Here’s What Was Significant About Tuesday’s Range

November 12, 2003
Chris Curran

The December S&P 500 and Dow futures opened
Tuesday’s session with small gaps to the downside, after tight overnight
ranges. After closing the gap into 13-min resistance, broker selling took the
upper hand to pressure the ES down through its 20-day MA to test S1 at 1,042.75
and print the session low. The subsequent rally attempt ran out of steam at the
Daily Pivot at 1,047.75 and the contract drifted down to oscillate between
Monday’s low and close in the 1,044-46 area. The afternoon grind turned into a
test of trading discipline as another move to S1 and the session low held before
the contract settled for basically a scratch day.

The December S&P 500 futures closed Tuesday’s
session with a loss of -0.50 point, and finished in the upper 1/2 of the daily
range. The December Dow futures closed the session with a 21 point loss, and
also finished in the upper 1/2 of its range. Volume in the ES and YM was
estimated at 495,000 and 42,000 contracts respectively, which was below Friday’s
pace and below the daily average. On a daily basis, the ES spiked below its
20-day MA and the 38% Fib retracement of the 10/24-11/7 move, but was able to
close back above those levels. The YM confirmed a short-term top with the close
below its 20-day MA and is testing its 50% Fib retracement of the 10/24-11/7
move. On an intraday basis, the ES has formed both 30-min and 60-min triangles,
with their 200-period MAs acting as support.

Wednesday brings another absence of economic
reports. Given the high-range close and 3 down days in a row, I’d normally be
looking for at least a firm opening, however, based on the close, the ES is
facing 60-min resistance at 1,046.50 (unless something happens overnight). Both
the ES and YM printed a “NR7” day, so if we’re good, the market gods may also
give us some range expansion to play with.