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ES Thursday 7-16-15


Good morning to all. Most of the O/N inventory because it is above YD's settle so that is something to keep in mind as we get close to RTH open.
Currently we are opening outside of YD's range so that would define the trading plan.
There is a greenie up at 13 which lines up with the current O/N high at 13.5 . Beyond that there is a swing high at 17.5 and a greenie at 17.75
On the lower side we have a greenie at 3.75 (which is also YD's VPOC) and a prominent POC at 3.25 so that is an important area as well.
I don't know what to expect... sometimes a day like this can have a pullback in the afternoon, but this is especially unique because of the large gap UP, then balance. This day is a good set-up (if it remains relatively symmetric) for a little motion tomorrow,

With all the Greece talk, it might have slipped by a lot of people that this is OpEx week.

this might be my last post for today...
here is his latest tweet
ShadowTrader ‏@PeterReznicek 8m8 minutes ago
2118.00 - 2119.50 trendline resistance on daily #ES_F
NK,
Did you see Shadow Trader SHow?
They are certainly starting to lick their chops for some sort of a liquidity break, even if it's just intraday.

RIght now, 3:56PM ET... syetrical profile with poor High and Poor Low... big potential for movement tomorrow

and in case anyone has forgotten, tomorrow is standard Monthly OpEx.
Paul,

I did not watch it. I rarely have time to watch it because i am usually out and about. tomorrow could very likely involve some fireworks... we shall see...
Is OpEx usually linked to higher volatility or just selling?
OpEx varies greatly.
sorry. I used to have an expectation of rOpEx activity, but I quickly searched through my daily trading journals and back in 2012, I had the following notes about OpEx


Journal entry was made on Friday, 17 February 2012

Up gaps on OPEX days

here are some numbers on fading up gap on opex day.

85% of ES up gaps have filled by end of day.

88% of ES up gaps on a non quad opex(Triple WItch quarterly) have filled by end of day.

These are both with decent sample sizes. Historically, odds have favoured fading this up move.

===>>>>The above stats were from
http://eminiglobex.blogspot.com/2012/02/up-gaps-on-opex-days.html
and if anyone finds anything of historical sttistical value on web sites, please take the time to share the link.

JUL 17, 2015 CURRENT NOTE: from ME today, 20150717, These were impressive stats, but markets change all the time...and there is no time schedule for the closing of the gap (if we even get one today)
BUT, I will say this, a push up today to print near ALL-TIME High for SEP contract (based on my data thru TradeStation continuous, ) is 2124.50, see if that prints whether there can be immediate rejection, then a retest that can't get there again. Let's face it, the bulls have made the money in this run and swing traders long since Monday or last Friday might be happy to take long-side profits ahead of the weekend.

I looked through a few other journals (I break them into quarterly groupings of daily trade journal) but I didn't really find anything else pertinent.

Yo, NK,
I usually only watch ShadowTYrader early in the morning by going to the archives at TastyTrade... That's because I jump forward while they waste time trying to fill 4 fifteen minute segments when they really only have 123 minutes of things to say about "the market." I have no interest in their individual stock trades, nor do I care about how they rtrade options on the individual stocks.
WHOOPS,
In My ShadowTrader comment about the TastyTrade show, I had a typo... it was 123 minutes, that should have read 12 (Twelve) minutes.
Here's something else I found, But I cannot take the time to continue researching this, I have to get my day sheets together...

This is also from 2012 journal and are based on Gap Guy research at that time...
When Px > 10sma and > 50sma and >200sma on a Friday (Doesn't really say OpEx??, but the set-up applies to the current JUL 2015 OpEx)) if yesterday was an Up close and the Friday opens ABOVE the high of Wednesday, he calls it a heat gap and at the time (year 2012) there had been 14, 13 out of the 14 CLOSED the gap (I believe he was using the 4:15PM ES Close at the time of the study)
same year, 2012
pre open OpEx Fridays, gaps DOWN on opex Friday only fill about 47% of the time.
While above 200sma and following a 10day HIGH.

Last comment from me before open:.... see 47%, that's a coin-toss, useless info
It is dangerous to have expectations, but it wouldn't surprise me to see 2122 handle print today. (FRIDAY 7/17/15 ) and after that monitor for loss of upside momentum
If anyone is going to take profits tody, it is going to be long-sided traders, and in order for them to book profits, they have to sell.