9:42 VIX market seems to be unimpressed with the gap down, barely above yesterday highs. Seeing only selling into the pop on the accumulators.
9:49 All accumulators continue showing selling into the pop. Price retraced close to the open levels. SW - 1969, Change -169. Seeing a squeeze on /ES_F.
9:51 New lows.
The squeeze seems to resolve in the downside.
9:54 Price tests that double bottom from Wednesday and is very close to the huge volume null on the 2-year chart. A break of 192 could be lethal. SW -2116, Change -176.
9:58 First half-hour ranges are very nice, a break of either extreme could set up a long duration trade.
10:00 SW and the Change are consistently negative, I would watch the half point for the current range as a very important point ATM.
10:02 But this doesn't seem like the type of day when we get a strong partial gap fill. Everything points down right now.
10:04 However, price has reached the 50% point of the range.
10:06 Fades off 50%, algos selling into the rise.
10:08 SW -2072, Change - 150. Seeing the beginning of a squeeze, I'd give it 10-15 minutes before we see some direction going into 10:30.
10:10 Going to try and play VIX futures instead of /ES_F today. #DIVERSIFICATION
10:11 But yes, given the minimum increment of 0.05 in /VX it seems easier to play it for the long run.
10:12 Algos continued sellers, slightly higher high (another test) of the 50% level.
10:13 One really needs to fully understand the environment in which he trades. Current environment is very volatile - with massive reversals. Two weeks ago, given the current change and SW, I wouldn't even bet a penny that we would close higher than the 30-minute level. But now, it could be possible...the environment is more rewarding, but it violently punishes those who can't adapt to its changing conditions quickly...there is certainly less time for a mistake.
10:18 Price consolidated near the 50% level, which has led to a decent breakout...possibly a failed one as I look at the chart. SW -1922, Change -143. Crazy selling into the pop - when accumulators are directly divergent with the price like that, it's a very strong signal. Scalping /VX.
10:21 Squeeze on BB's. Previous squeeze breakout has happened to the downside and pretty much failed (price bounced right back in).
10:23 A pretty strong bounce in the face of accumulators, SW and the Change. The breakout of 50% has been confirmed with a higher high, but the move seems to be terminating due to an increased magnitude in each leg.
10:26 Algos had a very noticeable leg down into the leg up on SPY.
10:27 It looks like the first 30-minute high/low points are going to be assigned as the first hour bar limits, just like yesterday. If one was about to make a decision on the S&P 500 by just relying on the technicals, he would probably sell it with a stop just above the intra-day high. Maybe ALGOS are doing the same. But what if they all get squeezed? DP's are driving price off the lows.
10:30 SW -1751, Change -134. BB's squeeze resolved to the upside. Great ranges, and things look bullish right now...but everything could get faded, just look a bit up at yesterday. DP's buyers, Algos sellers and now flat, MP flattening.
10:33 A TEST OF THE UPSIDE, I WOULDN'T FADE THAT...
10:34 A new high has actually appeared. SW -1643, Change -110.
10:43 If we opened down -0.3%, I would expect ranges. When it's down -1.3%, I would be betting on a close at least outside of the first hour range. SW -1602, Change -108. Contraction on BB's.
10:46 Drawing similarities in between yesterday's high and today's upside test. An extended leg up with a failed test:
Yesterday:
Today:
10:48 A break of 50% coming from the upper region. We are going to get a confirmed down cycle on the Primary at 11:00 AM. SW -1686, Change -112. Everything is down, DP's flat.
10:51 In the current conditions /ES_F consistently gets ranges of about 30+ points. Right now we got 14 in these narrow 1.5 hours of trading.
10:53 Just something to keep in mind - SPX bounced off that trend-line:
10:54 What could happen is a waste of all that down-side energy on this gap down with ranges, which could potentially drive value of the Primary lower, without moving the price lower. Really depends on which side the 60-minute range will get broken.
11:01 Slope change down. SW -1700, Change -96. Everything is lower, DP's flattening to upside.
11:03 Steve Hammer points out that there are actually rising lows on the 30-m chart. Indeed:
11:04 Past 3 days saw the following ranges on the /ES_F: 41, 32 and 31. 20-day average: 37. Today's range: 14.25.
11:06 Intra-day ranges of 6, 8 and even 15 points now seem surreal. It was a risky intra-day trading environment...if one believes that:
"Risk is a function of what you expect from a trade to achieve your goal."
11:10 SW -1780, Change -100. Testing down right below 50% line. Ranges are somewhat narrow right now, but no potential for a squeeze yet.
11:12 VIX futures priced in lower lows on the S&P. Lower lows on the 30-minute SPY chart...and liquidity is in free-fall. Bad combo.
11:18 Still upside bias price-wise..unless new lows.
11:31 SW -1669, Change -80. Price is getting squeezed just underneath the 50% level.
11:33 Notice how BB's were squeezed and lower boundary was aligned just above the support level. Breakdown:
11:43 SW -1767, Change -85. Price near the lows, all accumulators except for DP's (with light volume) are bearish and a breakdown is almost certain.
11:45 On the daily, SPX sits right on that trend-line from the lows. For /ES_F, it's all about that high formed during 11:00-11:30.
11:47 BB's are really really tight....a decision point going into 12:00 pm.
Lots of resistance at that 50% level, if it gets broken I expect price to go straight to 1925.5 on e-mini...
11:49 Another bounce from 50%. These consistent bounces from resistance are not bearish...
11:50 ALGOS flattened in their selling during the past 5-8 minutes, VXX MP has actually DECLINED into the test of the lows for the past 10-15 minutes. SW -1693, Change -81.
11:51 50% level broken, so as that descending resistance line. BB's continue to be squeezed and price has touched the upper boundary. Upside reversal?
11:53 Unless 1925 (red line) gets broken, this is just another lower high. It's easy to fall into the small swings and to miss the big picture.
11:54 VXX MP flattening, Algos still declining, but the sentiment has changed over the past 15 minutes...very flat.
Previously they were selling into a rise - look at 09:40 to 10:30 extension down. Now they are flat into a rise.
11:56 However, DP's sold that pop. BB's continue to be extremely tight.
11:57 This 30-minute bar is about to close quite strong. SW -1737, Change -84.
11:59 There are 6 points in between two levels of breakdown on the /ES_F right now. It has to go one way or another. A fake-out is possible too.
12:00 SPY MP and liquidity flattening.
12:03 BB's even tighter. Price approaches the lows.
12:06 DP's sold most of their positions in the past 15 minutes. SW -1803, Change -73. SPY MP continues lower, Algos flattening. VXX MP continues up.
12:08 BB's are squeezed for more than 40 minutes right now and still continuing to do so...pretty amazing - the next move should be strong.
12:10 The squeeze is visible on the 30-minute:
12:11 The range for the past 1.5 hours is 7 points, total range is 14. Unusual in the current environment - but then there is this long weekend and Friday.
12:13 This consolidation could break down, or could just really make a big, slightly higher, low. But everything screams "sell" at the moment.
12:15 Price testing previous lows and lower BB's line. Change -72.
12:16 IMO, the "decision zone" - range-bound trading zone out of which a decent swing could be set up - is currently 4 to 6 points on /ES_F.
12:19 A 4 point breakout has failed - price consolidates right near the lows. Liquidity is really flat for the past hour - it looks like everyone just left for the weekend.
12:20 Lows are being tested.
12:21 I tend to believe that consolidations, even near the lows, typically have bullish odds, rather than bearish. But then again - the environment in which these consolidations appear is the key. When the SW is +800 and when it's -1600 really makes a difference.
12:23 It's been an hour since we are in a squeeze. Price is within 3 points of the lows, yet it's so calm and boring. This price action makes it hard to believe that the SW is -1811 and the Change is -74.
12:25 BREAKING DOWN
12:26 Did Algos also leave for the weekend? Flat.
12;28 It has been a long and boring period with a huge squeeze, but...new lows. Classic, in terms of how the price reversed right near the bullish break-out levels and went in the direction of the Primary.
12:33 Just a two point fall on the /ES_F before a bounce. Very slow. BB's pretty much remain in the squeeze zone so far. Price tests 30/60 minute low from the down-side.
12:36 It would be hard to break through all of that volume on the upside today...SW -1862, Change -62.
12:37 Slight uptick in Liquidity due to a moderate buy spike on DPs. Continued tests of the breakdown level with some higher highs. Could fail and break to new lows - that's what one should expect with the current levels of SW and the Change.
12:44 A failed test of the breakdown level so far, SW - 1836 and Change -62. DP's flat, Algos extended on the breakdown, but continue flat; MP is in free fall. I believe that unless the MP turns, any reversal would get faded.
12:48 Downside tested with a doji 1-min bard with a very long lower tail.
12:50 I've opened up 5-day 5-minute chart and apparently there is a 50 cent volume null in the upper range of the day:
12:52 We didn't break lower on the down test, so now we're testing up again. No help from accumulators; SW -1790 and the Change -60.
12:57 If the Change was in low 20's right now, I would be screaming "LOD". The Primary is at +2302 and should get to sub zero by the close, which is really nice.
12:59 Another failed upside test and we are moving into the lows of the day...
1:00 NEW LOWS, but the Change is somehow -52. /ES_F is now 3 points going into the lows, still weak downside pressure. Today's range is now 18.25 points, given the weekend and all, I wouldn't give it more than plus 3-4 points until the close.
1:04 Meanwhile, we are into the volume null on the 2-year - price sits exactly on its upper boundary. Steve Hammer suggests that it should get filled - I partially agree; however, there is a stealth and unfilled gap up from Wednesday - so I would look for support right near the Tuesday close.
1:16 Bouncing near the lows, Algos are selling, so as every single accumulator; SW -1853 and the Change -52.
1:20 Most expiring SPY calls are way above of today's levels; 192 and 195 puts have very high open interest. They really might push it below 192. Price sits on the lows, third test for /ES_F with declining highs, I guess a break.
1:22 New lows, SPY gets below 192 and the price is right on the channel support. First breakdown leg was 1.5 points, second was 2 points, this one (third) is also two points so far.
1:29 DP's are buying into the lows, but with very low volumes. SW -1870 (very consistent) and Change -53. Given this consistency in the Change, I doubt any kind of reversal would happen, unless triggered by the program activity. The behavior might change to the same kind we saw in the afternoon yesterday - new low and a lower high, which is immediately faded.
1:31 Noticeable spike on the DP liquidity - but volumes barely move overall liquidity.
1:35 Previous breakdown level test. SW -1787, Change -40.
1:41 A successful test, price is in the zone between 1st/2nd breakdown. No support from accumulators; only DP's continuous buying with low volumes - highest on the day. Change consistent at -40.
1:51 A successful close of the current 30-minute bar could set up something...meanwhile, SPY MP and Liquidity appear overextended down:
1:53 Price approaches the upper boundary of the downside move channel. Change -39.
2:00 PM: Last 30-minute bar has made a higher high, but closed as a "weak" doji with a big upper tail; SW -1841 and the Change -41:
Price had two failure in testing the first breakdown levels. I would expect a pullback and some consolidation going into the next half-hour. Change is -34 now.
2:09 Testing down. At this time period, double-bottom reversals with some consolidation appear...I love these set ups.
2:12 And it bounces quite strongly! At the same time, BB's are squeezing and channel resistance line becomes closer and closer - a reversal setup. But expectations of a reversal shouldn't be too big - a close above the breakdown level would be considered a success.
SW -1901, Change -37
2:19 A third test of support after a reversal half-way to the previous resistance. I usually say that, "After the price tests a level twice, the third test is lethal".
2:24 Yep, new low. It would be interesting to see how far would it go, given the consistency of the previous down-swings.
2:25 Two points so far, just like the 2nd and the 3rd.
2:27 Two and 1/2.
2:28 Further buying into weakness on DP's.
2:39 Down tested, range contraction. SW stronger at -1928, Change -31.
2:41 Strong pull from another double bottom, four 1-min green up bars. Change -29.
2:46 Big extension bar at 2:44, testing descending resistance. Change -28.
2:47 A test of resistance on time-chart of SPY. Still a long way to go for a tick /ES_F.
2:48 SPY MP flattening over the past 5-8 minutes. So as ALGOS.
2:49 A set of programs is running, /ES breaks the channel, SPY approaches the top of the volume null, Change -26.
2:55 Change -24, SW -1795.
2:58 First buying on Algos has occured over the past 10 minutes, SPY MP flattening, so as the VXX MP.
3:00 Another BREAKOUT, SW -1778 and the Change -17. Price has tested the original breakdown level (morning low, green line).
3:03 Price is into 60m range. Change -16. Algos buyers, MP slightly up.
3:10 Breakdown level tested, breakout above has failed. Change -14, SW -1720.
UPDATE 3:30: Change -9, SW - 1714. MP flat, Algos selling. Price tests breakdown levels after a pullback.
3:37 Price is vertical and higher into the range, testing open level. SW -1554, Change -1. An uptick in liquidity.
3:46 A 60 CENTS SPY 1 MINUTE BAR JUST WENT DOWN, CHANGE +5, SW -1446.
3:55 SW -1464, Change +3. The value of the Primary is -599. Excellent!
4:00 SW closed at -1601, Change at -4, the value of the Primary at -606.
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