The overnight session featured three clean rotations higher, propelling the S&P futures as much as 20 handles off yesterday’s low and over 15 handles above yesterday’s close.
The key take away from the dynamic action is it erased the large liquidation break we spoke about yesterday afternoon, erasing all the progress it made. This adds to the likely hood that the move lower seen yesterday afternoon was in fact long liquidation and not new shorts being initiated. However, anyone overconfidently starting shorts into the move lower now finds themselves in the hole for a quad witching op ex.
Both of yesterday’s profiles are b-shaped, added additional visual confirmation to the move being long liquidation more than short initiating.
We’re currently priced right at the mouth of the liquidation which features a VAL price mark for us to gauge sentiment with. The VAL from yesterday’s first distribution sits at 1593.25.
I’ve highlighted the above price level and other key reference points in the following profile:
