Day Trading the E-mini Futures

[TheNegotiator 13]

EU Summit fun day today! I can't pretend I'm likely to be trading this as I would normally if at all. Take a look at the thread I just started for ideas why

 

Crunch Point Trading

 

Anyway, what I am looking out for is what the auction does, where/if it fails and what the strength of any moves are.(oh and of course what the outcome of the summit is :o) I'm kinda expecting for information to come through to some extent throughout the day with some major announcement later on. Not certain though.

 

Anyway, the chart today I wanted to outline the major points it could test if there are some big moves. Bear in mind that we've seen some pretty big ranges in the last few months, with the biggest coming on 9th August with whopping 78.50point range! There have been quite a few 40-50 point ranges in between too. Right now we're at 1232.00 but I'd also like to see what the open is. So we could look at targets 25/50/75 points away. I'm not saying these targets will be met but often on strong moves after these sorts of events, there is an overall market price goal.

 

[joshdance 10]

For convenience here are the remaining items for today:

 

1345 GMT (9:45 EDT): Head of EU task force on Greece Horst Reichenbach holds press conference after meeting with Bank of Greece Governor George Provopoulos.

 

1515-1545 GMT (11:15 EDT): Arrival of members of the European Council for summit meetings in Brussels.

 

1600-1700 GMT (4:00 PM EDT): EU leaders working session followed by euro-zone summit.

 

1715 GMT: Working dinner to be followed by press conference by the president of the European Council and the president of the European Commission. National briefings in the press center.

[TheNegotiator 13]

It looks as though the markets are strong today with a gap up from the close at 1238 of over 30 points. We'll have to see how it handles the 1275-75.50 to see if it'll power up on RTH open. More description is in the chart below.

 

[TheNegotiator 13]

For those who took the time to look at the chart() ES very much playing out what was suggested. Move down was strong ish but not exceptional. Stopped so far just short of 1260.25 and proceeded to move back to midpoint. Nice trade.

 

Take a look at the cumulative delta on a 3 min chart. Look how flat it was at the bottom.

[TheNegotiator 13]

So what about if we manage to break the 1275 conclusively? Anyone think it has the legs to get to 1294.50/1302.50? There are a good few minor target in between imo.

[TheNegotiator 13]

Hi everyone! Hope all had a good weekend and those in the US with snow weren't too badly affected. The idea is to see if there is a reaction either at or around the high volume on the long term profile at 1266.50 or maybe Thurs low then see if the next few days can see a test of 1300/1302.75 high vol.

 

Here's my chart:-

 

[TheNegotiator 13]

by the way, i hope noboday was too surprised at where we opened! (right at that high vol)

[gosu 10]

Because of MF Global's bankruptcy, volume is abnormally low. CNBC reporting traders getting locked out of their accounts. Feels like the day before a major holiday. Looks like I'll be going out for a nice long breakfast at Hof's Hut.

[chrisjusti 10]

What kind of chart is that? I'm assuming that's volume on the right side but you said that the market opened at the high volume mark. That mark looks a few points higher, and, the market hadn't been open yet so how did all those volume prints get established? Are those from overnight or previous days? Can you direct me to a site or tutorial on how to read and use them? I like the volume overlay like that.

 

Thanks.

[TheNegotiator 13]

Yeah you can say that again. A 6pt range 2.5hrs into RTH for ES is tiny at the moment! Here's an IB range/volume study for last 100 days.

 

[TheNegotiator 13]

What kind of chart is that? I'm assuming that's volume on the right side but you said that the market opened at the high volume mark. That mark looks a few points higher, and, the market hadn't been open yet so how did all those volume prints get established? Are those from overnight or previous days? Can you direct me to a site or tutorial on how to read and use them? I like the volume overlay like that.

 

Thanks.

 

It's a standard candlestick with a volume profile study attached to it. The X I marked it up the long term profile (green) with was where the RTH session opened exactly in this case. 1266.50. The long term profile has the data from the entire move from the 2009 low, back adjusted for the spread between contracts. (i.e. the contract is a continuation contract for the ES). If you want to learn things, stick around here!

[TheNegotiator 13]

I hope everyone is okay with their accounts. I am guessing not though from a statistical point of view. The MF Global issue seems to be bigger than was first thought with some clients cash being, well should we say not where it should be. To those who don't have access to their accounts I hope everything works out for you soon.

 

Someone Is Going To Jail For This: MF Global Caught Stealing Hundreds Of Millions From Customers? | ZeroHedge

 

As far of trading goes, I will certainly be wary of the market. Things tend to be somewhat unpredictable when events of this nature are in focus. It's possible for example, that the market is not doing much one minute, the next it shoots off in one direction, then the next it stops dead. Behaviour MAY be erratic. Part of all our jobs as traders is to properly judge current conditions of the market and appropriately assign risk. It might be a sensible idea to at the very least adjust size to account for the risk involved.

 

Think about this. If a number of accounts all of a sudden get unlocked with multiple offside positions which haven't been possible to fully hedge, what's going to happen? They'll have to liquidate as soon as is reasonable. Possibly immediately. The likelihood in this case if they HAVE to liquidate is that there will be a disregard for any levels. They will just buy/sell until they are flat.

 

IF this scenario were to play out and I'm not suggesting I am certain it will, even though behaviour could be erratic or at the very least not the normal type of trading you see, it is still fundamentally an auction. Buyers will keep buying until either there are no buyers left or there is a strong reaction from sellers. Sellers will keep selling until either there are no sellers left or there is a strong reaction from buyers. The motivations of the buyers/sellers may be different but it is still an auction. When price moves quickly away from perceived value, there tend to be certain participants looking for a bargin(long or short). It may be that value then moves towards price, but basically price tends to move too far in these sorts of circumstances. My point is, if the market does move strongly in one direction or the other, don't be surprised if there is a strong counter move which follows.

 

Another point to be aware of is that with all the links MF has in the markets and the client money issue, there could well be important announcements/revelations throughout the day. So keep you ear to the ground.

 

(Oh yeah and there's still the EU sovereign debt issue)

Edited November 1, 2011 by TheNegotiator

[steve46 12]

Okay well all very sound advice

 

So far this evening markets are acting about as we might expect. Selling on the bad news that Greece will hold a referendum on the plan to bail them out......This is perceived as "negative" in that if the Greek citizens decide to vote the plan down, they will be back to square one..and the delay will likely cause a disorderly default, possibly leading to Greece's abandonment of the Euro (at the extreme)....

 

What I have noticed is that the scheduling of the referedum is likely to put off any additional action until after Christmas....that may be a good thing for the Greek Prime Minister who is under fire for putting in an austerity program that is decimating Greek civil society...In other words the gentleman is trying to save his ass.

 

As regards MFGlobal, we now know that money is missing from segragated accounts and this is like pouring gasoline on the fire....what could have been resolved quietly and simply is going to take time while the SEC auditors find that money and then move to indict people if it is warranted. Of course it is always possible that the problem is sloppy bookkeeping but only time will tell.

 

This evening markets have declined in an orderly fashion, making it relatively easy to get on board the short bus. All you had to do was find a place to get short and hold on....My training says we look for a reversal now (at 4am) as I have pointed out before...this the time based pivot for my system to go long so I am trading around a base position looking to generate a few bucks here and there....

 

So far no problems executing however around the midnight hour I did have an interesting moment as my automated update program decided to let Microsoft do some housekeeping and shut me down.....hah....fortunately my software hooked me back up to my positions without much delay....

 

Just another day in paradise.

 

Good luck everyone

Edited November 1, 2011 by steve46

[TheNegotiator 13]

You must've been pretty pissed off though Steve! Glad it didn't cause you any major problem. The idea I discussed is just a possible. I mention it because it's the kind of thing if not looked at can really put a big dent in your account (and clearly some do very well out of it too). The DAX move looks pretty orderly so far agreed. Would be pretty nice to have got on that one and by the looks of it, it wasn't too difficult. But I wouldn't automatically think that'll follow through into the RTH ES session. Clearly lower liquidity was present during most of yesterday and when there is less liquidity and people need to do business, markets move.

 

I did a quick study to show relative ES volume between the last hour of NYSE(plus the extra 15mins) and the rest of the session.

 

 

We're seeing more European news right now, not exactly instilling markets with confidence.

[joshdance 10]

Good call Negotiator on the volatility...

[TheNegotiator 13]

Good call Negotiator on the volatility...

 

Yeah I think there's a good chance that the market will be moving aggressively at the very least. Remember there's ISM today and more importantly NFPs on Friday to be thrown into the mix. There's likely to be a substantial gap on open too. But we have to trade what we see not what we think

[TheNegotiator 13]

Greek and Italian parliaments teetering on the edge right now! CME CEO confirmed MF Global is not in compliance with customer segregation requirements!!

 

...and the selling continues

[steve46 12]

So the primary issue on the open is the re-pricing of risk if Greek citizens do not ratify the bailout....(that is the worst case, and it is generally anticipated)

 

Asian and German markets re-priced this evening as did much of Europe. German Bunds will continue to see quite a move as will the US treasuries. There could be some forced selling in the bonds as margin calls get activated later in the day (about 10:30am PST).

 

I suspect the open will continue the move down until after the report release. depending on that release we may see a bump up and then continuation down to the new risk level.

 

I continue to be short the market until they make me pay up

 

Good luck folks\

Steve

[TheNegotiator 13]

Well if this continues, we'll be back at good ol' 1157.50 before too long.

[TheNegotiator 13]

Well so far, trading is clearly responsive in nature. Open type was a reject reverse imo and accordingly we are marching higher right now. First test of importance is coming up at 1229.75.

 

[steve46 12]

Another nice 1230 reversal, and like the previous one, it occurred about 6 minutes early....but hey no one's perfect.

 

You know the interesting thing about these "undocumented" reversals is.....that they work just as well as those are "documented" (the result of an indicator).....they seem to happen often enough to be tradable and the money you make spends just the same way....

 

 

Best of luck everyone...

Edited November 1, 2011 by steve46

[TheNegotiator 13]

Looks like a good one Steve! Would you say it's more or less prevalent on certain types of day or is the "cleanup" trade something which occurs regardless?

[TheNegotiator 13]

Well the scenario didn't play out yesterday but we did see some responsive buying, then balancing. Not unsurprising either really. FOMC later after strong ADP figs(pinch of salt probably required). We are going to open in purgatory by the looks of things. Gap to the upside at 1246.50 and a gap to the downside at 1224.00. Open might be interesting!

 

[steve46 12]

Looks like a good one Steve! Would you say it's more or less prevalent on certain types of day or is the "cleanup" trade something which occurs regardless?

 

The imbalances depend on the high touch market and market conditions...so it is more likely to happen at the tail end of a trend day. Generally speaking if the high touch desks have a lot of business to do, they will be motivated to move size near the end of the day, but before close of cash. That is why the trade occurs at around 1230 hours ET (US time)

[TheNegotiator 13]

anyone see that move in ES 13:02 EST?