iBankCoin
Home / Tag Archives: $NDX (page 18)

Tag Archives: $NDX

Contextual Roundup Ahead of A Busy Week

Nasdaq futures are down a bit overnight, currently trading near the lows of yesterday’s range.  The economic calendar was quiet mostly during the globex session, with the main release being UK CPI stats.  However, the real news over the pond comes Thursday when Scotland is set to vote on whether to continue as part of the United Kingdom.  The outcome of this election could send waves through the macro world as the Pound reacts.  Also on Thursday we have the BABA IPO.  But before all of that excitement we will hear from the Fed tomorrow afternoon who will be setting their QE pace followed by a Janet Yellen press conference.  Thus the market will have much new information to price in later this week.

Taking a quick look at the long term timeframe, we can see the trend on the Nasdaq composite is still up.  We can also see the fast behavior occurring in this gap zone from 14-years ago.  We are having a proper auction of these prices, both ways, to determine which side of the gap we belong on.  See below:

09162014_longterm_NQ

 

Determining what data to pull into your intermediate term composite is a matter of knowing what you want to see as far as detail.  Premarket yesterday we switched the start date to 08/25 which revealed the imbalance present in our upper balance.  Now I have pulled more data into the intermediate term composite to give the tail end a bit more detail for reference.  By doing so, we have some clear levels of interest to keep in mind as the day progresses.  Note also the lack of structure just below.  If we are not done finding buyers today, then there is scant volume structure to slow prices down until about 3980.  See below:

09162014_intterm_NQ

I have noted the short term levels I will be keying from today on the following market profile chart:

09162014_marketprofile_NQ

Comments »

Out of Balance

Yesterday I reached out to some of my fellow traders for their thoughts on a somewhat grey area of interpretation on the intermediate term timeframe—where did it begin?  By vote, it was determined the start date of our current intermediate term balance was 08/25, the Monday after a glitch at the CME resulted in a delayed start to trade Sunday evening.  Changing the volume profile to start at this session makes a significant change to the picture we see of market behavior.

If we opt to use 08/22 instead, the current volume profile is in near-perfect balance, and quiet environment where one could aggressively pursue breakouts in individual stocks.  But instead using 08/25, the downside imbalance becomes evident and suggests a bit more patience is likely to yield better entry points at the least.  I have noted the intermediate term imbalance below:

09152014_intterm_NQ

The only other way for the above profile to redevelop balance would be to blunt out on the topside via a multiday grind above the mid.

All of this analysis of past market behavior might be long history come Wednesday when we are set to hear lots of information about The Fed and their QE pace.  These types of news events as close as you will see to a guaranteed market move.  It makes sense to keep this context in mind this week, especially if the market starts grinding sideways, then we are definitely pausing until more information is made available.  This week is also option expiration for the front month index future contract as well as many other contracts.  We might see an early move because of this.  Just before the bell today at 9:15 we have some industrial production numbers which might start the futures moving ahead of the bell.

The overnight session got off to a bumpy start last night.  When trade opened in globex a wave of selling ripped through.  The volume on the move was very low and the price action erratic as if a few algos were playing ping pong.  The net result is a fairly normal 30.75 point range on volume which is slightly above normal.

I have highlighted the key levels I will be observing on the following market profile chart:

09152014_marketprofile_NQ

Comments »

Describing Change

Something to keep in mind whenever using a tool or indicator or data set to observe market behavior is the risk of confirmation bias. As objective as numbers and graphical representations of numbers are at first impression, as we shape them and select pieces from them we form our own data.  The key is perception and whether it is guided by the logical mind or the more instinctive, yet emotional mind.

One of the essential tasks for any trader is knowing when conditions have changed as early as possible.  Some strategies fare better in certain conditions, like balance.  Other strategies would be better suited for the price discovery phase.  If these concepts are a bit over your head, then I suggest taking a few hours to bring yourself up to speed with market profile. This however is not mandatory to interact with today’s post.

Below I present the same chart in every way except one—the first chart shows our developing balance as I have presented it for the last several sessions, with 08/22 being the point of change where our current balance initiated.  The second chart instead uses 08/25, the following session.  What I need your help with, traders, is determining when the CHANGE event occurred.

The implications are important for a few reasons.  I will discuss these in detail if I have at least five votes.  Observe the two charts below and simply leave a comment whether your think chart 1 (08/22) or chart 2 (08/25) marks the moment when a change occurred which led us into our current balance.  If you feel like it, add a few notes about why you answered the way you did.  See below:

09142014_0822start

09142014_0825start

Comments »

Negotiating The Other Side of Balance

Nasdaq futures are flat overnight after printing a very wide and fast range yesterday.  The spike in volatility yesterday coincided with the Apple product release.  As the event introduced new technologies, the price of AAPL stock was radically swinging, moving the Nasdaq alongside it.  The economic calendar is quiet for today’s session, however there are a few pieces of context to keep in mind.

First, tomorrow is the Thursday before OPEX, a day often reserved for shenanigans.  Second, China released their CPI and PPI data after hours tonight which might impact any Chinese holdings currently housed in your book.

Turning our attention to the auction, we can see the intermediate term still hangs in balance.  The fast action was enough to raise a few eyebrows, especially how we rejected fresh swing highs, but we do remain in balance overall on this timeframe.  This balance is best seen using a volume profile which encompasses the last 13 sessions.  I have built this profile and noted the key price levels below:

09102014_intterm_NQ

Yesterday I made several comments about 4080.  The reason was how price was behaving at this level.  Sellers made three aggressive pushes at 4080 which were absorbed by a buyer, presumably the same responsive buyer who existed on Monday in this territory.  The problem was, like any aggressive attack on a territory, it jeopardized the structure in that area.  Said in market profile terminology, by mid morning we had a very blunt “poor low” which was susceptible to breakage.  It eventually did break, we found a sharp responsive buy to new multi-year swing highs, at this point going neutral (expecting the fade back to the mean), before finally giving way to heavy sell flow for a proper mean revision on the intermediate term time frame.  On the net, yesterday was seller controlled and we printed a neutral extreme profile.  This makes hypothesizing very simple today.

I have noted the key price levels I will be observing today on the following market profile chart:

09102014_marketprofile_NQ

Comments »

Premarket Context Report

Nasdaq futures were up modestly this morning before giving up the gains as we rolled into 8am.  There are no economic events which align with this selling.  Instead it appears to simply be some early sell flow.  As we approach US cash open the Nasdaq futures are flat on a compressed 16.5 point range of trade.

Buyers pressed away from Friday’s range early yesterday morning before finding responsive selling back inside the range.  At this point expectation was for a move back to the micro composite volume point of control at 4066 but instead we found buyers who rejected the idea.  These buyers took us back up above the daily midpoint in the afternoon.  Overall price and value migrated up relative to Friday.

This is occurring inside intermediate term balance.  As this balance matures, now going on our 13th session, expectation of a break increases.  As we head into Tuesday’s trade, we are priced in the upper tail of balance.  If buyers are not strong to initiate trade away from this area, then we are likely to go explore the lower boundaries of balance in short order.  I have highlighted the intermediate term balance below:

09092014_intterm_NQ

With that in mind, I have noted the key price levels I will be observing on the following market profile chart:

09092014_marketprofile_NQ

 

Comments »

Starting The Week in Balance

Nasdaq futures are down just a touch premarket on an orderly session of price balance with a slightly below normal amount of volume transacting during the session.  We are set to hear Consumer Credit at 3pm today but have an otherwise quiet economic docket for the week.  UK GPD comes out Tuesday morning, China CPI late Wednesday, a Monthly Budget Statement at 2pm Thursday, and Retail sales and U. of M. Confidence numbers on Friday.

Long term, the Nasdaq continues to be bullish after printing an outside candle on the weekly chart.  The outside candle is often referred to as an “outside reversal” and in this case a “bearish engulfing” pattern.  The quirk to last week’s candle is the long wicks on both sides, especially the bottom.  This suggests a strong response to lower prices was able to press us well off the weekly lows.  The gap zone left behind 14 years ago is living up to the expectations of gap zones by providing fast trading action.  Overall, the market continues to sustain trade above the gap and we have to bear in mind how much energy was expended by the dip buyers and whether we see buyers initiating more risk this week:

09082014_Weekly_NQ

Intermediate term we are fairly neutral at the moment.  This can be seen best on the following volume profile which encompasses eleven session of trade:

09082014_intterm_NQ

I have noted the short term price levels I will be observing using the market profile chart below:

09082014_marketprofile_NQ

Comments »

Sunday Morning Stat Mash

Today we are looking at the range statistics of the Nasdaq regular trading session.  Although Nasdaq futures trade around the clock on globex, our focus is primarily to trade the index when the equities underlying its value are also active.  Thus, this range analysis is conducted using the trading hours from 9:30-16:15 eastern time.  This data was pulled from the IQ feed servers and compiled using about five years of trade (3/16/2009 start date).

The data has been split into two categories, up days and down days.  This information is helpful when preparing your hypothesis on the day because you have a sense of what price levels are relevant and actionable, and which ones are beyond the average reach of the marketplace.

Some notable stats include:

  • Average down day range: 35 points
  • Average up day range: 29 points
  • 2014 Average down day range: 45.5 points
  • 2014 Average up day range: 32.5 points

Usually I will use a histogram to calculate a “normal” range, considering about 68% of occurrences as normal and anything else an outlier.  What appears to more relevant in this instance is to look at the data over time to see how ranges are trending.  I applied a 10-day moving average to the daily up and down ranges.  The average daily up range is at about a 5-year low at just under 20 points.  The average daily down range is just less than 40 points.  Thus recent trading has provided about double the daily range when trading lower than higher.  See below:

09062014_UP_rangestats 09062014_DOWN_rangestats

Comments »

Balance Can Be Bumpy

Nasdsaq futures are up in initial response to a weaker-than-expected NFP data point this morning.  The news sent the dollar lower, treasuries higher, and equity prices to their high of the overnight session.  As we approach cash trade, there are also unconfirmed reports of a ceasefire protocol in The Ukraine.  The initial reaction to any sort of economic figure or news event is often difficult to glean insight into the auction.  You are usually better able to observe the reaction to the initial reaction.  Developing…

The intermediate term is balanced after trending higher for much of August.  Balance can be challenging to trade.  The risk you face is chasing longs up into the upper boundary, stopping out in the lower boundary, then going short into the lower boundary, only to again stop out somewhere near the mid.  Or you can stick with one side, wait for resolution, then adjust accordingly.  I have marked up key intermediate term prices on the following composite chart:

09052014_intterm_NQ

You can see how the pace of trade accelerated during the last two sessions relative to the tight, small profiles to the left of them.  The environment is improving for trading the Nasdaq futures.  I have noted the short term levels I will be observing on the following market profile chart:

09052014_marketprofile_NQ

 

 

Comments »

Index Futures Up on Euro Zone Surprise

draghi2Nasdaq futures are up on overnight after starting out rather weak when trade initially opened in Europe.  Traders’ attentions were focused on the Euro Zone this morning, where we were set to hear from both the Bank of England and the European Central Bank (ECB).  The UK left their rates at historic lows and will remain steady with their asset purchase targets.  The surprise came from the ECB who dropped their bank rate 10 basis points to 0.05% as well as decreased their deposit facility rate to -0.20%.  The news sent the Euro dollar falling, the US dollar rising, and US equity indexes higher.  We also saw initial jobless claims at 8:30am which was a bit higher than expectations.

Thus far, the net result was about a 25 point range on normal volume in the Nasdaq globex session.

At 10am we have ISM Non-Manufacturing composite which is listed as a high-impact event.  Energy traders will have a whole slew of oil and gasoline data to digest at 11am, and there are some Fed speakers after the market close (no Yellen).

The intermediate term has come into balance.  The balance spans 9 sessions and can be seen on the following chart.  Below this balance the volume composite is very sparse, and prices below about 4050 are susceptible to fast moves.  However, above here, we are likely to see the balancing process age a bit.  See below:

09042014_intterm_NQ

I have noted the short term levels I will be observing on the following market profile chart:

09042014_marketprofile_NQ

 

Comments »

Bend The Rules

The Nasdaq futures are up overnight after printing a normal range on slightly above average but normal nonetheless volume.  The premarket economic calendar is empty but at 10am we have US Factory Orders and the Bank of Canada rate decision.  Later in the afternoon, at 2pm, The Fed Beige Book will come out.  After hours tonight the Bank of Japan is set to release their monetary policy statement and early tomorrow morning there are several central banking activities to keep in mind from both The Bank of England and the ECB.

We discuss day-types often and their implications.  Although yesterday was a normal variation with range extension lower, a day which normally would suggest seller control on the session, you have to be aware that none of these market profile terms are concrete.  They are simply ideas for us to assess the auction and who is participating and who might be in control and how good of a job they are doing.

Yesterday we nearly printed a neutral extreme to the upside.  The afternoon rally was well timed and buyers were able to sustain their push into the bell.  Their force was not overwhelming enough to press through the high, but the high on the session was of poor quality—another feather in the bull cap.  Conversely, the taper on the low of the session was clean, the rotations lower were smooth pushes lower as well, nearly perfectly compliant with a wave 3,4,5,a,b,c type reversal.  It was fairly clear by the end of lunch that the market had done a good job finding a buyer and the auction could start anew.

This is all hindsight.  What the market has done.  What else has it done?  On a larger timeframe we pressed higher through most of August, based out to end the month, and made a fresh thrust higher to start the month.  The beginning of the month has slightly bullish skew for equities, therefore the real intermediate term assessment takes place after 3-4 sessions.  For now, I have noted the key composite levels below:

09032014_intterm_NQ

The market appears to be keen on trying higher.  Over the last week volume has been stronger on green candles.  As far as price history goes, the Nasdaq composite overshot the 14 year gap from 2000 and is now in a bit of a fast zone from back in the dot com mania.  The market appears to be trying to find a seller up here by exploring higher.

Finally, I will be using the following market profile levels to aid my hypothesis process in determining what the market is likely to do from here:

09032014_marketprofile_NQ

Comments »