Here’s What The Spoos Open Interest Is Showing
The September S&P
futures (SPU and ESU) opened Thursday’s session with a -2.25 point
gap to the downside after news that the Weekly Jobless Claims average had
crept back above 400,000. Locals buying off the open were able to fill 1/2
the gap before Goldman Sachs sold a couple hundred SPU contracts to test the
overnight Globex low at 1,023.75. The report at 10:00 that ISM Services was
higher than expected led to a whipsaw up to print the high of the session,
before broker selling pressured the contract back down to test Wednesday’s low.Â
It started to look like deja vu all over again as the futures chewed their way
back up to hover at the flatline during the lunchtime lull. A few failed
attempts at the high of the session gave way to “chop and slop” the rest of the
session.
The September S&P 500 futures closed Thursday’s
session with a gain of +1.25 points, and finished in the top 1/3 of its tight
daily range. Volume was estimated at 577,000, which was behind Wednesday’s
pace, but still above average. Open interest continues to decline in the SPU,
showing that some of the bigger players are exerting some caution and starting
to play some defense at these lofty levels. On a daily basis, the SPU posted an
inside day, while the ES managed to breach Wednesday’s low. On an intraday
basis, the 60-min chart continues to be a champ as the ES moves up its trendline
from 8/28 and its 15-period MA, while the 13-min chart is completing a cup and
handle (see chart). The 1-min 3-Line Break chart closed with a long bias and a
break price of 1,028.Â
                                          
As I was writing this, tech bellwether Intel (INTC)
was giving its mid-quarter update and indicating that PC sales were improving.Â
However, the futures reaction was muted as if the news was already priced in, so
be alert for a “gap and trap” open on a helium gap up. On Friday morning at 8:30
am ET, we have the anxiously awaited August Unemployment report, which is
expected to remain steady from July’s 6.2%. Aside from the real Bin Laden being
caught, I would expect volume to taper off after the first 2 hours. Have a
happy and safe weekend!
Daily Pivots for 9-5-03
| Symbol | Pivot | Â Â Â Â Â R1 | R2 | R3 | S1 | S2 | S3 |
| COMP | 1862.64 | 1876.34 | 1883.69 | 1897.39 | 1855.29 | 1841.59 | 1834.24 |
| INDU | 9579.57 | 9617.42 | 9646.94 | 9684.79 | 9550.05 | 9512.20 | 9482.68 |
| NDX | 1368.52 | 1380.80 | 1388.35 | 1400.63 | 1360.97 | 1348.69 | 1341.14 |
| SPX | 1026.44 | 1030.70 | 1033.42 | 1037.68 | 1023.72 | 1019.46 | 1016.74 |
| ESU | 1026.33 | 1031.42 | 1034.58 | 1039.67 | 1023.17 | 1018.08 | 1014.92 |
| SPU | 1026.40 | 1031.00 | 1033.80 | 1038.40 | 1023.60 | 1019.00 | 1016.20 |
| NDU | 1369.33 | 1382.67 | 1390.33 | 1403.67 | 1361.67 | 1348.33 | 1340.67 |
| NQU | 1369.17 | 1382.33 | 1389.67 | 1402.83 | 1361.83 | 1348.67 | 1341.33 |
| BKX | 880.19 | 884.01 | 887.99 | 891.81 | 876.21 | 872.39 | 868.41 |
| SOX | 452.07 | 460.76 | 465.98 | 474.67 | 446.85 | 438.16 | 432.94 |
| DIA | 96.11 | 96.58 | 96.95 | 97.42 | 95.74 | 95.27 | 94.90 |
| QQQ | 34.03 | 34.35 | 34.55 | 34.87 | 33.83 | 33.51 | 33.31 |
| SPY | 103.24 | 103.72 | 104.03 | 104.51 | 102.93 | 102.45 | 102.14 |
| SMH | 37.24 | 37.92 | 38.45 | 39.13 | 36.71 | 36.03 | 35.50 |
Fair Value & Program Levels
Fair Value — (0.25)
Buy Premium — 1.22
Sell Discount — (1.10)
Closing Premium – 0.23
Please feel free to email me with any questions
you might have, and have a good trading day on Friday!
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