Breaking Down Friday's Late-Day Surge

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Our View

I admit to having a rough time writing and trading the ES over the last few weeks and it doesn't make me happy. While I didn't catch the down move, I also didn't get bearish after it sold off — which would have been the ultimate mistake. Going into Friday's number, no one was talking about the options expiration and for good reason because the 0DTE options have not produced much volatility lately. 

Due to the quieter, low volume expirations over the last few months, all that changed Friday when the markets exploded higher into the close. Last November, 0DTE were the hottest thing going — even Goldman Saches complained about them as they extended to the exchange-traded fund market in 2023. 

Now the 0DTE in the commodity markets, gold, silver, oil, natural gas and long-term Treasuries. What we know is when the markets are moving, 0DTE is involved. I said in the MrTopStep room late when the ES shot up, gamma was clearly part of the move and you could see it in the S&P futures volume. 

This week there are 16 economic releases and zero Fed speak with the big number of the week coming on Friday with the monthly jobs report. 

Our Lean — Danny’s Trade

This is Danny Riley’s personal trading plan for the day.

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MiM and Daily Recap

The ES traded up to 5249.50 at 5:00 am, traded back down to 5230.75 at 7:00 am, traded up to 5248.50 at 8:00 am and shot up to 5272.25 after the 8:30 release of the PCE price index. Excluding food and energy, costs increased 0.2% in April and 2.8% from a year ago and the ES opened Friday's regular session at 5257.75. 

After the open, the ES traded 5261.75, pulled back to the 5257.25, rallied up to the high of the day at 5270.25, bounced back up to a lower high at 5269.00 and then made a series of higher lows all the way down to 5205.50 at 12:30. For the next 2.5 hours, the ES did a slow upside back-and-fill and printed 5240.50 at 3:00, did a small down-tick, traded up to 5249.50 at 3:30 and then the fun began with the late day options gamma. 

The next bar pushed the ES up to 5261.25 and traded 5269.00 as the 3:50 imbalance showed $5.7 billion to buy and traded up to 5299.50 at 3:59 and traded 5294.50 on the 4:00 cash close. After the 4:00 cash close, the ES ran up to 5307.00 and pulled back to 5292.26 at 4:15. 

From its 12:45 low of the day at 5205.50 to its 5307.00 high, the ES rallied 101.50 points, but from its 3:30 5241.75 low to 5299.50 at 4:00, the ES rallied  57.75 in 30 minutes and to its 5307.00 print at 4:15 the ES 65.25 points. The ES settled at 5299.25, up 46.25 points or +0.88%, the NQ settled at 18,570.75, down 35.75 points or -0.19%, the YM (Dow futures) settled at 38,825, up 594 points or +1.55%, and the RTY (Russell futures) settled at 2,080.20, up 19.20 points or +0.83%.  

The yield on the 10-year note ended at 4.512%, down from 4.55% on Thursday and the year-to-date high of 4.706% hit in late April. Gold settled at 2,347.70, down 18.8 or -0.79%, crude oil settled at 77.18, down 0.73 or -0.94%, and Bitcoin settled at 68,030, -1,315 or -1.90% on the day. Everything was moving. 

In the end, it was a big gap-up, a big selloff and a mammoth late-day rally. In terms of the ES's overall tone, whatever was going on the last 5 sessions got wiped out. In terms of the ES's overall trade, volume was the largest since April 19th at 2.357 million, with 340k traded on Globex and 1.96 million traded on the day session.

Technical Edge

  • NYSE Breadth: 67% Upside Volume

  • Nasdaq Breadth: 55% Upside Volume 

  • Advance/Decline: 78% Advance

  • VIX: ~13 

S&P 500 — ES Futures

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ES Daily. Levels in “Our Lean”


NQ Daily. Levels in “Our Lean”

Economic Calendar

For a more complete Economic Calendar see:

Disclaimer: Charts and analysis are for discussion and education purposes only. I am not a financial advisor, do not give financial advice and am not recommending the buying or selling of any security.
Remember: Not all setups will trigger. Not all setups will be profitable. Not all setups should be taken. These are simply the setups that I have put together for years on my own and what I watch as part of my own “game plan” coming into each day. Good luck!

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