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The Saratoga Futures blog will post futures related news, general market and investing items, and our support / resistance levels for the e-Mini S&P 500 futures. Click here to add the blog as an RSS%20chiclet.jpg RSS feed.  To view blog archives click here. To search the complete blog archives, please click here.

Note: Any comments that include past performance - Past performance is not indicative of  future results.

 

e-mini NDX Levels

 *** Liquidity switches from March (H) to the June (M) contract on the 11th ***

We’ll be on hiatus, so today is the last note until the 15th.

The March e-mini NDX (NQ) traded in a tight range of 84 bps yesterday, with no test of Tuesday’s high or low and it closed down 0.50 points at 1852.  Yesterday’s equity session started strong and NQ reached its 1861.25 high within the first 90 minutes.  Over the next half hour, NQ retested the high twice before it rolled over.  The decline paused near the morning low (1851.50) before NQ sold off again and tested the 1848 level (1845.75 low).  The rally off the low found resistance at 1853, the bottom of the 1853 to 1894 range from 12/24 to 1/20 mentioned yesterday.  We also noticed that 1856 has provided resistance over the past 2 days, it is a Fibonacci extension based on the trading between 2/5 and 2/25.  Overnight trading took NQ below yesterday’s low (1844.25), with it back in positive territory at the moment.  Support @ 1848, 1841.75, 1825, 1813.75, 1804, 1788.75 and 1774.50.  Resistance @ 1864, 1871.75, 1886.75 and 1902.75.

Chart Source: TradeStation

Posted on Thursday, March 4, 2010 at 09:48AM by Registered CommenterJay L in | Comments Off

e-mini S&P Levels

*** Liquidity switches from March (H) to the June (M) contract on the 11th ***

We’ll be on hiatus, so today is the last note until the 15th.

The March E-Mini S&P (ES) closed 1118.50 yesterday, up 1 point to extend its win streak to 4 days.  There was no test of the 50% Fibonacci retracement (1126.25 vs. 1125 high), but the 1119.25 level provided resistance.  At the start of yesterday’s equity session, 1119.25 provided support as ES was on its way to the 1125 high about 90 minutes later.  From the high, NQ trended lower and about 3 hours later it retested 1119.25.  The break of the level took ES to the 1115.50 equity session low (1115 low on the day) before it rallied back to test 1119.25 over the final hour.  Volume was up a little, but it remains very weak.  Following up on yesterday’s comment about how it’s difficult to be bullish here, we take a look at the S&P Depository Receipts (SPY) instead of ES because some candlestick formations don’t apply in 24 hour markets.  Notice the long upper shadows in SPY over the past 2 days – early rallies are being sold off into the close – not a bullish sign.  Overnight trading took ES below yesterday’s low down to 1114, with it back near unchanged ahead of Jobless Claims.  Post claims, ES is back testing the 1119.25 level.  Support @ 1119.25, 1108, 1103, 1096.25, 1084.50, 1069.50 and 1061.  Resistance @ 1126.25, 1131.75, 1148.25, 1153, 1168.25 and 1184.

Chart Source: TradeStation

Posted on Thursday, March 4, 2010 at 08:47AM by Registered CommenterJay L in | Comments Off

Bank Index

In our original post from 2/22, BKX was approaching the top of a symmetrical triangle formation (definition).  It closed above the top of triangle that day, but not above our 48.3 threshold.  Since then, BKX has oscillated around the top of the triangle.  The threshold is now a close above 48.15 and a breakout still projects near 58.  Chart Source: TradeStation

Posted on Wednesday, March 3, 2010 at 12:43PM by Registered CommenterJay L in | Comments Off

e-mini NDX Levels

*** Liquidity switches from March (H) to the June (M) contract on the 11th ***

The March e-mini NDX (NQ) rallied up to 1862.25 yesterday - no test of the 1864 level – but it faded over the final 2 hours to close 1852.25, up 52 bps.  NQ began yesterday’s equity session above the 1848 level and traded sideways with a slight upward bias into the 1862.25 high 4 1/2 hours later.  From the high, NQ moved lower and 2 hours later it tested the 1848 level (1846.50 low, 1842.50 low on the day).  1848 held and NQ ticked up a bit into the close.  Yesterday’s reversal off the high could have been caused by the supply that NQ ran into from the 12/24 to 1/20 range – about 1853 to 1894.  Something we also noticed is the continued absence of volume that we also highlighted on the chart.  As long as there is no close above 1864, we see no need for further upside projections.  Overnight trading tested the 1848 level (1847.75 low), with NQ back in positive territory here.  Support @ 1848, 1841.75, 1825, 1813.75, 1804, 1788.75 and 1774.50.  Resistance @ 1864, 1871.75, 1886.75 and 1902.75.

Chart Source: TradeStation

Posted on Wednesday, March 3, 2010 at 09:16AM by Registered CommenterJay L in | Comments Off

e-mini S&P Levels

*** Liquidity switches from March (H) to the June (M) contract on the 11th ***

The March E-Mini S&P (ES) added 3 points yesterday, as it followed through on Monday’s gain and closed 1117.50, 1 tick below the midpoint of yesterday’s narrow 1112.75 – 1122.75 range.  ES oscillated around the 1119.25 level for all of yesterday’s equity session and traded within an even narrower range of 1115.25 – 1122.75.  Volume continued to decline yesterday and the volume picture makes it difficult to be bullish here.  The decline into early February was on increasing volume and the rally over the past month has been on declining volume.  Is this a “climbing a wall of worry” kind of thing?  There was no test of the 50% Fibonacci retracement (1126.25) of the range from the October 2007 (using the December 2007 contract – 1586.75 high) to the March 2009 (March 2009 contract – 665.75 low).  A close above there and we would have to look for higher prices.  Overnight trading has been in a 4.5 point range with no test of the 1119.25 level.  Support @ 1119.25, 1108, 1103, 1096.25, 1084.50, 1069.50 and 1061.  Resistance @ 1126.25, 1131.75, 1148.25, 1153, 1168.25 and 1184.

Chart Source: TradeStation

Posted on Wednesday, March 3, 2010 at 08:43AM by Registered CommenterJay L in | Comments Off

Futures vs. ETFs 3/1/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductFutureVolumeFactor*ETFVolumeFutures Liquidity Multiple
S&P 500 ES 1,615,001 500 SPY 147,709,648 5.5
NASDAQ 100 NQ 257,074 800 QQQQ 77,290,016 2.7
Russell 2000 TF 135,745 1000 IWM 70,971,112 1.9
Gold GC 128,997 1000 GLD 12,830,851 10.1
Silver SI 26,684 10000 SLV 6,955,080
38.4
Crude Oil CL 481,835 1000 USO 9,702,257 49.7

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Posted on Tuesday, March 2, 2010 at 02:47PM by Registered CommenterJay L in | Comments Off

Electronic vs. Pit Volume 3/1/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductElectronic Volume
Pit Volume
Percent Electronic of Total Volume
Crude Oil 481,835
26,175
95%
Natural Gas 156,099
27,881
85%
Corn 189,611 23,349
89%
Soybeans 91,147 12,779
88%
Wheat 75,954
2,393 97%
Live Cattle 24,902 15,574
62%
Lean Hogs 22,177 10,459 68%
COMEX Gold 128,997 10,775 92%
COMEX Silver 26,684
991
96%
COMEX Copper 49,553 2,896 94%
Posted on Tuesday, March 2, 2010 at 02:46PM by Registered CommenterJay L in | Comments Off

e-mini NDX Levels

The March e-mini NDX (NQ) managed to close 1842.75 yesterday, above the 62% Fibonacci (1825.1) and the 1841.75 level, albeit on low volume again – 257M contracts vs. 306M average.  The last day with volume more than a couple percent above average was on February 5th, which was 40% above average.  Volume on 2/23 was less than 1% above average and on 2/25 it was less than 10% above; otherwise 13 of last 15 days have seen below average volume.  There was no test of the 1825 level during yesterday’s equity session (1825.75 low, 1818.50 low on the day) and 90 minutes in, NQ reached the 1841.75 level.  For the 5 1/4 hours that followed, NQ traded sideways between 1840.75 and the 1848.50 high.  Yesterday, we thought a close above 1825 would take NQ between 1848 and 1864 and we’re already there.  Overnight trading took NQ up to 1854.50, with it still above the 1848 level at the moment.  Support @ 1848, 1841.75, 1825, 1813.75, 1804, 1788.75 and 1774.50.  Resistance @ 1864, 1871.75, 1886.75 and 1902.75 (new).

Chart Source: TradeStation

Posted on Tuesday, March 2, 2010 at 09:13AM by Registered CommenterJay L in | Comments Off

e-mini S&P Levels

The March E-Mini S&P (ES) managed to close 1114.50 yesterday, the first close above the 1103 – 1108 congestion area since 1/21.  Volume was light again - 1.6MM contracts vs. 2MM average.  ES tested the 1108 level for the 1st 30 minutes of yesterday’s equity session (1106.75 low, 1103.50 low on the day) and then it trended higher for the next 2 hours up to 1114.75.  From there, ES traded sideways between 1111.50 and 1115.50 (the high) for over 4 hours.  With the close above the 1108 level, we no longer have buyer’s remorse on our short ES idea.  We looked back at the range from the October 2007 (using the December 2007 contract – 1586.75 high) to the March 2009 (March 2009 contract – 665.75 low) and ES is approaching the 50% retracement again – 1126.25.  ES was above the retracement from January 4th through the 20th before it moved down to 1040.75 on February 5th.  Not far from the retracement is a Fibonacci extension drawn from the 2/5 low – 1129.  Let’s see if ES has the legs to close above those levels.  That could cause bears to throw in the towel.  Overnight trading took ES to 1122.75, with it still above the 1119.25 level.  Support @ 1119.25, 1108, 1103, 1096.25, 1084.50, 1069.50 and 1061.  Resistance @ 1126.25 (new), 1131.75, 1148.25, 1153, 1168.25 and 1184 (new).

Chart Source: TradeStation

Posted on Tuesday, March 2, 2010 at 08:41AM by Registered CommenterJay L in | Comments Off

Futures vs. ETFs 2/26/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductFutureVolumeFactor*ETFVolumeFutures Liquidity Multiple
S&P 500 ES 1,944,020 500 SPY 173,589,232 5.6
NASDAQ 100 NQ 223,029 800 QQQQ 66,222,356 2.7
Russell 2000 TF 112,011 1000 IWM 60,097,936 1.9
Gold GC 132,335 1000 GLD 13,036,630 10.2
Silver SI 34,589 10000 SLV 10,804,061
32.0
Crude Oil CL 560,290 1000 USO 9,106,798 61.5

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Posted on Monday, March 1, 2010 at 03:09PM by Registered CommenterJay L in | Comments Off

Electronic vs. Pit Volume 2/26/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductElectronic Volume
Pit Volume
Percent Electronic of Total Volume
Crude Oil 560,290
22,413
96%
Natural Gas 128,619
4,542
97%
Corn 205,543 30,456
87%
Soybeans 112,326 15,054
88%
Wheat 74,675
6,980 91%
Live Cattle 19,719 13,368
60%
Lean Hogs 21,366 8,823 71%
COMEX Gold 132,335 8,942 94%
COMEX Silver 34,589
1,054
97%
COMEX Copper 35,725 2,090 94%
Posted on Monday, March 1, 2010 at 03:08PM by Registered CommenterJay L in | Comments Off

e-mini NDX Levels

The March e-mini NDX (NQ) found resistance at its 50 day average on Friday (1821, 1821.4 today) and closed 1818.50, back above the 1813.75 level.  NQ found support at the 1804 level for the first 40 minutes of Friday’s equity session (1803.50 low) and then it moved past the 1813.75 level 10 minutes later.  Over the balance of the day – almost 6 hours – NQ stayed above 1813.75 for all but 1 minute.  NQ hit the 1822.25 high 3 separate times over a span of 5 1/2 hours and pulled back each time.  Overnight trading reached 1831.50, with ES now back near the 62% Fibonacci retracement (1825.1).  Is today the day NQ closes above the retracement?  If it can, look for a move up between the 1848 and 1864 levels.  Support @ 1813.75, 1804, 1788.75, 1774.50, 1762.25 and 1744.75.  Resistance @ 1825, 1841.75, 1848, 1864, 1871.75 and 1886.75.

Chart Source: TradeStation

Posted on Monday, March 1, 2010 at 09:19AM by Registered CommenterJay L in | Comments Off

e-mini S&P Levels

The March E-Mini S&P (ES) found support at the 1096.25 level (the low) and resistance at its 50 day average (1104.9) and 62% Fibonacci retracement (1106.4) on Friday (1107.75 high) and closed 1103.50, inside the 1103 – 1108 congestion area for the 5th time in the past 7 sessions.  In a slightly longer span, 8 of the past 9 session have seen below average volume, only Thursday’s wild session was above average.  Friday was also the 2nd consecutive day that ES found support on the level, the low was 1084.50 on Thursday.  ES tested the 1103 level for the first 30 minutes of Friday’s equity session and then it dipped to the 1096.25 low 10 minutes later.  It took 15 minutes to get back to 1103 and then ES traded in a sideways range between 1099.50 and 1106.50 for almost 6 hours, over the final 2 hours the range shrunk to 4.25 points.  Over the weekend we had buyer’s remorse.  ES has not been able to close above our 1109.50 short sale stop and we are ready to get back in thinking that close will not come.  A close today below the 50 day average and we’ll short again on the overnight reopen with the stop on a close above 1109.50.  With the tight stop, we’ll look to start covering somewhere around 1069.50 to start.  Overnight trading had ES up to 1111.50, but its back near the 62% Fibonacci at the moment.  Support @ 1103, 1096.25, 1084.50, 1069.50, 1061, 1051.75 and 1036.  Resistance @ 1108, 1119.25, 1131.75, 1148.25, 1153 and 1168.25.

Chart Source: TradeStation

Posted on Monday, March 1, 2010 at 08:41AM by Registered CommenterJay L in | Comments Off

Futures vs. ETFs 2/25/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductFutureVolumeFactor*ETFVolumeFutures Liquidity Multiple
S&P 500 ES 2,697,610 500 SPY 259,634,688 5.2
NASDAQ 100 NQ 353,568 800 QQQQ 97,961,296 2.9
Russell 2000 TF 137,099 1000 IWM 51,955,952 2.6
Gold GC 200,067 1000 GLD 23,400,304 8.5
Silver SI 80,372 10000 SLV 11,448,665
70.2
Crude Oil CL 490,036 1000 USO 13,960,372 35.1

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Posted on Friday, February 26, 2010 at 03:41PM by Registered CommenterJay L in | Comments Off

Electronic vs. Pit Volume 2/25/10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

ProductElectronic Volume
Pit Volume
Percent Electronic of Total Volume
Crude Oil 490,036
20,743
96%
Natural Gas 143,232
4,189
97%
Corn 199,935 46,901
81%
Soybeans 136,590 20,047
87%
Wheat 72,645
8,033 90%
Live Cattle 19,523 11,590
63%
Lean Hogs 27,565 10,281 73%
COMEX Gold 200,067 16,720 92%
COMEX Silver 80,372
5,630
93%
COMEX Copper 52,845 1,369 97%
Posted on Friday, February 26, 2010 at 03:41PM by Registered CommenterJay L in | Comments Off

Euro in Big Hedge Funds’ Crosshairs 

The Wall Street Journal is not the first to comment on the magnitude of the wagers against the euro (the Financial Times took note nearly two weeks ago: “Speculators raise record bets against euro“). But the Journal offers a spectacle sure to inflame sentiment in Europe: that of major hedge funds feasting first on lemon-roasted chicken and filet mignon and later the euro:  More>>

Posted on Friday, February 26, 2010 at 11:06AM by Registered CommenterJay L in , | Comments Off

Q4 GDP Revised to 5.9% 

The headline GDP number was revised up to 5.9% annualized growth in Q4 (from 5.7%), however most of the improvement in the revision came from changes in private inventories. Excluding inventory changes, GDP would have been revised down to around 1.9% from 2.2%.  More>>

Posted on Friday, February 26, 2010 at 11:05AM by Registered CommenterJay L in | Comments Off

Credit Market Overview

“Unless further measures are taken to reduce the budget deficit further or the economy rebounds more vigorously than expected, the federal financial picture as presented in the projections for the next decade will at some point put pressure on the [United State’s] Aaa government bond rating.”  So wrote Moody’s Investor Service earlier this month.  More>>

Posted on Friday, February 26, 2010 at 11:05AM by Registered CommenterJay L in | Comments Off

Scientists Find First Physiological Evidence of Brain's Response to Inequality

The human brain is a big believer in equality -- and a team of scientists from the California Institute of Technology (Caltech) and Trinity College in Dublin, Ireland, has become the first to gather the images to prove it.  More>>

Posted on Friday, February 26, 2010 at 11:04AM by Registered CommenterJay L in | Comments Off

e-mini NDX Levels

For the 2nd time in 3 days, the March e-mini NDX (NQ) recovered from a sharp selloff.  Unlike Tuesday’s 88 bps bounce off the low that resulted in a 1.1% loss, NQ managed to rally 1.3% off the low and close down 3 bps (1813.50).  NQ moved below the 1788.75 level at the start of yesterday’s equity session and stayed below for over 4 hours (1780.50 low).  Once it moved above the level, it took only 20 minute to reach the 1804 level.  After an hour pause at 1804, NQ resumed its rally to the 1816 and over the final 30 minutes found resistance at the 1813.75 level.  Yesterday’s close took MACD back above 0, so that is no longer resistance.  That leaves the 50 day average (1820.8) and the 62% Fibonacci retracement (1825.1) of the 1/19 (1895.75) to 2/5 (1710.75) decline as resistance.  Overnight trading has NQ in a narrow 77 bps range, having already tested the 50 day average (1822.25 high) and it is now back below near the 1813.75 level.  Support @ 1804, 1788.75, 1774.50, 1762.25, 1744.75 and 1731.50.  Resistance @ 1813.75, 1825, 1841.75, 1848, 1864 and 1871.75.

Chart Source: TradeStation

Posted on Friday, February 26, 2010 at 09:13AM by Registered CommenterJay L in | Comments Off
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