Watch This For An Intraday Bounce
The September S&P
futures (SPU and ESU) opened Wednesday’s session with a -4.50 point
gap to the downside, and right at the overnight Globex low for the second
session in a row. The attempt to fill the opening gap was pressured as First
Chicago methodically worked a big sell order in the first 30 minutes, selling a
couple hundred contracts at a time into any pops. S2 support survived two tests
before cracking the third time for a low-of-day print. A light-volume lunchtime
crawl back up to the open price gave way to a higher volume resumption of the
morning downtrend and a new low, with the TRIN’s grind up into bear country
adding additional confirmation. The contract’s inherent weakness could be seen
in its lighter-volume fades against any positive bounces in the TICK, before the
TICK retracements took it down another leg on higher volume.
The September S&P 500 futures closed Wednesday’s
session with a loss of -10.50 points, and finished in the lower 1/3 of its daily
range. Volume in the ES was estimated at 743,000, which was ahead of Tuesday’s
pace, and above the daily average. On a daily basis, the contract suffered some
technical damage as it confirmed Wednesday’s reversal and closed back below its
10-day MA at 1,017, and the upper boundary of this summer’s trading range at
1,015 (see chart). The contract also confirmed the reversal area on the bearish
Butterfly pattern and broke short through 1,022 on the daily 3-Line Break
chart. Tuesday’s 13-min bear flag broke with the gap down open and the chart
closed for the second day in a row at 15-MA resistance. Both the 13-min and
60-min charts closed at the first reversal areas on bullish Butterfly patterns.Â
While the Butterfly pattern has more validity after it forms after a significant
bottoming move (or a top for a bearish Butterfly), these 2 are still worth
watching for an intraday bounce.Â
                                   
                              Â
On Thursday morning, we have the Weekly Jobless
Claims number at 8:30 am ET, with a consensus of 400,000. Thursday also marks
the 2nd anniversary of the 9/11 attacks and the Chicago Merc, along with the
equities exchanges, will observe 4 separate minutes of silence at 8:46 am, 9:03
am, 9:59 am, and 10:29 am ET, with actual trading halts during the latter two.Â
The December contract (SPZ and ESZ) switches to front-month status on Thursday
morning, so be sure to manage any swing positions you may be holding in the
September contract.
Daily Pivots for 9-11-03
| Symbol | Pivot | Â Â Â Â Â R1 | R2 | R3 | S1 | S2 | S3 |
| COMP | 1835.61 | 1847.41 | 1871.01 | 1882.81 | 1812.01 | 1800.21 | 1776.61 |
| INDU | 9441.93 | 9483.48 | 9546.50 | 9588.05 | 9378.91 | 9337.36 | 9274.34 |
| NDX | 1342.47 | 1352.65 | 1373.03 | 1383.21 | 1322.09 | 1311.91 | 1291.53 |
| SPX | 1014.06 | 1018.37 | 1025.83 | 1030.14 | 1006.60 | 1002.29 | 994.83 |
| ESZ | 1014.08 | 1020.42 | 1028.83 | 1035.17 | 1005.67 | 999.33 | 990.92 |
| SPZ | 1013.10 | 1018.70 | 1025.40 | 1031.00 | 1006.40 | 1000.80 | 994.10 |
| NDZ | 1347.67 | 1358.33 | 1375.67 | 1386.33 | 1330.33 | 1319.67 | 1302.33 |
| NQZ | 1350.00 | 1364.50 | 1388.00 | 1402.50 | 1326.50 | 1312.00 | 1288.50 |
| BKX | 864.10 | 869.80 | 879.18 | 884.88 | 854.72 | 849.02 | 839.64 |
| SOX | 448.51 | 455.22 | 468.54 | 475.25 | 435.19 | 428.48 | 415.16 |
| DIA | 94.71 | 95.22 | 95.75 | 96.26 | 94.18 | 93.67 | 93.14 |
| QQQ | 33.42 | 33.74 | 34.20 | 34.52 | 32.96 | 32.64 | 32.18 |
| SPY | 102.10 | 102.66 | 103.35 | 103.91 | 101.41 | 100.85 | 100.16 |
| SMH | 36.63 | 37.26 | 38.34 | 38.97 | 35.55 | 34.92 | 33.84 |
Fair Value & Program Levels
Fair Value — (2.16)
Buy Premium — (0.88)
Sell Discount — (3.01)
Closing Premium – 1.08
Please feel free to email me with any questions
you might have, and have a good trading day on Thursday!
Chris Curran
P.S. Spend 3 days with me
trading the E-minis live!Â
Click here for details.