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(Free) The MIM Has Been Dominating the Sell Side
Setting up for another “Fry-Day?”
Danny Riley
June 01, 2023
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Our View
According to the Stock Trader's Almanac, the first trading day of June has the Dow up 26 of the last 33 occasions (78.7%).
The MrTopStep Market Imbalance Meter — otherwise known at the MIM — has always been a good indicator for following the flow of money moving in and out of stocks. I used to say, “If you want to know where the S&P is going, follow the MIM.”
However, over the last several months/weeks, the S&P has been going up while there has been mostly large sell imbalances. In some ways it doesn't add up. If the big institutions are selling, why are the markets going up so much? I think it has to do with the big swaths of money moving in and out of stocks into bonds. We also can’t ignore that just a half-dozen names are driving almost 90% of the gains in the index.
They say timing is everything and as I was writing this, the early imbalance that was showing over $2 billion to sell just came out at $6.2 billion to sell and the ES dropped 15 points and the NQ fell 60 points in an instant.
A lot of what we have seen the last few days is various rotations, but the bottom line is that while the S&P and Nasdaq closed up 0.25% and 5.8% on the month, respectively, billions have been sold into the closes. This quarter alone, the MIM reveal total sits at $12.75 billion sold and it has had 11 straight MIM sales.
The only thing I can say is there is a lot of money exiting the stock market despite its gains. (Also, look at the MIM chart below. It highlights more data).
Our Lean
Here is my crazy view:
This is Danny Riley’s personal trading plan for the day.
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MiM and Daily Recap
The ES traded up to 4217.75 on Globex and opened Wednesday's regular session at 4194.75. After the open, the ES traded up to 4204.50 at 9:46, sold off down to 4176.25 at 10:27, back and filled, traded 4175, did another small round of back and fill, traded down a new low at 4174 at 11:37 and then rallied all the way up to 4199.25 at 2:16. After the high, the ES quickie dropped down to 4187.50 at 2:52 and then rallied up to 4203.50 and the early MIM showed $2.3 billion to sell at 3:46.
The ES traded 4200.75 as the 3:50 cash imbalance showed $6.3 billion to sell and traded 4191.75 on the 4:00 cash close. After 4:00, the ES traded down to 4187.25 and settled at 4188.25 on the 5:00 futures close, down 26.75 points or -0.63% on the day.
In the end it was a slow, choppy, downside day. In terms of the ES’s overall tone, it was weak, but did bounce off the 4175 support level. In terms of the ES’s overall trade, volume was high at 2.05 million contracts traded. The NQ closed down 0.75% or 108 points at 14,288.75, the YM closed at 32,929, down 50 points or -0.15%, the RTY settled at 1,750.90, down 20.30 points or -1.15%. The bonds settled higher, up 0.64% for its third straight day of gains.
Technical Edge
NYSE Breadth: 33% Upside Volume
Advance/Decline: 42% Advance
VIX: ~$17.25
SPY
Pretty similar setup in the SPY yesterday. Now it needs either a daily-up over $419.22 to put $420+ back in play or daily-down to open up more selling pressure.
SPY Daily
Upside Levels: $419.22, $420.50, $422.50
Downside Levels: ~$416, $414 to $414.75, $412.50
ES
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