On Tight-Range Days, This Is The Key
The September S&P
futures (SPU and ESU) opened Tuesday’s session with a small 2.5 point
gap after another tight overnight range. Local sellers quietly closed the gap
right off the open and the contract idled sideways ahead of the 10:00 Consumer
Confidence report, which came in at 76.6, well below expectations. Futures
players, keying off the continued shift away from “let’s find good news in the
bad” we’ve seen the past 2 weeks, sold the contract quickly down through S2
support at 987, before breaking a textbook “5-wave” triangle to hit the low of
the session at 981.50 (see chart). The selling snowballed as the SPU premium
plunged to almost a -7.00 discount to the cash SPX. Bonds rallied on the news,
but the party didn’t last long. The futures managed to grind back up to S2
resistance before the Saddam “aura” reared its head in the form of a rumor that
the man had been captured or killed. That was enough to send the shorts
scurrying to get covered and propelled the contract back up to test the high of
the session at 997.50. After a lunchtime sideways grind at the unchanged mark
and another attempt at the highs, the contract was pressured again as bond
yields pushed to their highest levels in almost a year.
The September S&P 500 futures closed with a loss
of -5.00, and in the middle of the daily range. Volume in the September ES was
estimated at 817,000 contract, ahead of Monday’s pace, and higher than average.Â
The contract was unable to hold its 20-day MA, but did bounce off support at its
50-day MA and the lower trendline of the triangle we’ve been tracking.
                                   
Tuesday’s excellent intraday moves are what make
enduring tight days like Monday all worthwhile. The key is to play good defense
on tight range days so that you’re around for the good ones. We may see the
range contract a bit again on Wednesday as the only economic report we have is
the Fed’s Beige Book (yawn), due for release at 2 pm ET.
Daily Pivots for 7-30-03
| Symbol | Pivot | Â Â Â Â Â R1 | R2 | R3 | S1 | S2 | S3 |
| COMP | 1729.74 | 1746.26 | 1761.13 | 1777.65 | 1714.87 | 1698.35 | 1683.48 |
| INDU | 9220.80 | 9273.35 | 9342.23 | 9394.78 | 9151.92 | 9099.37 | 9030.49 |
| NDX | 1273.40 | 1289.67 | 1304.11 | 1320.38 | 1258.96 | 1242.69 | 1228.25 |
| SPX | 990.69 | 997.23 | 1005.18 | 1011.72 | 982.74 | 976.20 | 968.25 |
| ESU | 989.50 | 997.50 | 1006.00 | 1014.00 | 981.00 | 973.00 | 964.50 |
| SPU | 989.37 | 997.23 | 1005.37 | 1013.23 | 981.23 | 973.37 | 965.23 |
| NDU | 1273.17 | 1289.33 | 1305.17 | 1321.33 | 1257.33 | 1241.17 | 1225.33 |
| NQU | 1273.17 | 1289.33 | 1305.17 | 1321.33 | 1257.33 | 1241.17 | 1225.33 |
| BKX | 896.28 | 902.23 | 909.33 | 915.28 | 889.18 | 883.23 | 876.13 |
| SOX | 388.37 | 393.61 | 400.10 | 405.34 | 381.88 | 376.64 | 370.15 |
| QQQ | 31.63 | 32.04 | 32.42 | 32.83 | 31.25 | 30.84 | 30.46 |
| SPY | 99.45 | 100.22 | 101.04 | 101.81 | 98.63 | 97.86 | 97.04 |
| SMH | 32.31 | 32.69 | 33.19 | 33.57 | 31.81 | 31.43 | 30.93 |
Fair Value & Program Levels
Fair Value — (0.88)
Buy Premium — 0.04
Sell Discount — (2.94)
Closing Premium – (0.18)
Please feel free to email me with any questions
you might have, and good luck with your trading on Wednesday!