Index Futures Net Changes and Settlements:
Foreign Markets, Fair Value and Volume:
- In Asia 7 out of 11 markets closed higher: Shanghai Comp +1.24%, Hang Seng +0.24%, Nikkei +0.61%
- In Europe 11 out of 12 markets are trading higher: CAC +0.57%, DAX +0.80%, FTSE +0.32%
- Fair Value: S&P +0.45, NASDAQ +13.86, Dow -22.46
- Total Volume: 2.7mil ESM, and 787k SPM traded in the pit
Today’s Economic Calendar:
Today’s economic calendar includes Jobless Claims 8:30 AM ET, Personal Income and Outlays 8:30 AM ET, Chicago PMI 9:45 AM ET, Bloomberg Consumer Comfort Index 9:45 AM ET, Consumer Sentiment 10:00 AM ET, EIA Natural Gas Report 10:30 AM ET, Baker-Hughes Rig Count 1:00 PM ET, Patrick Harker Speaks 1:00 PM ET, Fed Balance Sheet and Money Supply 4:30 PM ET.
S&P 500 Futures: #Algo’s #HFT ‘Highest Level Of Quotes Ever’
Yesterday, Asian markets closed mostly lower due to the drag on tech stocks. In Europe, the Stoxx 600 was down 0.5%, with its technology sector down 1.9%.
After a very weak session Tuesday, and a ‘choppy’ overnight, the S&P 500 futures traded up to 2627.00 on Globex at 7:30, then started pulling back when the Nasdaq 100 futures (NQM18:CME) started to drop.
On yesterday’s 8:30 CT bell, the ES traded 2615.00, up +0.75 handles, popped up to 2623.25, sold off down to 2603.00, rallied back up to 2626.25 in the first 30 minutes, and then tanked down to 2593.00 at 9:50 am. After the low, the futures rallied 22 handles up to 2615.00, and then made four lower lows down to 2596.75, before trading back up to 2615.00. The ES then sold off down to a higher low at 2596.75, then rallied all the way up to 2633.75 at 11:22.
After the high was in, the ES sold off to another higher low ar 2603.25 and then stutter stepped up to a lower high at 2624.75, made a few more lower highs, and traded down to 2607.25. The next move was up to 2621.75, then back down to 2597.25 after 2:00, followed by a rally back up 2916.50 as the MiM went from $27 million to buy to $358 million to buy on the 2:45 imbalance reveal. On the 3:00 cash close to ES traded 2604.50, and then went on to settle at 2608.00 on the 3:15 futures close, down -4.75 handles or -0.18%.
In the end, ‘no harm, no foul’ seems to best fit how the ES finished the day, but that was not the case for the tech weary NQ, which closed down -69.75 points or -1.06%. Guests on Bloomberg and CNBC were talking about how the ES could not take out the 200 day moving average at 2587.00 and last weeks 2586.00 low. It would be hard to believe the ES doesnt take out those levels, but who knows?
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