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ES 06-18 / 24. April 2018

wtl Daily Digest

Traded volume was 2.294.010 according CME settlement data. 

The sell-off in US markets came late in the day. Political utterances lead to sell off despite of better the expected earnings of the majority of the S+P index companies. NASDAQ has led this sell-off with Facebook, Amazon, Netflix etc. all down around 4%. 3M beat expectations but the forecast for lower numbers appeared to coincide with the 500 point hit the DOW took. US 10’s trading 3% is having more of a psychological effect than anything else, but it is a move many have been waiting for. 


Watch this staircase effect. On some days they are more evident and visible as on other days. Today spoofing was more subtle. I doubt that one can see it on an ordinary Order Book because it is fast and, as said, "subtle". This was a good chance for a long position. 

Even the good liquidity of > 900 contracts sitting on the offer couldn't stop the buying with a volume of 557 vs. 552 at 2675.50 Ask. 

Broken Floor

There is an uncertainity how to handle big volume at the bottom of a move.

Generally: Every liquidity level can be broken! It depends on the market mood if one side of the market is stronger or not. 

My observation is that under normal market conditions big volume at the top of a move in most cases is exhaustion. This move ends with big volume and continue with smaller volume to buy the market up. Watch the volume and delta divergence and you'll see the signs of exhaustion. See also "Trapped Buyer".

Normally this happens also at the bottom of a move, too. Based on my research it is more reliable at the top then at the bottom. Why? I can't answer for now. 

The variable which destroys both theories are the not predictable and violent market orders. Especially when forces from outside like news or political utterances lead to panic in the market. 

Let's see what impact this has had on the market today.

Under normal conditions 2658.50 would be a buy and it was for about 3 pts. So the big volume theory withstood so far. BUT, market mood was so negative that all support at the Bid side was simply overrun. 

Look at the traded volume at 2658.00. On the Bid there were 551 contracts and 853 contracts were traded and no buys on the Ask were visible. Nothing to go against. 

When big volume hit high liquidity areas price in most cases reacts to this "high energy levels". It bounces back. Question is: How to handle? I am always looking for retracements. 


There will be enough discussions on this subject. That's what this blog is for. 



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