The Market Is Rolling Over (ES)

2022年3月23日

The short squeeze, as I believe this rally has been, has run out of steam. Open interest information all last week and Monday was blurred by rollover activity from the March to June contract. Nevertheless, this market has been losing open interest the whole way up this rally.

The volume weighted directional bias indicator has been showing divergence on the 30 minute chart for 2 days now. This indicator has proven very useful in identifying trend exhaustion through divergence. Lower highs (or higher lows in a bear market) indicate waning momentum. It nearly always shows divergence in the last 2-3 waves of a trend.

So far the the trading day today has been presenting as a very choppy inside day. Days like today are not very ideal to trade. What I will be watching for today is whether we close on either extreme of balance. If the day closes on the lows of the session, or even extends range lower into the close (a late spike), then it is time to start looking for opportunities to sell aggressively into any market strength tonight or tomorrow.

I will add an update after the market close this afternoon.

2022年3月23日

注释

Well we did indeed get our late spike down. This shows that even though we had a choppy inside day most of the day, the sellers won the auction in the end.

I'll be interested to see if we added open interest on a lower close today. You can check the CME bulletin here: cmegroup.com/daily_bulletin/current/Section11_Equity_And_Index_Futures.pdf

It's updated a couple times per day. The three things to note are the date, whether it says 'preliminary' or 'final' at the top, and the total line of the open interest column.

The other factor to consider tomorrow morning besides open interest changes is the direction of overnight trading. If today's trading added open interest, and the market is set to open in or below the range of today's late spike down, then a short entry off of the 1 minute opening range will have a high probability of success. This is what I will be looking for tomorrow.

2022年3月24日

注释

It appears the market is set to open within yesterday's value area.

Open interest change from yesterday is flat at only 572 contracts added (preliminary).

I would advise patience this morning. Better trade location may present later in the day.