Hold onto your hard hats traders. If you think the ranges are small and volume is low… You haven’t seen anything yet! For many years traders were drawn to the e-mini S&P 500 futures because of how volatile they were, but after the credit crisis, a few futures clearing firm blow-ups, and all the algorithmic trading, it seems like people are just walking away from the game.
Back And Fill, Until They Spill
As we have said many times lately, Friday’s trade was just like many recent trading days…slow. We could do all the ups and downs, but there weren’t that many. At 2:30 the (ESM17:CME) total trading range was only 5.5 handles. The high at 2389.75 made around 10:40, and the low print is at 2384.25.
Before the ES came down, I told the forum to have their bids in near the globex lows, and that was the best trade of the day. Yes, there were some small long and short sales, but the moves were so narrow and the size of the bid / offer so small, at times it looked like my data feed was down. Simply put, it was a very quiet day. With 35 minutes of trade left to trade on Friday, there were only 815,000 e-minis traded, which included the 185,000 from Globex. Late in the day the ES sold off as the MiM flipped from a small buy number to a sell. The futures then reversed higher when the MiM flipped back to small to buy.
There was not a lot to talk about when it comes to Fridays trade. For most of the day the ES was stuck in a narrow trading range. The S&P may go higher, but it sure doesn’t feel like the public is on board.
While You Were Sleeping
Overnight global stock markets were mixed and quiet. Asia traded in a range with an overall higher tone, followed by Europe, which is very choppy midway through the session. In the U.S. the S&P 500 futures opened globex at 2388.75 and made a 2388.00 low on the open. From there the futures rallied up to a high of 2394.50 early in the Euro session, but has since seen weakness, trading back down to 2388.75. As of 5:42 am cst, the last print is 2390.25, up 1.50 handles, with just over 100k contracts trade.
In Asia, 8 out of 11 markets closed higher (Shanghai +0.22%), and in Europe 6 out of 12 markets are trading higher this morning (FTSE -0.19%). This week there are only 12 economic releases, 15 T-bill or T-bond auctions or announcements, and 2 Federal Reserve bank presidents speak. Today’s economic calendar includes the 3-Yr Note Settlement, the 10-Yr Note Settlement, the 30-Yr Bond Settlement, Empire State Mfg Survey, Housing Market Index, a 4-Week Bill Announcement, a 3-Month Bill Auction, a 6-Month Bill Auction, and Treasury International Capital.
Our View
The stats are strong in the first part of the week, and weak on expiration Friday. Barring some unknown headline, it’s my guess we see some type of ‘Mutual Fund Monday’ following the PitBulls 2379.00 low made last Thursday. There is big option open interest at the 2400.00 to 2420.00 level, and if the volume is low, I think there could be some type of early week option squeeze. There are also a lot of buy stops building up above 2396-2397 that basically go straight up to 2412.00.
Our view is for higher prices. You can buy the early weakness and sell the NY lunch time rally, or just buy the ES when it pulls back. I know the ES is resisting the big figure at 2400 right now, but it will be hard to hold the ES down if the volumes are low.
Market Vitals for Monday 05-15-2017
As always, please use protective buy and sell stops when trading futures and options.