The Opening Print
Volume 2, Issue 90
May 11, 2011
Today’s Points of Interests:
Volume: 6.6k SPMs and 1.57mil ESMs traded LOW
Spreads:36 SPM/U spreads traded
Fair value:S&P fv. +2.50, NASDAQ fv. +4.20
“NO MARGIN PROBLEMS IN THE S&P”
The early buzz CME Group raised margins again to protect the speculators. NYMEX crude, gasoline, heating oil futures were lower on the news, but easily regained the losses by mid morning… Import / export figures renewed firmer domestic economic hopes. Macro events, following Standard & Poor’s downgrade of Greek / European Union restructuring chatter had spreads tighten on talk of new deal possibly as early as June. PIMCO’s Bill Gross raised his bearish bet against US Treasuries from 3% to 4% according to a posting on the company’s website Monday; Holdings of US debt in the TRF fell to neg. 4% from neg. 3%, signaling increased short positions.
Monday night 250k Emini’s and 2.7k SPM traded on Globex leading to an RTH opening range (OR) of 1346.70 – 1347.00 and made an early low at 1345.30 before popping back through the OR. The dollar’s early strength lead crude lower, but CL quickly pumped back to positive territory. By 9:30 CT the SPM made a morning high at 1351.70 and by 10:15 the sideways to lower trade set in. Following the 3yr bond auction at 12:00, 1249 area was trading in the SPM and the 30yr bonds held the 123.29 to 124.04 area. Later, the 30yr flinched first, trading to a new LOD at 123.25, by 2:00 both the Nasdaq and SPM popped to new highs while the VIX breached 16.00 and crude topped $103.50 up $1.00. After the VIX traded 15.79 LOD and the SPM traded 1356.30 HOD, the cash imbalance showed $470M to (surprise) sell, cash close was 1354.30 and settled at 1353.80.
In the end we still think it is better to be a BULL but we also that road does not go with out some bumps. Despite the little down tick late going into the cash close the ESM was “stuck in buy program mode” all day. Makes it a bit hard to fight when it’s like that.
Yesterday’s Mr.TopStep video http://mrtopstep.com/2011/05/10/top-notch-shout-out-to-you/
Mr. TopStep Charts “RIMM / CSCO PARADIGM SHIFT? DEADCAT BOUNCE” http://mrtopstep.com/category/market-commentary/charts/
Wednesday? It used to be the S&P 500 futures was “top dog” if you wanted to do some trading. Hell, in the old days a local in the S&P pit could easily make $30 to $50k by 9:00. A little slippage and a little luck and you over at the East Bank Club working out by 10:00. Well that’s not how it works now. In fact many of the locals in the S&P pit are just there to make “$500.00 bucks a day” The glory days are gone and how what you have is a hybrid local bid or offering in the big contract while holding a hand held trading the ES. One local we know that makes and losses $10K to $20k a day said to me walking off the floor that he thinks its easier doing his own thing being on the IM. He went on to say that “everyone is waiting for the big one” meaning that if the market crashes maybe they can cash in. That mentality has been part of the S&P pit for years.
It’s 5:30 am and the SPM is trading 1357.00, up 3.20 handles, oil is down .46 cents at 103.42 and the EC is trading 143.77, down 6. Things pick up today starting with the weekly mortgage applications number, international trade, oil inventories, the Atlanta Fed president speaks, 10-year Treasury note auction and 12:00 ct and the Cleveland and Minneapolis Fed president speak, Treasury budget. Arcelor Mittal and Toyota report before-the-bell, and Cisco and Symantec report after the cash close. In Asia 8 of 11 markets closed higher. In Europe Europe 9 out of 10 markets are trading higher. Our view? The S&P is on the march again. Buy any 8 to 10 handle break, keep an eye on the 10 handle rule. Remember.. buy / sell / don’t fall in love with your position and always use stop.
FROM THE FLOOR / NEWS & OBSERVATIONS
TOPNOTCH – The first curve ball came out of the tech sector, as there more than likely be some more coming at us for the remainder of today’s session.
The NasDaq opened at the 2397.00 price.This future made a quick dive to test its pivotal / short value levels out of the gate, finding a 2391.25. A return to the opening price was seen with a high of 2396.25. Then when this future went down for a restest of its opening low, it stopped short with a low of 2393.75. This signaled a rejection to extend lower and boom!!!! This future flew up to a high of 2404.75 mini, 2406.00 pit. This lead to higher highs than on globex and fell just short of its daily fib of 2407.50. This future drifted down to a low of 2399.25 and now is seeing penty of sideways action. Still looking for a continued move higher.
The S&P opened at 1346.70-1347.00, finding a first high at 1347.30, before securing its current low of 1345.30. I was looking for a test of its downside / short value prices, but was denied. This future then found a high at 1350.20, before retreating slightly to a low of 1348.50, which held its pivotal price of 1348.70. This future has jumped now to a current high of 1351.70 and is sure to find its way to a key 1354.70 price. Still willing to short at first asking, however, that idea is fighting the current trend, so this idea is just looking to ring the cash register. I’ll see what happens if and when this price gets tested.
The bonds opened at 124.08, which was its upside # price. A one tic high after that at 124.09, saw this future retreat under its pivotal price of 124.05. It did find a low of 124.01, which was key because it was the downside # price for today. The bounce saw a high of 124.08, which at this time is only a 8 handles range for its first two hours of trade. Leave this future alone!!!! Their moving averages are what I call “streamling” which signals lethargic movement and a flip-flop action. Lots of consolidation from them the last 2 days, so I suspect they could make a move soon and that 3 year note auction at noon could be the tonic.
HEARD ON THE MTS IM:
eubie (06:00:24 AM): YEST RANGE 1335 / 1346.50′s (1348 GLOBEX trading / 3 times last week)
eubie (06:28:05 AM): I cudda swore someone in here suggested Oil margins were next
mose (08:11:49 AM): these margin calls are great! lots of opportunity follows…
stanton analytics (08:50:19 AM): CRUDE: MINOR RESISTANCE AT 101.75. THE MINOR UPSIDE PIVOT IS 101.90.
michael (08:53:58 AM): ES volatility level observations: The upper level is a tick above the Friday high. That sounds ominous for a new highs +1 tick failure scenario. Lower level sits within a handle of the daily pivot and just underneath William’s weekly pivot (1342.4).
stanton analytics (09:17:55 AM): CRUDE: Beware of a potential double top in June at the 103.40 area. We hope that June makes it all the way to 104.50. this is a low risk sell area. the risk is 105.01. A potential to see a 3.50 to 4.00 decline from that level.
MTS DESK (09:21:52 AM): TopNotch upside obj 1354.70 – at first asking sell level
MTS DESK (09:22:58 AM): it looks like all the money that came out of the silver and crude sell off has showed up the stock market / so far only 1.5k SPMs and 265k minis have traded / we open higher pull back 2 handles / so far we have seen 3 or 4 small buy programs / we have resistance / at the 1353 level / they just ran another buy program
eubie (09:23:16 AM): above 1351.30′s FRIDAY’s HIGHS trading
eubie (10:27:01 AM): THE BIN LADEN LOW 1354.70′s / with last WED HIGH 1352.50′s / so a 1352′s would be a great place to lay some longs out (today’s HIGH 1351.75′s so far)
james (09:43:19 AM): that’s the beauty of MTS – if you specialise in something else, you can learn from others who specialise in other asset classes – its a cheap way to learn from so much experience and insight
eubie (10:04:52 AM): Financials steeling the performance show today
stanton analytics (10:55:07 AM): CRUDE: THE NEW HIGH TO 103.66 MAY HAVE COMPLETED THE PATTERN TO THE UPSIDE. The downside pivot to confirm is 102.50. the potential retracement with a break of that level is 101.50. However, 102.50 may hold again as there is an alternate model that will still allow for the move to 104.50. the key is 102.50.
eubie (12:33:09 PM): thru RIMM $44.25 get long
chris (12:48:41 PM): Nice call on RIMM
eubie (12:52:45 PM): wooden knickle bet on the RIMM reversal?
bob (01:11:59 PM): great call by Eubie last week to let go of the DTO – I was in USO puts but used that call to exit gracefully (and profitably).
chris (01:48:42 PM): already scalped RIMM.. Thx (GREAT FIRST DAY!)
MTS DESK (01:57:20 PM): the margin squeeze was good for the spoos / and making new highs at this time of the day is bullish / u take out the 250k mins done pre open in GLOBEX out of the day volume is like 950k ESMs in the day session / PROBLEM??? no volume on the up side all very mechanical / pull back a bit then in comes another buy program 516 mil shrs / this low volume grind appeared to be more in the daily volumes in the futures contracts like the ES going from 2.5 to 3 mil a day to 1.4 1.8 mil a day options volumes overall have been good but the floor seen a big drop in option trading over the last 2 weeks / hard to believe the summer could be slower
mose_kiser (01:58:39 PM): RIMM- i am riding for a while
eubie (02:10:38 PM): THE BIN LADEN LOW 1354.70′s
MTS DESK (02:26:24 PM): here is how this works / you keep tabs on the number of half hours the SPM is making new highs, once you see several in a row it usually means there is a larger buy program going on thats why the SPM never pulls back / you have natural cash buyers of stock mixed on with a bunch of buy stops in the S&P and this my friends is exactly what your looking at NEW HIGHS BUY PROGRAM
A LOOK AROUND THE INDEXES
Roger Volz, BGC
SP 500 futures Very Short Term (VST) 5 min chart starts turns off VST OS issued in overnights sub 1340 saw first repair above 1344.00 with prices reaching daily chart resistance levels at 1350.80. The current sideways pause lifts VST technical extremes to 1354-1356 .
SP 500 Futures Daily chart …. Retesting closing resistance at 1350.80, our first line for short term technical repair and to make a retry of last week’s high. Last week’s low at 1325.50 (-) signals continuation on outside down bearish engulfing bar. Closing support in dailies become prominent now at 1334.00 and 1330.
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