Day Trading the E-mini Futures

[joshdance 10]

I am taking a sim short here at 97.25.

 

We are at the upper end of the two day pre-NFP balance. We have come 10 handles on just over 300K contracts. 97.50 is the 2nd mode of the March distribution, and it has received some volume attention here. I will add to this at 1402, and will have my stop at 1406. I am targeting 1390.

[joshdance 10]

Thanks for the reply Josh. Please excuse me as I have to help a friend from my church buy a car from the public auction. Its his first time going to an auction and I am going to show him the ropes as I've bought vehicles there a few times now.

I am going to write you back concerning this, but probably not until tonight or tomorrow. You know that I have agreed with you in the past concerning the indiscernibility of market participants. I personally believe this stretches to volume and delta and will explain my self later.

All the best, Cory.

 

Ah I see, you ARE a master of the auction! I hope you buy the unfair LVN!

 

I look forward to your reply when you have time to make it, good luck with the car.

[TheNegotiator 13]

Btw what is left of the gap from 4/3 - 4/4 begins @4/4 high of 1398.50. Current high is 98.25.

[joshdance 10]

This is very abnormal. 1.3M contracts traded, with the majority of that below 90, and a range of 15.25 ... this is not "healthy" volume IMO. A healthy range of volume for today would be ~1.7 to ~2M. Anything outside of this range spells danger for this breakout, IMO, and we are well below that at 1.3M.

 

Compare this with yesterday's tiny range and higher volume.

 

We get a VPOC shift to 96.25 here at the end of the day.. interesting.

 

See you all later.

[TheNegotiator 13]

This is very abnormal. 1.3M contracts traded, with the majority of that below 90, and a range of 15.25 ... this is not "healthy" volume IMO. A healthy range of volume for today would be ~1.7 to ~2M. Anything outside of this range spells danger for this breakout, IMO, and we are well below that at 1.3M.

 

Compare this with yesterday's tiny range and higher volume.

 

We get a VPOC shift to 96.25 here at the end of the day.. interesting.

 

See you all later.

 

I kinda agree Josh. But also, considering the chart you posted just a short while ago (balanced profile post fed), are we really breaking out? Plus if we are using two distinct profiles, we are exploring very recently traded prices. In other words we aren't poking our heads above the clouds...

 

I guess the next few days will give us more of an idea.

[MightyMouse 12]

Talk about an ugly profile...

 

Ugly but telling. There is no balance in a trend type of move. Knife catchers lose fingers.

[TheNegotiator 13]

Ugly but telling. There is no balance in a trend type of move. Knife catchers lose fingers.

 

So true. Can get very ugly if you're not careful.

 

I hope everyone did okay and even well today. If you didn't, remember that tomorrow is another day.

 

Goodnight.

[gosu 10]

The e-mini s&p 500 is the futures contract representing the S&P 500. The constituents of the S&P 500 represent some of the largest companies across America and the index is often seen as a bellweather of the US economy as a whole (this was traditionally the DJIA). So even if you think it's not big, what it represents is and its trading activity is broad. Whatever participants motivations are- outrighting, spreading or hedging(technically the same thing as spreading), delta represents aggressive participants. It shows you what the current balance of trade is when coupled with price. I use cumulative delta personally as I don't like isolated single bar delta. This way you can see momentum. Same as a standard price chart. Even if you think that it is moved by all kinds of other markets other than itself, traders want to make money and so they will trade based on that. Besides, if generally delta is not agreeing with price and those aggressive participants are wrong, that means something too. But the key point is if you are trading the ES, what its volume and delta are doing directly affect what you can do whether or not you like it.

 

Hope that makes sense

 

s&p 500 fact sheet

 

Your description is for the underlying, the S&P500 index. The ES is a futures contract. You would get closer to describing what it is by saying what a futures contract is.

[MightyMouse 12]

I am taking a sim short here at 97.25.

 

We are at the upper end of the two day pre-NFP balance. We have come 10 handles on just over 300K contracts. 97.50 is the 2nd mode of the March distribution, and it has received some volume attention here. I will add to this at 1402, and will have my stop at 1406. I am targeting 1390.

 

Jesus Josh! Nice call if you rode it down.

[joshdance 10]

Jesus Josh! Nice call if you rode it down.

 

Thank you MM, I had no choice but to ride it, as I left the house at 4:30pm, and had my stops and target in place, and checked in as I was driving home just now to this nice surprise. I had a very good feeling it would do this, but thought it might take at least until 10pm or midnight, it looks like it hit it just after 6pm, wow.

[joshdance 10]

I kinda agree Josh. But also, considering the chart you posted just a short while ago (balanced profile post fed), are we really breaking out? Plus if we are using two distinct profiles, we are exploring very recently traded prices. In other words we aren't poking our heads above the clouds...

 

I guess the next few days will give us more of an idea.

 

I see your point. But 5 of last 10 days before today had their highs within 2 points of each other (87 to 89). That was a wall of resistance in my view, and we broke through it today. The thing was that it was about as convincing a breakthrough as Hayden Christensen is an actor (just kidding HC, you're okay). The immediate slide down is evidence that others felt the same way. I hate using the phrase "BS," but today, as a whole, was "BS." Since late 2010, there have been NO days other than holidays that have had at least a 15.25 range and less volume than today (holidays and a couple of rollover days which I don't care to dig further into).

 

And not just the stats part of it, but the sheer way the market looked just embarrassed to be trading higher. It looked like an athlete who doped to win the gold medal and was ashamed to be standing on the winner's podium. It still baffles me, but I won't lose any sleep over it tonight. Hey, maybe 90s will hold and I'll wake up to 1400 (if I do, I'll have Hat Sandwich for breakfast though). Don't get me wrong, the market is still a "buy" and it needs to trade back into the lower balance (below 88s or so) to really warrant a short.

[TheNegotiator 13]

Your description is for the underlying, the S&P500 index. The ES is a futures contract. You would get closer to describing what it is by saying what a futures contract is.

 

I'm sorry if I didn't make it clear enough for you gosu. However, I would point out that I stated it is the futures contract representing the s&p 500 index.

 

The e-mini s&p 500 is the futures contract representing the S&P 500. The constituents of the S&P 500 represent some of the largest companies across America and the index is often seen as a bellweather of the US economy as a whole (this was traditionally the DJIA). So even if you think it's not big, what it represents is and its trading activity is broad.

 

It was meant to be a brief illustration of the potential importance and weighting of the contract in the global market place. It was not to meant to be a exhaustive study into the full mechanisms by which it operates. But I think you'll agree that the ES and the S&P 500 cash index are inextricably linked by some of these.

 

My overall point was that it is a big market, but actually volume and delta volume matter irrespective of this. However, as you and I know, if we are discussing whether they're useful to a trader's profitability, well as they say "beauty is in the eye of the beholder". I've seen people make good money with all kinds of different "indicators" and methods. The difference is them. The trader is the key.

 

Anyway I'm going a little here!

[gosu 10]

I'm sorry if I didn't make it clear enough for you gosu. However, I would point out that I stated it is the futures contract representing the s&p 500 index.

 

 

 

It was meant to be a brief illustration of the potential importance and weighting of the contract in the global market place. It was not to meant to be a exhaustive study into the full mechanisms by which it operates. But I think you'll agree that the ES and the S&P 500 cash index are inextricably linked by some of these.

 

My overall point was that it is a big market, but actually volume and delta volume matter irrespective of this. However, as you and I know, if we are discussing whether they're useful to a trader's profitability, well as they say "beauty is in the eye of the beholder". I've seen people make good money with all kinds of different "indicators" and methods. The difference is them. The trader is the key.

 

Anyway I'm going a little here!

 

Sure, I was busting your balls there. You were sounding a bit like a college professor unlike your normal self....you know what I mean?

 

Cheers. :beer:

[TheNegotiator 13]

Thank you MM, I had no choice but to ride it, as I left the house at 4:30pm, and had my stops and target in place, and checked in as I was driving home just now to this nice surprise. I had a very good feeling it would do this, but thought it might take at least until 10pm or midnight, it looks like it hit it just after 6pm, wow.

 

From the Standard and Poor's website:-

 

 

I'm absolutely certain this is the trigger for the market dip, although the reason is probably that it was too long temporarily (at least).

 

The interesting thing is that a couple of hours into the European session and the market has developed volume above the first RTH development yesterday:-

 

[TheNegotiator 13]

Sure, I was busting your balls there. You were sounding a bit like a college professor unlike your normal self....you know what I mean?

 

Cheers. :beer:

 

Lol true. I do try to be as clear as I can though in those situations as I'm always mindful that not all who are reading the thread will be as knowledgeable as you and other more experienced traders we have here

[joshdance 10]

Hey, maybe 90s will hold and I'll wake up to 1400 (if I do, I'll have Hat Sandwich for breakfast though). Don't get me wrong, the market is still a "buy" and it needs to trade back into the lower balance (below 88s or so) to really warrant a short.

 

Well market is trading 1399.75 so I guess it's hat sandwich for breakfast :rofl:

[TheNegotiator 13]

Well market is trading 1399.75 so I guess it's hat sandwich for breakfast :rofl:

 

The worst kind of breakfast!!

[TheNegotiator 13]

Okay I was going to post this before GDP but didn't. Not to matter as the idea just evolves as the market does anyway.

 

 

I know the areas to watch out for aren't that clear so here are the key ones:-

 

1411.50-13.50

1408.50

1403.25

1400.75

1397.50/98.50

1394.50

1391.50/92.50

1389.25

1387.00

1382.75

1380.25

1370.25

 

These are just my opinion of levels and NOT advice to trade here.

[TheNegotiator 13]

Obviously you can throw 96.25 in there too as yesterday's VPOC.

[TheNegotiator 13]

One last thing (I think LOL) is 1401.75 is the RTH April open.

[joshdance 10]

My map for today.

 

We had the 96.25 VPOC test just after the GDP number.

 

94.50 is the low of yesterday's upper balance, a LVN on the left profile, a "ledge" area on the 4/4 - 4/5 2 day balance area, and had reasonable support overnight. Even if 96.25 were tested and fails, 94.50 is a reasonable buy opportunity. Anything over 87 is a buy for me. If it looks weak, I will look to sell 1402.

[clmacdougall 11]

I love it when people challenge views. It's very healthy and one of the reasons I spend time here on TL. Not for the agreement where we all feel fuzzy, but for those times when I hear dissenting opinions and get an opportunity to re-evaluate why I do things.

 

First of all, regarding delta:

Delta is something that I sometimes use, and sometimes don't. As a result, I have considered on more than one occasion simply throwing it out, as least as it pertains to a cumulative delta amount for the day or other period. This last trade is one of those cases where it simply tells a story, and the conclusion I drew from that story led to a trade which was a loss for me. I also have dug deep into exactly what it means for a transaction to occur at the bid or the ask, how it's reported from the exchange itself, and have come to the conclusion that the actual delta calculation itself is subject to interpretation. Some people will calculate it based on upticks and downticks, instead of bid/ask values, and that adds another level of uncertainty. But let me get off of this tangent and back to the point.

 

Regarding the main point:

By your logic, it would seem that because currencies are king as far as traded volume and actual money flow goes, that all markets are subject to the effects of correlation to these currencies. However, we know that each market is separate and distinct. Crude oil is its own market, though it is certainly affected by the value of the dollar and euro. Likewise for gold, silver, live cattle, pork bellies, and all other commodities and equities.

 

The market cap of the S&P 500 is 12.7 billion USD. This is larger than the entire market cap of the four largest non-US stock exchanges combined: Tokyo, London, Shanghai, and Hong Kong (about 11 billion USD). The ES is the most actively traded derivative of this index, and the most heavily traded futures contract in the world. We are talking about huge world economies, and the ES reflects as perfectly this index as any derivative can. Does the value of the euro, dollar, yen, etc., have an effect on US markets? You bet, but you seem to be saying that it's a function of size traded, and I just don't think that is accurate.

 

After thinking about this for a moment more, I think a simple picture will explain my general view. The attached chart shows the euro, and the s&p. I hope you don't think I'm insulting your intelligence by posting such a simple chart with diverging trends, but I think it does basically speak to my point: all of the eurozone problems have taken a toll on the US market, but it does not really matter that trillions per DAY changed hands in the currency market. What matters is how the US market stands on its own. It experienced growth in the last 6 months, while the burden of eurozone debt has failed to drag it down with it to the same degree. In fact, in my opinion, each market stands on its own, regardless of intermarket relationships. Does the eurusd in some way affect the price of oats? Certainly, as oats are denominated in USD, but there are more important factors in the price of oats, and it doesn't matter that the volume traded in oats is essentially zero compared to currency volume. Same for other markets.

 

Hopefully I have addressed your question, and I would love to hear further discussion regarding it, particularly how you disagree, as these are all great topics and questions, and I am very open to changing my mind if I hear an argument which is more logical than my current one, as I have no skin in the game about being right here or anywhere

 

 

Any and all movements of price are significant. The reason being that what is being moved never changes. If I can push a steamroller at all then the timing of it shouldn't matter. It doesn't become easier at any moment of the day then at any other. The emini does not change its makeup or representation no matter if its being moved in the middle of the night or day. The movement changes portfolios nonetheless. If movement can occur, causing an effect that is constantly similar in the change it creates then it is equally meaningful.

In my opinion the instrument you trade never stands alone and no matter the resistance of any of its players it moves due to market forces that are defining the "now" value of a product irregardless of speculative activity. No matter the amount of barnacles on the bottom of the whale, it still moves where it wants.

To consider that the activity of an instruments movements are due to its daily players alone is ridiculous, 2008 most recently proved this! No one can stand in the way of or define a single instruments activity no matter their will or money.

Volume and delta in my opinion are glimpses of heavy and light games of tug of war. They can happen between 2 individuals at a moment in time or between 200,000 . One thing that does not change no matter the amount of players, both moments are speculative activity, guesses!!

The reason I find volume and delta to be deceptive is that you can never define the intent, only the action of what was. Delta and volume may both show heavy buying but with what kind of intent involved? Are those buyers buying at a significant level and then giving the market 5 points worth of movement before they ditch their trade or are they trading with a 100 point stop in place? Or perhaps their intent is to get all sorts of meatheads to follow them in buying so that they can populate up a large and profitable selling campaign an hour later. Or maybe those large institutional trades will just be wrong!!

Because the intent or wisdom becomes impossible to understand, why not simply focus on the results of any and all movement. Although this may not be perfect, it might be better than believing in what you think the intentions of others are! Studying price movement clearly might be our best chance at profitable trading. Trying to wrap our minds around the intentions of others in my opinion clouds our ability to see the market clearly.

The markets reward not the right, but the early!! Too much information clouds your ability to be the early entrant. Without this you have no hope of making money in the markets consistently. If you are buying when others are buying and the price is rising then you are buying at the wrong time and will never be the early entrant, you will only be the fuel that allows the early entrant to be consistently profitable. Any study that encourages late entry is bound to defeat you in the long run.

You'll never be able to identify the right side of the market by following volume and delta because profitable traders are almost impossible to identify as their trading actions are indiscernible and not necessarily identified by voluminous trade, in fact it could be just the opposite.

Will write more later, let me know what you think. Its all just my opinion!!

[joshdance 10]

500K contracts traded before the open...

[joshdance 10]

So far we open out of balance, come back convincingly back into yesterday's range, and now our value area is contained entirely within yesterday's upper range. I am looking to sell unless we can break pretty strongly above 98.

 

Would love to see 98 tested ONE more time...

 

The only caveat is that we are finding good support so far a tick above the late march balance VPOC.

 

BTW CLmac, I will read your post when the market quiets down during the lull a bit later. Looking forward to it.

[joshdance 10]

Put on a half position short here at 96.25, may add to full at 97.75, but won't let it get too far above 98s.