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Chalk up the Memorial Day holiday to another low volume, narrow trading range grind in the S&P 500 futures. After trading down to 2407.75 on Globex the (ESM17:CME) short covered up to 2409-2410 area before the open. On the open The (ESM17:CME) traded 2409.75, rallied up to to an early high at 2413.50 around 10:00 CT, sold off down to 2408.00, and then stutter stepped up 2414.50 going into 12:30. After that the ESM traded in 3.5 handle trading range until late in the day when the MiM showed Sell $110 million, then dropped down to $263 million for sale on the cash close pushing the future down to 2410.25 on the 3:15 futures close.
Not sure what to say. It's not even June yet and there have been several weeks of narrow trading ranges. I warned back in the beginning of May the markets would get really slow in July, but now I am convinced the ‘summer markets’ have already begun.
The VIX hit an all-time low monthly close is 10.42, the first time since January 2007. I know there have been a lot of slow periods in the past but this is different. There was never a time in recent history that volumes were this low. Part of it has to do with the daily risk rewards, and the other part is the VIX is at historically low prices. Last Friday the ESM settled at 2413.80 with a total volume of 875,000 contracts traded, and yesterday it settled at 2411.00 with a hair over a million contracts traded, down -0.12% on the day. Oil Trades Better Than ES
Oil fell yesterday after OPEC's announcement last week to extend its production cuts into 2018 to alleviate a global oil glut as US rig count continues to climb.
Russell 2000 Coming Home:
Transitioning E-mini Russell 2000 Positions from ICE to CME
When the Russell 2000 left the CME, it caused all sort of problems for our trading desk in the S&P’s. At the time we were the largest ‘roller’ in the index, meaning we did more spreads than any other desk. When the Russell moved to the ICE, it required us to bring in the ICE platform, and it wasn’t just our desk that was displeased. After they moved we heard that the transition to ICE was not a good one, and because there was no pit or locals to take the other side, the liquidity dropped, and plain and simple... people were upset. Last year I heard the Russell was moving back to the CME, and today they are transitioning back and will start trading live on July 10th. Below is a link that will help traders get a feeling for the move back to the CME.
https://www.cmegroup.com/education/t...s_russell_2000 While You Were Sleeping
Overnight, Asian markets were mostly higher in a very quiet trade, followed by Europe which is showing all majors in the green right now. In the U.S. the S&P 500 futures opened the overnight session at 2410.50 and immediately made a 2410.00 low before rallying up to 2413.50 early in the Euro session. From there, the futures traded back to the open, and has since pushed up to 2415.75. As of 6:53 am the most recent print is 2415.25 up 4.50 handles, on volume of 96k, with the futures in a 5.75 handle range.
In Asia, 7 out of 11 markets closed higher (Shanghai +0.24%), and in Europe 11 out of 12 markets are trading higher this morning (FTSE +0.55%). Today’s economic calendar includes the 2-Yr Note Settlement, the 5-Yr Note Settlement, the 7-Yr Note Settlement, the 10-Yr TIPS Settlement, MBA Mortgage Applications, Robert Kaplan Speaks, Redbook, Chicago PMI, Pending Home Sales Index, Beige Book, Farm Prices, and John Williams Speaks. Buy S&P / Sell Crude Oil
Our View: There was a total lack of trade yesterday. Maybe it had to do with the holiday, and maybe it had something to do with the VIX, but whatever the case, there was no trade. Our view is that, today being the last trading day of May, there could be some selling / profit taking at the end of the day. We lean to buying weakness and selling rallies as ‘thin to win’ may play out.
Market Vitals for Wednesday 05-31-2017
As always, please use protective buy and sell stops when trading futures and options.
- In Asia 7 out of 11 markets closed higher: Shanghai Comp +0.24%, Hang Seng -0.16%, Nikkei -0.14%
- In Europe 11 out of 12 markets are trading higher: CAC +0.28%, DAX +0.55%, FTSE +0.48%
- Fair Value: S&P -0.88, NASDAQ +1.38, Dow -11.33
- Total Volume: 1.03mil ESM and 2.4k SPM traded