Day Trading the E-mini Futures

[TheNegotiator 13]

Looks a little like a bear flag coming into the Pending Home Sales release:-

 

[TheNegotiator 13]

Although the market isn't especially busy right now and it's fairly balanced (with a negative skew), I was expecting a range of anywhere between ~10-25 points. So at 7.75 points, that to me is a very small range and more than likely we will extend it by at least a little in either or both directions. If we were to get going, both 1326.00 and 1304.75 would be well within reach.

[TheNegotiator 13]

Decent divergence on the delta there between the 11.75 low and the 10.50 low just put in. ~ +16k on the delta with 5 tick downward extension.

[bakrob99 11]

.... . ~ +16k on the delta with 5 tick downward extension.

 

So when you say +16k you mean that the Cumulative Delta is Less Negative on the lower low? or more negative?

 

Regardless, it look like we're gonna get someupmove out of this puppy now. 1310.75 is long for me.

[TheNegotiator 13]

So when you say +16k you mean that the Cumulative Delta is Less Negative on the lower low? or more negative?

 

Regardless, it look like we're gonna get someupmove out of this puppy now. 1310.75 is long for me.

 

Yeah. It was ~ -24k @11.50 then ~ -8k @10.75

 

Edit: Meant ~ -24k @11.75 then ~ -8k @10.50

Edited May 30, 2012 by TheNegotiator

[bakrob99 11]

VWAP here at 1316.75 ish ... Good spot to take profit.

[TheNegotiator 13]

VWAP here at 1316.75 ish ... Good spot to take profit.

 

Which VWAP were you looking at? 24hr? I'd have said was that the RTH VWAP was right at VPOC and the profile looked very balanced and was looking for 17/17.50 test before some sort of rotation lower.

 

[bakrob99 11]

Which VWAP were you looking at? 24hr? ...

 

My VWAP was at 1317.24 ... standard Tradestation which uses Date change .. close enough for me.

 

My key reference I was looking at was the 1316.75 Swing High which had held for a number of bars. The next one was 1317.25 which was not taken out. So, the VWAP was right there and I expected lower rotation today as we're still trending down. I'm looking for 1308.25 to see if we spring off of it.

[TheNegotiator 13]

My VWAP was at 1317.24 ... standard Tradestation which uses Date change .. close enough for me.

 

My key reference I was looking at was the 1316.75 Swing High which had held for a number of bars. The next one was 1317.25 which was not taken out. So, the VWAP was right there and I expected lower rotation today as we're still trending down. I'm looking for 1308.25 to see if we spring off of it.

 

That we did !

[TheNegotiator 13]

ADP/initial jobless worse and GDP as expected, Chicago PMI is due out 9:45am. So not much new ahead of NFP and ISM tomorrow. Short of European newsflow to make get things moving a bit I suspect that we may lockup as the session progresses. Who knows though ach.

 

1304.75 was pretty much tested overnight with the low being 05.25. We may want to test it RTH to check for resolve of any longs holding into tomorrow and the weekend. I wouldn't like to see much trade below 1300 if it did selloff further with 1293/94 and then th 89.75 potentially acting as some sort of support. Above, we have to watch 12/14/17/26 and 35/6 profile areas.

 

[TheNegotiator 13]

NQ is just not having it right now. Heavy. Remember Chicago PMI in a few...

[TheNegotiator 13]

That looked very much like the release and obviously it's a weak one.

[TheNegotiator 13]

That looked very much like the release and obviously it's a weak one.

 

It was 52.7 from expected 56.8

[TheNegotiator 13]

careful in 1300 area just in case they try to run stops.

[TheNegotiator 13]

Did anyone manage to get anything on the move down there? I took 12.00 to 8.25 scratched some at 7.00 as I felt there was a danger of a quick snap back, then I sold 4.25 against the 4.75's and ended up out @1.00. I had a downward bias which got me in the first short and then the persistence of selling + 1300.00 low vol/naked vpoc/psychological area vicinity was just too tempting for the market imo so that was when I shorted the retest of 4.75. Not too bad in the end and was in their for the possibility of a collapse below 1300 (although considering we traded below only a few days ago, this was unlikely. The idea was there in case of time dependent risk aversion really came into play).

[bakrob99 11]

Saw the 1312 short ... then missed it and watched. These days if you miss the intial move on these thrusts it's tough to find a decent place to enter into the downtrend. I have developed a technique which I am still only using occasionally. Too bad cause it would have worked really well today.

 

Bought the bounce off 1300. (several times)

 

Got short at 1303.

 

Now watching. That's it for me.

[TheNegotiator 13]

Saw the 1312 short ... then missed it and watched. These days if you miss the intial move on these thrusts it's tough to find a decent place to enter into the downtrend. I have developed a technique which I am still only using occasionally. Too bad cause it would have worked really well today.

 

Bought the bounce off 1300. (several times)

 

Got short at 1303.

 

Now watching. That's it for me.

 

Nice one buddy! Shame about the short @12 but just shows that there's no need to chase the market and take substandard entries.

[bakrob99 11]

Man, it's deja vu all over again (same as yesterday). VWAP target and possible short. Market pulls back to VWAP and finds sellers and guys traders taking profits. It's a beautiful thing.

[joshdance 10]

Man, it's deja vu all over again (same as yesterday). VWAP target and possible short. Market pulls back to VWAP and finds sellers and guys traders taking profits. It's a beautiful thing.

 

It's a common occurrence, and rarely will the VWAP go untouched after the first part of the trading day, except on a very very strong trending day. It's a common target, and it's not based on voodoo either, which is a good thing, in my book.

 

Sometimes the market will hit the VWAP and resume it's prior direction, other times it will trap those looking for continuation of the trend and keep moving past, reversing the original move.

 

At the end of the day, it's not a magic line, but it is a benchmark that means something to many traders, and hence I keep it on my chart.

[bakrob99 11]

I traded the VWAP using it as key support or resistance for 2 years, not entirely successfully and now I usually use it as a target. I prefer to trade from the Standard Deviation 1st or 2nd band back to the VWAP, and if momentum carries it throught othe other side. I use order flow and delta to form my opinion on entry probability.

 

I did fade the VWAP today... but scalped out of it after I saw a long setup occur for me at 1303. I didn't take that one as I had to walk the dog, but on my return I see it went to the other side of the extreme.

 

I had a hunch at the lows today that all the sellers had entered and we had a possibility of a big rally as it had moved down so fast without any opposition. These moves are great if you can stay in them.

 

I'm looking to come back to the middle again near the peak volume price and chop around for a while before the market participants agree on a direction.

[bakrob99 11]

If we get thru 1311.50 then I'm expecting the NVPOC at 1315 to be tested and 1326 higher

[TheNegotiator 13]

Short of European newsflow to make get things moving a bit I suspect that we may lockup as the session progresses.

 

Okay, well what yesterday proves is that my suggestion of this scenario didn't turn out to be what happened and I am not the Market Oracle!! Lol. But then you don't have to be right to make money and so long as you're attentive, flexible and have a good plan to take money from the market, you should do well in the long run.

 

So today has some big numbers which could well move the market if they're out of line. It feels like a storm is brewing at the moment and although the releases today mightbe a possible flashpoint, the Greek elections are what really matter. They are due to take place 17th June. I suspect that they will end up coming to some comprimise to appease the markets to some degree, but then we've already established that I'm not an Oracle so perhaps it's better just to wait and see what does happen!

 

Then of course we have the rest of Europe to contend with. I feel that pressure would ease significantly IF the Greeks get their house in order this June. Otherwise the fear is that the house of cards won't be standing for too much longer. In the US, the other main issue is whether or not Big Ben is going to give the economy another adreneline shot with a QE3 package. I'm not sure I think that this will help, but in the absence of any positive solutions to the current economic climate, I think the Fed will do this in one form or another.

 

But what about today? Overnight in ES has seen a range between a high of 1307.50 down to a low of 1291.50 as of 7:20am. The pressure is clearly down and ADP/IJC figs yesterday may have people taking a more risk conscious stance into the 8:30am release of NFP. We also have ISM at 10am which in its own right, is a big number.

 

It's also the 1st of the month and a double bank holiday in the UK for the Queen's diamond jubilee. So things could end up quieter until mid-next week. But then again, as we know, ACH and probably will :doh:

[bakrob99 11]

There is a very prominent LVN at 1296.75 which stopped the market dead in its tracks on that last pop. If we sell off sharply due to lower NFP numbers (150K / 8.1%expected) then I will be watching for a snap back rally after the open.

 

If we pop on slightly better numbers then the short will be much higher up. Either way, I don't think longs or going to want to hold onto their positions over the weekend.

[TheNegotiator 13]

There is a very prominent LVN at 1296.75 which stopped the market dead in its tracks on that last pop. If we sell off sharply due to lower NFP numbers (150K / 8.1%expected) then I will be watching for a snap back rally after the open.

 

If we pop on slightly better numbers then the short will be much higher up. Either way, I don't think longs or going to want to hold onto their positions over the weekend.

 

How much worse than the 150k expected for NFP's do we think would send the markets out of balance? How much better would they have to be to make the markets happy?

[bakrob99 11]

How much worse than the 150k expected for NFP's do we think would send the markets out of balance? How much better would they have to be to make the markets happy?

 

Yuup. That's the question.