NASDAQ futures are coming into Thursday gap down after an overnight session featuring extreme range and volume. Volatility picked up over the last 24 hours. The overnight session was balanced, chopping up near the Wednesday high until about 5am New York when sellers stepped in and drove price lower. At 8:30am jobless claims data came out stronger than expected. As we approach cash open price is down in the lower quadrant of Wednesday’s range.
Also on the economic calendar today we have ISM services index at 10am, crude oil inventories at 10:30am and then 4- and 8-week T-bill auctions at 11:30am.
Yesterday we printed a neutral extreme up. As noted above, volatility picked up yesterday morning. The day began with a gap up to new all-time highs. Sellers drove lower into the open, closing the entier gap and continuing down into the upper quadrant of Tuesday’s range before catching a bid. Buyers worked price back up to the daily midpoint. Sellers defended the mid and pressed to a new session low, briefly trading below the Tuesday midpoint before responsive buyers formed a sharp excess low. From then on the rest of the session was an auction higher, crossing up through the mid around 12:45pm and slowly regaining the upper quadrant. After flagging for about an hour buyers made one final push into the close and managed to press the market neutral right near the end of the day and close out the session near the highs.
Neutral extreme up.
Heading into today my primary expectation is for buyers to press into the overnight inventory and tag the Wednesday VPOC at 12,291.25 before two way trade ensues.
Hypo 2 stronger buyers work a full gap fill up to 12,411.50 setting up a move up through overnight high 12,438.75. Look for sellers up at 12,443.50 and two way trade to ensue.
Hypo 3 full on liquidation down to 12,107.75 before two way trade ensues.
Volume profiles, gaps and measured moves:
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