50
Value 1556.75->1598.25
S1 - 1563.50, PP - 1589.00, R1 - 1624.75

Daily Levels
Range 1593.25 (gobex)/1606 (Pit) -> 1620.50
Value 1611.50 -> 1619.50
Other - 1617.25, 1595.25, 1601.75

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8th July

Back after the holidays! Let's hope everyone else is too...



We have broken out to the upside of our 1617.75 level and we are heading up to the 1649 level which is prior resistance and also the high of June.



What now remains to be seen is whether we continue the range and head back down to the 1595 area or make another move to the highs.



Last week was a holiday week and we opened up today above last weeks value. A test of that area may be on the card and a rejection to the upside would be very bullish.



We bounced off Fridays value area overnight, so the downside test may have already occurred.

Weekly Numbers
Range 1593.25 -> 1630.75
Value 1602 -> 1621.50
R1 - 1638, S1 1606.75

Daily Numbers
Range 1608.25 -> 1629.50 (pit)/1630.75(globex)
Value 1614.75 -> 1626.25
Globex 1626 -> 1638
Other - 1595.25, 1608.25, 1617.75, 1649

Nothing else to add other than I see this as a 'technical day' and I expect 1649 to be a target for a lot of people and for at least a minor pullback to occur there when they close out longs.

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9th July

This is a new one on me - 10am - JOLTS Job Openings. I have no idea what that is so I guess stay flat into it if there's no wiggle room in the trade.

We have made it 4 points below our 1649 level, that's a line in the sand in terms of whether we continue to move sideways (1595-1649) or take another run for the highs.



I expect a small bounce off 1649 whatever happens. If we do turn down there, then I think we have a good 50 points to go to the downside over the next week or so.

The move up has been decent. Yesterdays pit session was a bit of a wash really, we poked above the Globex high but not much else. The Globex seems to be making the moves. Today we have a push up in the Globex again. What I'd like to see is a small move down off the open and for buyers to step in and take us to 1649.



There's a big step in the profile @ around 1639 and yesterdays high is 1639.50, so that seems like a natural point to move down to before moving up.



There's not really much more to say. What I don't want to see off the open is poor volume and a small range like yesterday but that is certainly a possibility given yesterday.

Weekly Numbers
Range 1593.25 -> 1630.75
Value 1602 -> 1621.50
R1 - 1638, S1 1606.75

Daily Numbers
Range 1626 (globex)/1631.25 (pit) -> 1639.50
Value 1632 -> 1636
Globex 1635.75 -> 1645
Close 1635.50
Other - 1595.25, 1608.25, 1617.75, 1649

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11th July



We did get a bounce off the 1649 area as expected and then (somewhat thanks to Helicopter Ben), we broke through and are now headed for the high. It seems that stimulus will continue which is a bit of a u turn and a bullish change. Of course, as the market headed down to 1550 mid-June, the sky was falling in. Next hurdle is 1685.75, the 'adjusted' all time high...



There is a level at 1673 but the weekly value is way below and we don't have too many levels to play off.



Yesterdays value is way below us, as is the weeks developing value area. The market is very long overnight and that often causes an adjustment down off the open. As this is a more 'fundamental' move, that might drive the market, so I will be looking for above average volume at the open, if combined with a good push up, I'll be considering the merits of just jumping on board long and not waiting for a perfect entry price.

Saying that - we have seen a lot of times recently that the Globex traders have all the fun and if the depth is thick, volume is average or below, we could just sit in a range. Whilst that is a pain as an intraday trader, it is price acceptance and that does bode well for a continued push up. If it does happen, then you can not trade or you can fade the range and try not to get shaken out with the probes outside the range. Certainly, if we do see sluggish rangebound action, I wont play breakouts.

Weekly Numbers
Range 1627 -> 1667.50
Value 1631.75 -> 1649.25

Daily Numbers
Range 1641.50 -> 1653
Value 1643 -> 1647.50
Globex 1648.25 -> 1667.25
Other 1653.25, 1660.25, 1673, 1685.75,

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12th June

A bit early today, so we have to consider that Globex might change things a little after I post this.

We have almost made it up to the 1673 level that marked a rejection on 28th May. I suspect we will pop through this and make a run for the 1685.75 as we are so close.





We do also have resistance around the 1660 area too and 1666.50 area. Today is unlike yesterday.



The Globex session is at the top end of yesterdays range.

We have PPI at 8:30am and UOM consumer sentiment/inflation at 9:55.

If we move down off the open, I'll be looking for rejection off the globex low or yesterdays value high. If we pop 73, then I don't see anything above us but the all time high.

Weekly Numbers
Range 1627 -> 1672.75
Value 1626.75> 1662.25

Daily Numbers
Range 1648.25(globex)/ 1660.75(Pit) -> 1671.75
Value 1662.75 -> 1668.25
Globex 1666.25 -> 1672.75
Other 1653.25, 1660.25, 1673, 1685.75,

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15th June

Bernanke is speaking later on this week and it's possible that we move sideways ahead of that. Eurex AM session was quite slow. On the other hand, we are very close to the adjusted all time high and a break of that might get people excited.



We've had 6 straight days of higher highs & higher lows and it was 'just about' higher on Friday with a poke through that 1673 level. I have to say, that level seems pretty tenuous to me but obviously some people offloaded there.



Going into today I don't have much in the way of levels until we go back to 1660.50. That is the low of the area we moved up to and then below that 1649.25 - the point we 'broke out' from.



You can see the area at the top of the profile where we ended last week. Looking at the week, we moved up,built volume, moved up again, built volume and had a big push up and built volume at the end. That sort of activity - 2 sided trading/price acceptance at successively higher prices is indicative of a further move up. So I think the balance of probability is with a push through the highs.

I would expect some profit taking at the highs though but often there is so much excitement when breaking through the high, it just skyrockets. It's always funny listening to the pit squawk when it breaks a high. Always reminds me of being at a kids birthday party and saying "who wants some candy".

Globex is above Fridays value so a test of that before a move up would be nice.

Weekly Numbers
Range 1626.00 -> 1674.25
Value 1626.75-> 1664.25
S1 1643, R1 1686

Daily Levels
Range 1666.25 (globex)/1667 -> 1674.25
Value 1667.75 -> 1670.75
Globex 1669.75 - 1675.75
Other 1660.50, 1649.25

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16th July

Not much to say today. I expect it to be slow until Thursday AM when Bernanke testifies.



Of course if we do break through the adjusted all time high @ 1685.75, that should spark some life into the market.



We managed to work our way through the 1672.75 level and that might end up being resistance but it's only 2 ticks above yesterdays low, so I think if we are down there, we'll probably see 1672.25.



Yesterday we took a peek down to the overnight VAL and so we might get the VAL/VAH from this mornings Globex session seeing the market turn (1676.50 -> 1678). As you can see, this mornings Globex session is entirely within yesterdays pit session. Nothing has changed. On the bright side, if nothing has changed, then yesterdays levels should hold, right? Well - probably...

Other than that, not much to say other than it'll probably be slow and grindy and fading the ranges for 6-8 ticks might be the only game in town.

Weekly Numbers
Range 1626.00 -> 1674.25
Value 1626.75-> 1664.25
S1 1643, R1 1686

Daily Levels
Range 1669.75 (globex)/1672.25 -> 1679.50
Value 1674.75-> 1678.25
Globex 1674.25 -> 1678.75
Other 1660.50, 1649.25, 1685.75, 1672.75

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17th July

I'm doing this prep much earlier than usual. Mostly because I'll be starting earlier than usual.

Yesterdays move down caught me by surprise, my expectation was that we'd be either within the range or pushing for a new high. So I'm back to looking at the downside to make sure I am ready for that eventuality.



We can see from last weeks profile on the left that we have a low volume node at 1665.50 which is about where we stopped yesterday. Working our way down to 1660.25 will probably be a bit of a grind and below that we have fresh air down to 1649.50.



We have our "adjusted all time high" at 1685.75 to the upside which should cause some excitement if it breaks but we also have 1660.25 to the downside with little activity between that and 1649 to support us.

On to today, the reason for the early start is Bernankes testimony. Apparently they will be releasing a transcript at 8:30am EST so that the market can digest it. Quite how that will work I don't know but it could well be that by 9:30am the day is done in terms of moving.



The 1672.25 level seems to be a little sticky with the Globex high just poking up through that area so far.



Other than that, Globex has stayed within yesterdays value area and seems to be in a holding pattern.

In summary, the bigger picture is Bernanke's testimony and breaking out of this 1660.25-> 1685.75 range. Not much more to say because we'll have a lot more action to trade off once the testimony is out.

Weekly Levels (this week)
Range 1665.50 -> 1679.50
Value 1671.50 -> 1678.50
S1 1643, R1 1686

Daily Levels
Range 1666.50 -> 1679.50
Value 1666.50 -> 1673
Globex 1667.25 -> 1672.75
Other 1649.50, 1660.25, 1672.75, 1685.75

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18th July

Unemployment claims at 8:30 didn't do much this morning and we have very little on the cards tomorrow either.



Looking at the weekly profile, it's been a very narrow week with less than a 15 point range for the week. Volume had been quite low with Monday seeing just 911k contracts traded. Yesterday was 1.4 million contracts.



The market has pivoted around the 1672.25 level from the end of May and VPOC for the week is 1677.50, so expect that area to be slow and choppy.

Bernanke is speaking at 10:00 but I don't see that this will move the market much. The market is balanced right now and we are seeing 2 sided trading which is quite normal for the summer time.

We do still have well defined levels above 1685.75 and below 1660.50 that could produce a nice run if we break them.

Weekly Levels
Range 1665.75 -> 1680.50
Value 1671.50 -> 1678
S1 1643, R1 1686

Daily Levels
Range 1665.75 (globex) /1673.25 (pit) -> 1680.50
Value 1675.00 -> 1678.00
Globex 1671.75 -> 1679.75 (as at 8:50am EST)
Other 1649.50, 1660.25, 1672.75, 1685.75

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19th July

Courtesy of yesterday, we now have a new all time high of 1688.50.



Still - it wasn't really a huge push up was it? In this mornings globex we fell back into this weeks developing value area.



No news today. Off the open, look for rejection of yesterdays value and a drop back into last weeks value or a push for 1700. We could easily make 1700 today but we need to get back into yesterdays value first.

The overnight low is 1675.25 and that may well act as a short term line in the sand. For sure, if we go much below that, then the chances of hitting 1700 today diminish.

It's pretty much a "play it by ear day today". It almost seems like we HAVE TO hit 1700 today and that may be the reason we don't.

Weekly Levels
Range 1665.75 -> 1688.50
Value 1671.00 -> 1678.50
S1 1643, R1 1686

Daily Levels
Range 1671.75 (globex) /1677.50 (pit) -> 1688.50
Value 1682.00 -> 1687.00
Globex 1675.00 -> 1682.25
Other 1649.50, 1660.25, 1672.75, 1675.25, 1685.75

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22nd July



We are sitting just below the 1700 level. We have to break that at some point. I would expect a positive report on Existing Home Sales at 10:00am today to do that for us if we haven't already. With news like that at 10:00am it could be a slow grindy start, so look out for that and a change after the news.



It's worth considering where we are going right now. We don't tend to move one way and as yet we have not made significant new highs. When we do come back down, I'm looking at the 'base' we built last week - 1665.75 or 1650 as a potential new range low. If that does play out, then we should have a period where the market is ranging between the highs and the range low. We need to balance out before we move higher and



Looking at last week, the POC is 1677.50, way below where we are now. So we are quite a way above "fair value" from a weekly perspective. Last weeks value high is 1679.50.



We've move up in the Globex session and whilst we do have a good shot at 1700, I want to see more volume trading at these high prices before I get too excited about continuation up. It may be that we need to come back down to the high 1670's before we can move up again. Basically, these high prices have not seen much volume and as such I consider them weak.

In terms of today, the 1700 to the upside is obviously interesting. In addition to that whether we go back into Fridays range/value and how it reacts to that. If it's really strong, it shouldn't dip too far into Fridays value area, especially if that happens after we pop 1700.

Weekly Numbers
Range 1665.75 -> 1690.50
Value 1670.50 -> 1679.50
S1, 1673.25, R1 - 1698.00

Daily Numbers
Range 1675.25 (pit)/ 1678.50 -> 1690.50
Value 1681.25 -> 1685.75
Globex 1688.25 -> 1694.25
Other 1660.25, 1665.75, 1672.75, 1675.25, 1685.75

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23rd July

Not much to add today as we are in pretty much the same position as yesterday. We are still very slowly creeping up to 1700. The only thing of note since yesterday is that our old high from May has now put in an appearance as support (well 1585.50).



If we manage to stay above yesterdays VAH (1691.75) into the open, then the test of that area will be very interesting.



Right now, everyone seems to be waiting to see what everyone is going to do. Perhaps this will last till the end of summertime or maybe once 1700 is hit, we'll get some volatility back.

It might be a good day to refine your scalping skills. Less than 900k contracts traded yesterday. Volume in Globex is really low and the Eurex morning session was pretty slow too.

Weekly Numbers
Range 1665.75 -> 1690.50
Value 1670.50 -> 1679.50
S1, 1673.25, R1 - 1698.00

Daily Numbers
Range 1685.50 -> 1693 (pit)/ 1694 (globex)
Value 1689 .00 -> 1691.75
Globex 1690.25 -> 1695.50
Other 1660.25, 1665.75, 1672.75, 1675.25, 1685.75

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24th July



Still in the same range as the past few days. The prior all time high of 1685.75 is still giving us support (albeit a few ticks higher) and we still didn't hit 1700 yet.



The weekly profile doesn't tell us much other than we have a 10 point range with value in the middle. Volume yesterday was light again with only 977k contracts traded.



The overnight range and value aren't much changed since yesterday. So pretty much the same drill as yesterday, waiting for something to shake things up a little. New Home Sales @ 10am may do that.

Weekly Numbers
Range 1685.50 -> 1695.50
Value 1688.25 -> 1692.75

S1, 1673.25, R1 - 1698.00

Daily Numbers
Range 1686 -> 1695 (pit)/ 1695.50 (globex)
Value 1687.50 -> 1691.00
Globex 1687.00 -> 1694.00
Other 1660.25, 1665.75, 1672.75, 1675.25, 1685.75

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25th July

We got a little bit of excitement yesterday with chatter of a German downgrade giving traders a reason to do something.



We came back down to the 1672.25 area we were watching the market rotate around last week. We do have another level slightly below that we have been watching 1666.50 which is a stronger "line in the sand" in my opinion because a break of that could see us at 1650 in a few days.



Still, the range on the day was only 17 points, which isn't massive. Volume was 1.5 million, so this was hardly a massive sell off. I think it just gave us an excuse to be directional after days of sluggish action.

We do have unemployment claims and durable goods at 8:30. If that doesn't move it, then we might be in for another lackluster day and a return back up to make up yesterdays ground. If we get bearish move, then I'm more inclined to think we'll see a break of 1666.50 and a run to 1650. So, options are open.



Value is above is for the week, so upside we need to get back into that, so look out at 86.75 if we move up. Note that the value area for the week barely changed yesterday. We have not yet build volume lower down.



The Globex sessions has gone as low as 1671.75 so far but is now headed back to yesterdays value. Whether we reject/go back to yesterdays value should be an early heads-up off the open.

Weekly Numbers
Range 1671.75 -> 1695.50
Value 1686.75 -> 1695.25
S1, 1673.25, R1 - 1698.00

Daily Numbers
Range 1677.25 -> 1694.50
Value 1679.00> 1686.00
Globex 1671.75-> 1684.50
Other 1660.25, 1665.75, 1672.75, 1675.25, 1685.75

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26th July (5:40 am EST)

On Thursday, we made up a little of the ground we lost on Wednesday and we have approached 1690 in the Globex but since returned to yesterdays VAL, as I write this.



It's still a sideways market and it is summer time with little news on the horizon. I still think 1672.75 would be a good target for shorts and we will see more shorts if we get below 1666.50



The value low for the week is 1683.25. We really need to stay above there if we are going to try to run up today. Saying that, the month ends on Wednesday next week and it may well be that we mill around here until Tuesday/Wednesday and run 1700 then. There's UOM Consumer Sentiment/Inflation today but that's unlikely to give us the push we need.



We have peeked above yesterdays range in the globex but are now back within value and long won't want to see us dip below value either in the Globex or the Pit session.



I'll be keeping an eye on the volume off the open. Yesterday we had a fairly nice start with volume being above average through the open. It seems some of Wenesdays enthusiasm came over into Thursday. That soon waned and at 10am the volume started to dry up.


Weekly Numbers
Range 1671.75 -> 1695.50
Value 1682.75 -> 1694.50
S1, 1673.25, R1 - 1698.00

Daily Numbers
Range 1671.75 (pit) / 1674.75 -> 1686.50
Value 1678.75> 1685.25
Globex 1679.25 (at at 5:40am)-> 1689.00
Other 1660.25, 1665.75, 1672.75, 1675.25, 1685.75

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Someone asked for the indicator that shows the relative volume from the previous post.

It's a very simple indicator, doesn't really take care of half days but you can see where they are generally speaking.

I set it up on the continuous symbol (ES ##-##), 1 min bars, 60 days to load. The more days to load the further it goes back .

The indicator is attached.

JTRelativeVolume.cs

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 ghl123 
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I'm really interested in how you calculate the weekly and daily numbers in every post.

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30th July



We are still moving sideways and the volume is still light.



The top of our range is 1695.50 and the lower end is 1670.50. Below that we still have the 1666.50 level that was the first support after the latest pop up.

We need one of the extremes to brake in order to get another decent move but which side it'll break or when is anyone's guess.



The weekly profile for last week shows value 1681.25-> 1694.25 and we've already tested that to the downside, popped through and come back. To the upside we have Fridays high @ 1689.00 and if we get through that I expect us to hit the range high.



The daily profiles don't show much other than the Globex sessions is mostly above yesterdays close, if that continues into the open, a test of yesterdays value should give us some clues.

Weekly Numbers
Range 1670.50 -> 1695.50
Value 1681.25 -> 1694.25
S1 1672.75, R1 1697.75

Daily Numbers
Range 1676.50 -> 1686.25 (pit)/1688 (globex)
Value 1678.75 -> 1683.25
Globex 1682.00 -> 1687.25
Other 1666.50, 1670.50, 1689, 1695.50

One thing to bear in mind today and tomorrow is that tomorrow is the last day of the month. We opened the month at 1600.25. You could argue that there's no need for window dressing at the end of the month considering how much higher we are but keep in mind that a "nudge up" could start and we could close above 1700.

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30th July



Situation is pretty much the same as yesterdays prep, so I won't go into too much detail. Levels are mostly the same and situation is mostly the same. A short term range 70.50-> 98.50 with additional resistance at 1689 - which is more or less where we held again yesterday.

It is the last day of the month, so a push up to 1700 is possible BUT we are still up 85 points on the month, so window dressing isn't really necessary.



Globex range and value is within yesterdays range & value, so testing that is the first order of the day.

Weekly Numbers (this week)
Range 1676.50 -> 1688.50
Value 1682.00 -> 1686.50
S1 1672.75, R1 1697.75

Daily Numbers
Range 1677.25 -> 1688.50
Value 1680.25 -> 1686.25
Globex 1682.00 -> 1687.75
Other 1666.50, 1670.50, 1689, 1695.50

Chicago PMI @ 9:45 - that might be the trigger for a push up to 1700 even if it is only mildly good news.

BTW - if you like July's action - you are going to LOVE August!

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1st August



Well - we really looked like we were going to run for 1700 yesterday afternoon after the FOMC statement but we couldn't quite make it. Volume was quite high relatively speaking yesterday with over 2 million traded.



So effectively nothing has changed, we are still in the same range and volume has been on the low side in the Globex session, so it doesn't look like there will be a continuation in terms of participation.



Overnight action has been almost 100% above yesterdays close, and so we might see a move down off the open to test yesterdays value high 1691.25.

At some point we need to break out and it does look bullish overall at this point but then the tops of ranges always seem to look like they want to break out. I think it's due time we broke 1700 and it looks like this is it but won't be jumping on it unless there is huge participation or if we come down to test an area below first.

Weekly Numbers (this week)
Range 1676.50 -> 1694.50
Value 1681.75 -> 1688
S1 1672.75, R1 1697.75


Daily Numbers

Range 1680.25-> 1694
Value 1684.25 -> 1691.25
Globex 1684.50 -> 1694.50
Other 1666.50, 1670.50, 1689, 1695.50

Right now, there's big steps on the volume profile @1692 & 1693.75 too. That also be a stopping point either side off the open if it is still like that at 9:30.

3 wisdom teeth out tomorrow - so I probably won't be doing any prep!

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 trendisyourfriend 
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@DionysusToast

About your morning prep. you never mention where you will buy or sell before the day begins. Profiler in his thread formulates two hypothesis based on his assessment of the situation. Do you think this practice is appropriate or do you more simply prefer to jump on the train based on the order flow of the moment?

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trendisyourfriend View Post
@DionysusToast

About your morning prep. you never mention where you will buy or sell before the day begins. Profiler in his thread formulates two hypothesis based on his assessment of the situation. Do you think this practice is appropriate or do you more simply prefer to jump on the train based on the order flow of the moment?

@ Before the open, I always have in my head the scenarios that may play out.

All of the prices mentioned in my prep are potential turning points. On top of these prices I also use any major steps on the profile as we move into the open.

So, a scenario might be 'testing value and moving up' on a gap up. As we open, we may well:

- bounce off the overnight low and not make it to yesterdays value
- bounce off yesterdays high and not make it to yesterdays value
- bounce off yesterdays VAH
- go deep into yesterdays value and then move up
- bounce off yesterdays VAL

After a gap up, moving down to a reference point and getting rejected is quite common. Knowing exactly which reference point it will move off is tough, at least for me.

The way I trade, if I took 3 failed shots at a reversal, that would see me playing catch up all day. I don't scale in, so that's not an option as a trade moves against.

So - I do have scenarios but I don't try to guess the turning point.

Now - on top of this, I am just not a permafader by nature and I don't like to take trades where lots of other traders will be jumping in because there is a high chance of gameplay. So what I do basically is this:

- do my prep, have my scenarios
- if it is moving down, I will only take shorts. I try not to fade it.
- if it's is moving down, I will not take a short into a reference point
- if it hits a reference point, I will watch it bounce off, look at the delta that accompanies the bounce as well as the size/volume of the bounce
- if I decide that this bounce is a reversal, then I will then look for a minor pullback (usually the first one) and take a trade in the new direction

So I may to some extent be doing far too much analysis for the sort of trades I take but I like to have situational awareness for the day.

Obviously as well as the above, I am also watching closely for the market to be in a tight range because then you have to be a fade. I primarily identify the tight range by lower than normal volume and higher than normal volume traded @ each price.

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Great post Peter. I wanted to permalink it for reference later, but for some reason that post does not have a permalink. Oh well, copy and paste it is. Thanks again for all your informative posts.

Cheers!

Edit- now it does :-)

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I'm not sure if you saw my question or not but, I will repeat it again.


ghl123 View Post
I'm really interested in how you calculate the weekly and daily numbers in every post.


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ghl123 View Post
I'm not sure if you saw my question or not but, I will repeat it again.

Some numbers come off weekly/daily market profile (I use fin-alg)
Some numbers like weekly S1 & R1 come from mypivots.com
Prior days highs/lows/globex come off intraday charts.

Then other levels are just prior swing highs/lows that I think are significant.

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5th August, 2013



We finally broke 1700. It is August and that is traditionally a slow month but there is the prospect of more vertical development now that we have broken that 'psychological' level.



We have a new (pink) line today at 1695.75, we have been watching this (well 1695.50) over the past week because it was the upper boundary of our range. We have broken through that and it's now providing support. Lots of people will be watching that level and I think the bulls will be happy if we test that and it holds.



The weekly profile shows that value is below the 1695.50 level, so if we do head down, then the top of last weeks value area 1690.25 is also a line in the sand for the bulls.



The daily profile doesn't tell us much more, Fridays low was the 1695.75 level we already discussed.

Weekly Numbers
Range 1676.50 -> 1705.00
Value 1679.25 -> 1690.25
S1, 1685.25, R1 - 1713.75

Daily Numbers
Range 1695.75 -> 1705.00
Value 1698 -> 1702.50
Globex 1701.25 -> 1704.75
Other 1666.50, 1670.50, 1689, 1695.75


So a 'technical' day where lots of people will be watching to see if the highs hold. Non Manufacturing PMI at 10:00am EST might see us go nowhere for the first 30 minutes in anticipation of that release.

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6th August



Whilst we didn't make any headway upwards yesterday, our lower level at 1695.75 has held so far. So the situation effectively remains the same as yesterday. Of course, if this continues sideways for another couple of days, the chance of more vertical development decreases in my opinion. Volume was 856k yesterday and so what we are seeign up here isn't really 'price acceptance' as it is 'summertime indifference'.



The profile doesn't reveal much, yesterdays high was the same as Fridays high and we have still only been as low as 1697.50, not yet testing Fridays low of 1695.75 which is still key in my opinion.

Weekly Numbers
Range 1676.50 -> 1705.00
Value 1679.25 -> 1690.25
S1, 1685.25, R1 - 1713.75

Daily Numbers
Range 1698.75 -> 1705.00
Value 1700.75 -> 1703.25
Globex 1697.50-> 1703.50
Other 1666.50, 1670.50, 1689, 1695.75

I'll be expecting a range today which means watching the volume profile for signs of building value and then scalping from the outside back in. Depending on the size of the range, targets will be either all out at the opposite side or scale some before the POC (highest volume price).

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 Mtype 
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Very simple and useful analysis every day Peter! Thanks for your efforts

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Do you weight all these levels the same? if not what is more important to you?


DionysusToast View Post
5th August, 2013



We finally broke 1700. It is August and that is traditionally a slow month but there is the prospect of more vertical development now that we have broken that 'psychological' level.



We have a new (pink) line today at 1695.75, we have been watching this (well 1695.50) over the past week because it was the upper boundary of our range. We have broken through that and it's now providing support. Lots of people will be watching that level and I think the bulls will be happy if we test that and it holds.



The weekly profile shows that value is below the 1695.50 level, so if we do head down, then the top of last weeks value area 1690.25 is also a line in the sand for the bulls.



The daily profile doesn't tell us much more, Fridays low was the 1695.75 level we already discussed.

Weekly Numbers
Range 1676.50 -> 1705.00
Value 1679.25 -> 1690.25
S1, 1685.25, R1 - 1713.75

Daily Numbers
Range 1695.75 -> 1705.00
Value 1698 -> 1702.50
Globex 1701.25 -> 1704.75
Other 1666.50, 1670.50, 1689, 1695.75


So a 'technical' day where lots of people will be watching to see if the highs hold. Non Manufacturing PMI at 10:00am EST might see us go nowhere for the first 30 minutes in anticipation of that release.


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meyer99 View Post
Do you weight all these levels the same? if not what is more important to you?

Good question and one I never formally put much thought into putting them in order. I tend to wait to see what happens at the level, rather than trading right into it, so priority doesn't matter that much.

I like the value and range levels because they hold a lot and also tend to produce decent moves because traders read a lot into things like "rejecting yesterdays range".

On the other hand, the general "lines in the sand" I list at the end are one's that are longer lasting and seem to be watched by more traders. They can be tricky though...

Take the 1695.75 from today and yesterdays prep - the "resistance becomes support" level we made after finally breaking 1695.50 to make our new all time high. There were some real fun & games there today.



We came down & traded 7844 on the bid at 1695.75. That's the highest volume at a known level. That's absorption. There is absolutely nothing at all wrong with leaning on 1695.75 and taking a long there.

We then went up 6 ticks before coming off and seeing us trade a lot of volume at 1694.25 & 1694.50. At that point we moved sideways between those high volume areas before finally the longs gave up.

And that's the issue with levels to an extent. We had a false reversal from the level, longs tried to hold it, there was a 15 minute 'tug of war' whilst they battled it out and the longs lost out.

Now - you could say that 1695.75 was a very good level. It was obviously being watched by a lot of people - but it was a tricky place to get into a position. Longs and shorts lost money there.

So I guess it depends on how you rate levels. The upside of having an area a lot of people are looking at is that it's unlikely to sail right through it without giving you time to think. The downside is that there's a higher probability of gameplay.

So I guess I'm back to not really being able to rate them as such. For sure, the levels are support or resistance levels. They are just levels. I don't give up on a level I came to from above just because we went through it. I do give up on a level if it gets walked over a few times or fails to even pause when it passes thru first time.

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7th August



Yesterday was a pleasant surprise and a break from the monotony we saw mid-June/early-August. Volume was 1.2M compared to 856k on Monday. Volume and range in this mornings Globex session has also been reasonable, so let's hope that carries into the pit session.

We had a decisive break through our 1695.75 level yesterday (see previous post for details) and now we are back to the 1685.75 level.

The scenarios that I see playing out are a developing range with a low of 1670.50/1666.50 or we turn back up off the open back towards 1705 from here.

As before, below 1666.50, we have now much supporting us till we get to 1650.



Value for the week so far is above us with a low of 1692.75, so look for the bears to keep us below that level.



We look set to open below yesterdays low and value too (1688.75/1691) and I'd see a failur to get through 1691 to be very good for the downside.

It's a fairly slow news day but we do have some key levels to play off, so hopefully we can get some decent volatility again today.

Weekly Numbers
Range 1685.25 -> 1705.00
Value 1692.75 -> 1704.25
S1, 1685.25, R1 - 1713.75

Daily Numbers
Range 1688.75 -> 1700.50 (pit)/1703.50(globex)
Value 1691 -> 1695
Globex 1685.25 -> 1694
Other 1666.50, 1670.50, 1689, 1695.25 -> 1695.75, 1705

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Peter - thanks for posting these market updates. I'm a crude trader but I find your analysis educational. I also just appreciate that you've been so consistent and relevant.

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Peter - thanks for posting these market updates. I'm a crude trader but I find your analysis educational. I also just appreciate that you've been so consistent and relevant.

Thank you for taking time to comment.

Putting this here helps me at least as much as it helps anyone reading it. Mostly it keeps me consistent in my approach.

It has to be said too - the forum format is way better than keeping it in a word document, it's way better to have it here to go back over than on my PC. Mike even does a free backup for me too and I can access it from anywhere!

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This is an early one today. I'm not trading today as I'm off to Thailand Camp, Phuket » Weight Loss, Detox, Yoga & Fitness Camp tomorrow to do an 8 day fast and detox. It's mothers day in Thailand this Sunday and tonight the wife wants to be pampered.

This prep is quite early, so please take a look at the Globex to update before the open.

8th August



1.1M contracts yesterday and a bounce around Wednesdays low which was 1680.25. We got as low as 1680.50. That wasn't a level I was really interested in but I think it's worth making a note of now. Now we are heading back up to 1695.75 (the pink line) again and right now it's 5.5 hours before the Pit open and we may get up there before then.

Obviously the bulls want it back up above that lines and the bears want to stay below it.



The weekly range is now just shy of 25 points which is good for August, the value low is 1689.75 and right now we are back within that. The value low moved down yesterday.



Thus far in the Globex session, we have had a nice push up and so the first order of the day will be to see if we test yesterdays range/value. Bulls will want to see these prices rejected to the upside.

We do have unemployment claims at 8:30am which may change the picture.

Weekly Numbers
Range 1680.50 -> 1705.00
Value 1689.75 -> 1704.75
S1, 1685.25, R1 - 1713.75

Daily Numbers
Range 1680.50 -> 1689.50 (pit)/1794(globex)
Value 1684 -> 1689.50
Globex 1687.75-> 1694.50
Other 1666.50, 1670.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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DionysusToast View Post
It tends to happen in more erratic, less liquids markets.

The mechanics of that move on the ES where delta went up as price moved down is that people were going short with limit orders. Whilst the majority of traders with market orders were longs, limit orders were absorbing that buying. Now - the odd thing about yesterday is that the quantity of limit orders generally was extremely low but as I mentioned this does occur more in less liquid/more volatile markets. So absorption should have stood out a mile.

For the "thinner market theory" - take a trader like myself that lets it get to an area and then goes in with a market order on the ES. When it gets to my spot if I see a sign that it is being held but at that point, if I am right, it is almost pointless to try getting in with a limit order 'cause the more right I am the less likely I will get a fill.

If I were to trade CL, there would not be such a need to hit into a trade with a market order even with my style of trading because the extra volatility would most likely see you swept into a position if you went in with a limit order and got a few ticks price improvement.

So - yesterday on ES, it would have been one of 2 things:

1 - Sellers quietly absorbing the buying with limit orders on the offer.
2 - Just a feature of the increased volatility/reduced

If it was number 1, then they were pretty damn stealthy about it. Here's the footprint from that period:


Hard to call, really. If that was people quietly offloading to unsuspecting buyers - they did an absolutely fantastic job about doing it subtly.


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19th August

Well - back from vacation. I'll ease back into it today.

Back on 25th July, my thoughts were that we'd probably be looking at one of the following scenarios as likely:



And right now we are here:



One of those scenarios - the bounce off 1670 upwards happened shortly afterwards and now we are looking potentially at the other scenario playing out - the lower bounce back up.

The relevance of the area we are in now is more pronounced if we look at the daily chart too.



You can see that in June , we had the 1650 area as the top of range for a short while. We went down to 1550 and then broke out the top of the 1650 level to go and make new highs. At this point, I'm looking for this 1650 level to hold and a move back up to the highs. If it breaks, then I'll be looking at a move down to 1600 and possible 1550.

In short, I think the market is exhibiting range-bound behavior but I'm open minded about the boundaries. Short term I believe that if 1650 breaks decisively (not the 2 ticks we have had) then we should have good volatility on the day it does. If we move up from 1650, I don't see any reason it should do so hastily, although there will be some trapped shorts off the bottom but I think that will be short lived.



In terms of last week, value is above us but it's a double distribution with the lower distribution being 1649.50 - 1666 (not far from the 1666.50 we have been watching). As we move up, we should expect it to be quite thick through the VPOC of that lower distribution area (57.25 -> 58.75) and it may simply roll back down as it gets towards the top of that area if that lower distribution area does turn out to be value building out. If it gets up through the top of this area, it should move cleanly to the upper distribution area where we will probably see chop again.



On the daily profile, we are within yesterdays range in the Globex session, at the low end of value and very close to the close. That really doesn't give us much in terms of an opening move, although the value area from Friday is a point of interest.

Weekly Numbers
Range 1649.50 -> 1694.50
Value 1661.50 -> 1694.50
S1 - 1635.50, R1 1680.50

Daily Numbers
Range 1649.50 -> 1661.50
Value 1652.75 -> 1659.75
Other: 1654, 1662.50, 1666.50, 1670.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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20th August, 2013



Following on from yesterdays prep, we still haven't really resolved whether we are going to bounce up from this 1650 area or move down, potentially going back to 1600, then 1550. As I mentioned yesterday, I think people will jump on a decisive move to the downside but even though we did push down, it doesn't really look decisive. Either way, even if we head down to 1550, this is still nothing more than one big range. It's not a bear market right now IMO.



What is interesting here is that we have 'flipped' around 1650 area. I use the word 'flip' as a friend of mine calls these area 'flip pivots'. Another way of describing it is "support becomes resistance". Another way of thinking about it is "a lot of people are watching this area". As you can see we did have a little bounce up yesterday before that failed and we dropped 17 points down to 42.25. Now in the Globex session we've been up to 49.75 and now we bounced off that.

From where I sit, this is an early line in the sand for us to test today. If we are to continue up, we need to get back up through 1650 and this time hold it as support - so 'flip' around the level again.



In terms of the profile, we spent the most time in todays Globex session around at yesterdays close. We've moved into yesterdays value area and so on the open, the bulls need to get it into yesterdays value area 47.50 and then crack the 50's with conviction. The bears need to grind it down. I think that people will be ready to jump on a failure either side.

Weekly Numbers
Range 1649.50 -> 1694.50
Value 1661.50 -> 1694.50
S1 - 1635.50, R1 1680.50

Daily Numbers
Range 1642.25 -> 1657
Value 1647.50 -> 1656.25
Other: 1650, 1662.50, 1666.50, 1670.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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21st August



We are still holding around the 1650 level with pushes up to 56.75 and down to 41. Not much more to say about that that we didn't already say in the past few days. Today is FOMC day, which usually means a slow morning. A few weeks back, Bernanke mentioned that they might stop certain easing measures and the market took a dive. The FED then backtracked on that and we went up again. So I imagine the resolution of this 1650 area will come in the form of a decision either way from the FED.



In terms of the weekly picture, they sky is obviously not falling in at this point. A move down to 1550 or 1470 would also not be massive in the grand scheme of things either.



The hourly chart doesn't add much more other than we are waltzing around 1650.



We have poked into the value area of the lower distribution from last week. I still think a poke above this will see us put in a decent move upwards.



And on the daily profiles - just sticking in the range! So as of now, we don't really have that many levels to play off other than this 2 day range 1641-1657. It might be like yesterday where a move develops in the middle of nowhere, so look for a failure to reach an extreme as well as the action around the opening price.

Weekly Numbers
Range 1641.00 -> 1657
Value 1646.00 -> 1654.50
S1 - 1635.50, R1 1680.50

Daily Numbers
Range 1643.25 -> 1656.75
Value 1650.25 -> 1655.75
Globex 1644.50 -> 1651.59
Other: 1654, 1662.50, 1666, 1670.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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22nd August



The FOMC have spoken and the market has reacted.



I trade just the US morning session, so I missed the 'fun' you guys had - 10 points down, 18 points up all in the space of an hour before the market fell away into the close. There is always a chance that after a day like that, we bounce back up but I think a continues move down is more probable now we have solidly broken 1650.

The Fed is taking off the stabilizers and now the economy has to stand on it's own feet. We'll need continued good housing, retail, factory purchasing and employment numbers to see us move up from here.



Whilst the ES will still likely put in tradable swings up and down, I'll be looking more for downside plays off yesterdays range/value to pay off. Todays Globex is quite a way into yesterdays value already but right now it's only 5:25 EST and so will see how we get on off the open.



For the downside, we really want price to stay below the "bulge" in the profile above and to start developing value by trading 1632-1642 and lower.

So - whilst a snap back up is possible, I'm looking to the downside as an overall bias.

Weekly Numbers
Range 1631.50 -> 1657
Value 1643 -> 1653.50
S1 - 1635.50, R1 1680.50

Daily Numbers
Range 1636 -> 1654.75
Value 1641.50 -> 1649
Globex (so far) 1631.50 -> 1644.75

Other: 1654, 1662.50, 1666, 1670.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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Regarding stabilizers.... I disagree, and feel the better the economy does the lower we trade, worst the economy does the higher.

This is the market the fed has created, and for it to stay in and prop up things need to not meet their growth targets.

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Big Mike View Post
Regarding stabilizers.... I disagree, and feel the better the economy does the lower we trade, worst the economy does the higher.

This is the market the fed has created, and for it to stay in and prop up things need to not meet their growth targets.

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I think we probably agree

Since Bernanke first suggested the FED would be bringing this to an end (end of May), it has 'flipped' the markets...

- good news, more likely FED stops easing - market goes down
- bad news, less likely FED stops easing - market goes up

In fact, in this period, it's also screwed up the reverse correlation between the indices & the bonds because of this flip. It'd be nice for that to come back.

I am sure there is some pain ahead in letting the market stand on it's own 2 feet and I hope the FED doesn't cave in and start the whole process again when that happens.

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I think we'll see something along the lines of the fed telling us things are improving, even if they aren't, met with tapering, met with selling, but then a new QE of some sort with a different focus/objective will step in to "target" a weakness, and market will rejoice once more.

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 xiaosi 
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Regarding the profiles, would you say the market is pretty short here ? Asia and Europe certainly scrambled to cover towards the end of the sessions....we are due for a massive short covering rally.

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Guys, I don't follow Jigsaw skype group lately, maybe someone knows about developments of JT tools for OEC Trader (and S5 Trader particularly)? Is it live or still in beta?

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Guys, I don't follow Jigsaw skype group lately, maybe someone knows about developments of JT tools for OEC Trader (and S5 Trader particularly)? Is it live or still in beta?

Live already!

Your license should work with it - just download the installer...

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Good news. I trial now S5 trader. Liking it.

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xiaosi View Post
Regarding the profiles, would you say the market is pretty short here ? Asia and Europe certainly scrambled to cover towards the end of the sessions....we are due for a massive short covering rally.

Since the runup to ES 1705, only 2 days out of 12 have seen the prior day's high broken, and the last 6 days has seen lower highs. The market is very short. There was heavy distribution in the 90s, and sellers have been very active in the mid 50s as well. But at some point they will be tested. Today has the best potential out of the last several, IMO, to really put the shorts to test, and I would not be surprised to see 60s. While lower highs have been put in, we are basically rotating and balancing since 8/15, albeit with a clear downward price discovery bias.

In summary, market short. Nice little rally to 1665 likely IMO.

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DionysusToast View Post
Since Bernanke first suggested the FED would be bringing this to an end (end of May), it has 'flipped' the markets...

- good news, more likely FED stops easing - market goes down
- bad news, less likely FED stops easing - market goes up

In fact, in this period, it's also screwed up the reverse correlation between the indices & the bonds because of this flip. It'd be nice for that to come back.

I am sure there is some pain ahead in letting the market stand on it's own 2 feet and I hope the FED doesn't cave in and start the whole process again when that happens.

For a LONG time, at least a year to 18 months, not just since May, the market has consistently rallied on bad GDP and NFP numbers (and any other bad numbers).

Also keep in mind that the taper is not the end. It's the beginning, a very SMALL beginning, to the end... of QE... which is nowhere near the end of what feels like a perpetual ZIRP environment we have been in for many years now. Just look at the negative reaction the market is having at a reduction of only about 30% of monthly asset purchases. That reduction would BEGIN at some point later this year maybe, and then depending on the numbers, it would be completely done sometime next year... maybe. And then, interest rates are still at zero.

If you are hoping the Fed doesn't cave.. well, I wouldn't hope too much for that. The fed is as prepared to open the valve wider as it is to close it. Their accommodative ZIRP crusade has been going for 5 years now. Do you think they will have a problem not tapering, and even increasing, asset purchases in this third/fourth round of QE?

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josh View Post
For a LONG time, at least a year to 18 months, not just since May, the market has consistently rallied on bad GDP and NFP numbers (and any other bad numbers).

Also keep in mind that the taper is not the end. It's the beginning, a very SMALL beginning, to the end... of QE... which is nowhere near the end of what feels like a perpetual ZIRP environment we have been in for many years now. Just look at the negative reaction the market is having at a reduction of only about 30% of monthly asset purchases. That reduction would BEGIN at some point later this year maybe, and then depending on the numbers, it would be completely done sometime next year... maybe. And then, interest rates are still at zero.

If you are hoping the Fed doesn't cave.. well, I wouldn't hope too much for that. The fed is as prepared to open the valve wider as it is to close it. Their accommodative ZIRP crusade has been going for 5 years now. Do you think they will have a problem not tapering, and even increasing, asset purchases in this third/fourth round of QE?

IMO the markets changed @ the end of May - specifically with the breakdown of the inverse correlation between Bonds & Index futures. This ties in with specific announcements Bernanke made which he backtracked on later (and we saw a poke thru S&P highs again).

As for me hoping the FED doesn't cave? I think they should have extracted themselves from this years ago.

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DionysusToast View Post
IMO the markets changed @ the end of May - specifically with the breakdown of the inverse correlation between Bonds & Index futures. This ties in with specific announcements Bernanke made which he backtracked on later (and we saw a poke thru S&P highs again).

As for me hoping the FED doesn't cave? I think they should have extracted themselves from this years ago.

Definitely from the May 22 Bernanke taper drama, the two have been less correlated than what might be thought of as "usual." But yields have continued to rise, while at the same time equities went on to make new all time highs, and have only pulled off slightly from there, while bonds have continued to plummet. There is a general sense of weakness in both, but bonds have remained very depressed since early May, while the S&P has made all time highs, pulled back, made new all time highs again, and pulled back again. In other words, equities are still moving up, while bonds have been absolutely hammered.

Throw up a correlation and you'll see that over the years there are periods of positive correlation (in fact, see the March to May period this year for a nice run of this). The markets may have changed more in May, but they go through cycles of this. When there is a negative correlation between the two, this is indicative of a risk on/off paradigm. "Flight to safety," "risk off," as money flows out of stocks and into bonds, and vice versa. But there are significant periods where the risk on/off paradigm just is not as much a theme, such as the case since May. In this case, it's more of a "taper on/off," as the threat of slightly tighter policy bodes poorly for both bonds and stocks, so they move in tandem. The entire period of 2003 to 2007 shows bonds and stocks doing a lot of flip-flopping, where they move together for some time, then diverge, and repeat.

In short, I agree that things have been different since May, but observation of this phenomenon can be made throughout the past several years.

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23rd August

Carrying on from what Josh wrote above. I think the FED tapering is going to take a while for traders to figure out. If they stop supporting the markets, there is an argument for them going down.

I have a friend that runs an open outcry USD/THB desk in Thailand. His job is to put buyers and sellers together and try to create a bit of demand if it doesn't exist. Anyway, they did US$1BN yesterday, which is a lot for them.

Emerging markets like Thailand tend to do better when US indices rise but worse when US indices fall. The SET50 (Thai stock index) has been falling and money is being pulled from the country. This is just one emerging market. This is a direct result of the tapering announcements.

I think that this leaves us with an interesting question - where will the money being pulled from emerging markets end up?

As for today, we have a spanner in the works as far as trading the ES goes. Apparently NASDAQ broke yesterday and no-one knows why it got broken. I'll leave braver traders to play the markets today, at least until the official excuse comes out and we have some assurances there will be no recurrence.



In terms of where we are, we still haven't managed to escape the 1650 area. We did take a jump down at the FOMC but then we sprang back yesterday.



My overall bias is back to neutral and I'm considering the possibility we might just build a range at these levels as opposed to it being pivotal.

No levels today because I don't really trust them seeing as the NASDAQ was shut down yesterday afternoon.

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26th August




Buyers stepped in at the end of last week and now it looks like we might be headed back to the highs again. My bias is going to be long today but I would like to see this 1657-1658 level hold and for us to move up through 1666.



The double line there is the 1657-1658 level and it was significant resistance last week and it needs to hold otherwise we could just drop back into last weeks range for more of the same.

The next level up is at 1666.25, an area we have been watching for a while. We poked through that 3 ticks to 1667 and then down to the old resistance at 1658.25, so now the bulls need to make that support and take it up from here and towards 1671.50.

That puts us back into the range at the top from 1670-1705.25.

Obviously, any of these key levels can fail and I'll be watching for people to jump in regardless of whether the level holds or fails.



The weekly profile is below us with value high at 1656, not far from out 1657-1658 level above. So again, a good reason for longs to want to not go below this level because they'll want us to build value above last week and not traverse last weeks value area.



The daily profile sees us one timeframing upwards. The globex session has mostly traded around yesterdays close and so isn't particularly long or short and shouldn't cause any rebalance at the open. Fridays value high is 1659.75 and the POC is down at 1657.75, so again, the same area for profile traders to want to defend.

Of course, the flip side is that bears will definitely want to push it below these levels and if they do, we could have a nice run to the downside.

Weekly Numbers
Range 1631.50 ->1662.75
Value 1642.50 -> 1656
S1 - 1644, R1 1670.75

Daily Numbers
Range 1650.50/1652.25 -> 1662.75
Value 1655.75 -> 1659.75
Globex 1658.25 -> 1667
Other : 1657-1658, 1662.50, 1666.25, 1671.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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27th August



Will be watching the volume today, it's been to the low side the last few days and I'm looking for a clue as to whether we are going to make a push downside after failing to hold above the 66.25 level.

We have consumer confidence at 10am and that may help us break last wees low of 1631.50. Otherwise, it'll be another rotation in this 1630-1667 range we have been marking out.



Since we started watching the 1650 level back on the 18th, we have rotated around it. In effect we've been building value there. Each time it leaves 1650, the range expands a little but more, so if we do break last weeks range to the downside today, we have to be aware it might just be an extension and we need to pay attention to volume and order flow before playing a continuation trade.



We can see that this weeks range is almost the size of last weeks. Last week, we had a lower distribution at the bottom which has a POC around 1634.25 be aware that it might get a little thick in this area and we may just poke through it before returning up and back into last weeks value.



Almost all trading in the globex session has been below the close which makes overnight inventory very short. Also the range of the Globex session is almost 20 points. This often causes a snap back up on the open so be on the lookout for that.

Weekly Numbers
Range 1631.50 ->1662.75
Value 1642.50 -> 1656
S1 - 1644, R1 1670.75

Daily Numbers
Range 1653.25 -> 1667.50
Value 1659.75-> 1667
Globex 1635.75 -> 1655.25
Other : 1617.50,1631.25-.50, 1634.25, 1650, 1657-1658, 1662.50, 1666.25, 1671.50, 1685.75, 1689, 1695.25 -> 1695.75, 1705

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28th August



So, we have had our range extension downwards. Now the question is if we will carry on down towards 1600 & then 1550.



I changed this chart from 90 mins to 120 mins as you couldn't see enough of the action. I could see a few possibilities playing out today.

- move back up to and head towards 1670
- fake back up to 1641 and then roll down
- move down to 1617.50, bounce off it as support, move thru, then bounce off it as resistance

These are just scenarios I have in my head, just in case one of them plays out. As usual, ranges always look like they will fail and this expanding range since the 18th August has done that plenty of times, so I'm not completely writing off the upside.



We got through the bottom of last weeks range, and we can see 4 distributions down this week. The lower one being the largest. Continued acceptance of lower prices is good for the downside.



We made no headway down in the Globex session. We have home sales at 10am and bombs dropping in Syria any time now potentially, so I'll watch the depth, if it suddenly all disappears, I'll careful if I don't have much breathing room in a trade. It's definitely a day to keep an ear on the squawk.

Weekly Numbers
Range 1625.75 -> 1667.50
Value 1633.75 -> 1667.25
S1 - 1644, R1 1670.75

Daily Numbers
Range 1626.25 -> 1644.25/1655.50
Value 1631.25 -> 1641.75
Globex 1625.75 -> 1634.50
Other : 1593.74, 1500, 1617.50,1631.25-.50, 1634.25, 1641, 1650, 1657-1658,

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