During Monday nights trade the ES sold off down to 2633.75, rallied up to 2644.50 around 1:30 am, sold back off down to 2635.25 at 5:00 am, and then rallied up to a new Globex high at 2644.75 at 7:35 am. Tuesdays trade started with Asian stocks mostly falling on weakness in the tech sector, and the the Stoxx Europe 600 fell 0.2% before the U.S. futures open. On the 8:30 bell the ES traded 26241.75, rallied up to 2642.75 and then sold off down to the 2638.50 area. There was some back and fill trading above and below the vwap for over an hour, and then it started to short cover around 10:15. The rally took the ES up to 2648.75 at 10:25 CT as the Nasdaq 100 futures ‘popped’ up to 6339.75. But, the rally was short lived, and both markets sold back off. The ES printed down to 2639.25 and the NQ went down to 6302.25. It seemed like the vwap was the battleground for the ES.
Just after 2:00 CT, total volume for the S&P 500 futures (ESZ17:CME) was only 850,000, way lower than the previous 3 sessions. Late in the day, the ES made several new lows, eventually trading all the way down to 2677.25 as the MiM started showing over $1.6 billion for sale. At 2:45 the NYSE closing imbalance came out sell $2.6 billion, and just after the ES rallied up to 2631.25 before selling back off and closing at 2628.50 at 3:15.
I said it several times in the forum that the ES ‘acted’ weak. You could see by the overall price action that the it was struggling, and when the NQ started to trade back above its vwap, and the ES couldn’t hold it, the message was clear. Despite the Nasdaq selling off, it still finished up +0.20%. It looked like the big boys were buying tech and selling the broader market S&P.
Every time the ES rallied someone was leaning on it. In the end the S&P 500 futures (ESZ17:CME) settled at 2628.25, down -10.00 handles, or -0.38%; the Dow Jones futures (YMZ17:CBT) settled at 24,175, down -130 points, or -0.53%; the Nasdaq 100 futures (NQZ17:CME) settled at 6271.75, up +6.50 points, or +0.10%; and the Russell 2000 (RTYZ17:CME) settled at 1516.40, down -14.70 points or -0.96% on the day.