Index Futures Net Changes and Settlements:
Foreign Markets, Fair Value and Volume:
- In Asia 10 out of 11 markets closed lower: Shanghai Comp -3.72%, Hang Seng -1.39%, Nikkei -0.80%
- In Europe 13 out of 13 markets are trading lower: CAC -0.84%, DAX -0.78%, FTSE -0.50%
- Fair Value: S&P +3.89, NASDAQ +22.55, Dow +9.51
- Total Volume: 2.28mil ESZ & 290 SPZ traded in the pit
Today’s Economic Calendar:
Today’s economic calendar includes Columbus Day Holiday, and the TD Ameritrade IMX at 12:30 PM ET.
S&P 500 Futures: Tech Stock Bloodbath
After taking a beating Thursday, the s&p 500 futures rallied up to 2915.00 on Globex, and sold off to 2895.25 after the U.S. jobs report showed a lower than expected 146,000 jobs, and the rallied back up to 2911.25 at 8:15 am, 15 minutes before Friday’s futures open. The first print of the day after the 8:30 bell came in a 2907.50. The futures then pulled back a few handles before rallying up to 2914.00 at 8:37 am, and then dumped down to 2899.75.
At 12:00 CT, the ES got hit by a huge tech sell program that pulled the futures all the way down to 2876.50, down -31.25 handles. The ES made a double bottom at 2872.25 and then rallied 20 handles all the way up to 2892.50 handles at 2:10 CT. From there, the futures dropped back down to the 2885 level as the MiM started to show small to buy, and then rallied back up to the vwap at 2894.75 at 2:46, one minutes after the 2:45 cash imbalance reveal. On the 3:00 cash close the ES traded 2890.50, and went on to settle the day at 2894.25, down -13.5 handles on the day, or down -0.46%.
In the end, it was a vicious day of algorithmic and high frequency buy and sell programs, mostly centered on the Nasdaq futures. In terms of the markets overall tone, it was all about liquidation and margin selling until midday, and then in came the buy programs. In terms of the days overall trade, there was mammoth volume, 2.3 million ES contracts traded, and 730,000 NQ’s traded.
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