These Levels May Be Tested
The September S&P
futures (SPU and ESU) opened Thursday’s session with a 6-point gap to
the upside, after getting a surprise in the form of a big unexpected drop in
weekly jobless claims. New jobless claims came in at 386,000, the lowest level
in almost six months. The size of the gap and the closing discount from
Wednesday’s session gave a good probability that some of the gap would be
filled. Locals were sellers at the open, but after filling two-thirds of the
gap, some of the brokers lined up to buy, catching some of the locals still
sitting short. The squeeze propelled the contract to a new high through R2
resistance at 996.
The lunchtime lull came early as the futures
settled into a tight range, but nevertheless, still holding onto the green. But,
just after 2:15 pm ET, the market cracked in a fine fashion and 15 minutes
later, had erased all the day’s gains. Those looking for a reason for the
breakdown attributed it to rumors that Salomon Bros. had been a big seller of
S&P futures, a small plane had buzzed over the President’s motorcade, and/or the
terrorist alert level was going to be raised on Thursday evening, none of which
was confirmed. The futures continued to slide the rest of the session, before
getting a tiny blip of a short-covering bounce into the close.
The September S&P 500 futures closed with a loss
of -7.25, just off the low of the session. The contract managed to spike up
through its 20-day MA intraday, but settled right back down in that area between
its 20-day and 50-day MAs. The futures are now facing 3 lines of support
starting with its 60-min trendline going back to 7/1 (see chart) and crossing at
977.50, its 50-day MA at 977, and Monday’s weekly low at 973.50. Volume in the
ES was a hefty 738,000, and a bearish increase over Wednesday’s pace. The VIX
briefly became a teenager again during the session, trading down to 19.63, but
managed to close back above 20.
                                           
Friday morning, we have the Durable Goods Orders
report, which is expected to come in at a 1.2% increase following back-to-back
monthly declines. I wouldn’t be surprised at a higher number since Boeing did
report a big increase in orders, but 1 month is just a drop in the bucket of any
sustainable trend. With the way the market ended up discounting the claims news
that it had been waiting 23 weeks to hear, I’ll be looking for those support
levels to be tested early on Friday.
Daily Pivots for 7-25-03
| Symbol | Pivot | Â Â Â Â Â R1 | R2 | R3 | S1 | S2 | S3 |
| COMP | 1714.18 | 1728.07 | 1754.69 | 1768.58 | 1687.56 | 1673.67 | 1647.05 |
| INDU | 9166.78 | 9227.15 | 9341.78 | 9402.15 | 9052.15 | 8991.78 | 8877.15 |
| NDX | 1264.47 | 1276.82 | 1299.80 | 1312.15 | 1241.49 | 1229.14 | 1206.16 |
| SPX | 987.19 | 993.30 | 1005.01 | 1011.12 | 975.48 | 969.37 | 957.66 |
| ESU | 985.75 | 992.75 | 1005.25 | 1012.25 | 973.25 | 966.25 | 953.75 |
| SPU | 985.77 | 992.53 | 1004.77 | 1011.53 | 973.53 | 966.77 | 954.53 |
| NDU | 1265.00 | 1278.00 | 1302.00 | 1315.00 | 1241.00 | 1228.00 | 1204.00 |
| NQU | 1265.83 | 1279.17 | 1304.33 | 1317.67 | 1240.67 | 1227.33 | 1202.17 |
| BKX | 892.43 | 898.32 | 909.51 | 915.40 | 881.24 | 875.35 | 864.16 |
| SOX | 388.62 | 393.75 | 402.72 | 407.85 | 379.65 | 374.52 | 365.55 |
| QQQ | 31.43 | 31.77 | 32.37 | 32.71 | 30.83 | 30.49 | 29.89 |
| SPY | 99.07 | 99.76 | 101.04 | 101.73 | 97.79 | 97.10 | 95.82 |
| SMH | 31.91 | 32.67 | 33.59 | 34.35 | 30.99 | 30.23 | 29.31 |
Fair Value & Program Levels
Fair Value — (0.90)
Buy Premium — 0.02
Sell Discount — (2.78)
Closing Premium – (1.30)
Please feel free to email me with any questions
you might have, and good luck with your trading on Thursday!
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