Why You Should Eat Your Wheaties

Well, I’ve got good news
and I’ve got bad news.
  The good news is that Wednesday’s range was
wider than Monday’s anemic 8 point range. The bad news is that it was only wider
by a 1/2 point! The September S&P futures (SPU and ESU) opened Wednesday’s
session with a small 2 point gap after a 7.25 point overnight range. Local
sellers closed the gap and then some before a Merrill Lynch seller planted
himself just above Tuesday’s close at 989 and sold into every attempt to reverse
through it.  After the contract managed to grind its way back into positive
territory, Goldman Sachs was a good seller of a couple hundred SPU and sealed
its fate for the rest of the session. Locals jumping in front of GSCO
intensified the selling down to the lows of the session at 984.00.  The futures
took the rest of the session off, but woke up temporarily to fall out of bed on
light volume on the release of the Fed’s Beige Book.

The September S&P 500 futures posted an inside
day with a lower close of -2.50 points, and in the bottom 1/3 of the daily
range.  Volume in the September ES was estimated at 560,000 contracts, and well
off Tuesday’s pace.  The contract is right back where it was last week, wedged
between its 20-day MA as resistance, and its 50-day MA and the lower triangle
trendline as support.  We’ve logged some decent miles for trading on an intraday
basis, but the wheels have sure been spinning on a daily basis (see chart).


Wednesday was a good day to turn
your screens off after the first 3 hours because the trading “mirages” (setups
that appear and then simply aren’t there) were abundant the rest of the
day. But, eat your Wheaties, practice your deep breathing, and get ready for an
economic overload the next 2 days.  The fountain of reports starts flowing with
Thursday’s Q2 GDP and Chicago PMI reports, which are expected to come in at 1.9%
and 53.6 respectively. We also have the Weekly Jobless Claims which will be
closely watched to see if a second successive week below 400,000 can be posted,
or if last week’s drop was just a fluke.

Daily Pivots for 7-31-03

Symbol Pivot       R1 R2 R3 S1 S2 S3
COMP 1724.14 1731.21 1740.47 1747.54 1714.88 1707.81 1698.55
INDU 9200.52 9236.07 9272.09 9307.64 9164.50 9128.95 9092.93
NDX 1267.81 1273.94 1283.32 1289.45 1258.43 1252.30 1242.92
SPX 988.74 991.53 995.40 998.19 984.87 982.08 978.21
ESU 988.08 992.17 997.83 1001.92 982.42 978.33 972.67
SPU 987.70 991.40 996.20 999.90 982.90 979.20 974.40
NDU 1268.17 1274.33 1284.17 1290.33 1258.33 1252.17 1242.33
NQU 1269.17 1276.33 1288.17 1295.33 1257.33 1250.17 1238.33
BKX 894.72 897.80 902.25 905.33 890.27 887.19 882.74
SOX 383.27 385.37 389.40 391.50 379.24 377.14 373.11
QQQ 31.50 31.66 31.91 32.07 31.25 31.09 30.84
SPY 99.29 99.66 100.15 100.52 98.80 98.43 97.94
SMH 31.95 32.09 32.39 32.53 31.65 31.51 31.21

Fair Value & Program Levels

Fair Value — (0.87)

Buy Premium — 0.03

Sell Discount — (2.97)

Closing Premium – (1.05)

Please feel free to email me with any questions
you might have, and good luck with your trading on Thursday!

Chris
Curran