Fryday Week 4

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Our View & Lean

It's the week 4 FRYday options expiration. Yesterday we were looking for the PitBull Tuesday low that came in at 4896.75 and then rallied 28.75 points off the low, that’s the good thing. The bad thing is the ES that closed on its high at 4929 just traded down to 4909.75 on Globex. I have mixed feelings about today. The first part is the ES has made a few lower highs and has not really broken down through the 4900 level. What I can say is that the 20- and 30-point rallies have been failing, if that pattern continues today I think it's quite possible we trade down in the first part of the day. That doesn't mean we can't rally, it just means there are lots of stops building up under 4896.00 that go down to 4888 and then down to 4877. If  the ES gaps lower, I am buying the open and selling rallies in the first part of the day. If volume dries up, we will bounce.

If today’s number comes out good and the ES and NQ start going up, we could see 4950

MiM and Daily Recap 

After trading down to the 4895 area on Globex, the ES traded up to 4920.50 and opened Thursday's regular session at 4819.00. After the open, the ES traded down to 4912.50, rallied up to 4920.25, sold off down to a new low at 4910.75 at 10:47, traded up to 4926.50 at 10:25, and then pulled back under the vwap down to 4911.25 at 11:06. After the pull back, the ES rallied back up to a lower high at 4824.25 at 11:55, dropped down to a 4909.25 double bottom at 12:09, rallied up to 4915.00, sold off to another new low at 4904.50 at 12:53, rallied back up to 4816.25, and then sold off down to a new low at 4903.50 at 1:38. After the low the ES rallied up to the 4911 level,  sold off back down to a new low at 4896.75 and then bounced up to 4917.00 going into 3:42 as the early imbalance showed $21 million to buy. The ES pulled back to 4912.00 and traded at 4915.00 as the 3:50 cash imbalance showed $1.8 billion to buy, traded up to 4923.50, and traded at 4925.00 on the 4:00 cash close. After 4:00, the ES down ticked and settled at 4919.00 on the futures close, up 24.25 points or +0.43%. The NQ settled at 17,589.00, down 32 points or -0.24%, the YM closed close to unchanged, and the RTY settled at 1,991.40, up 20 points or 0.97% on the day.

In the end, it had looked like the Bears won the day but the late buy program and $1.8 billion to buy set things straight. In terms of the ES's overall tone, it was all buy-and-sell programs. In terms of the ES's overall trade, volume was steady, 251k ES traded on Globex and 1.2 million traded on the day session for a total of 1.451 million contracts traded. 

The 3 Parts of the Trading Day And The 3:50 NYSE Order Imbalance 

Late in the day at 2:53 the ES traded down to 4901.00, right off the lows of the day but the early imbalance was showing small to buy. Knowing the ES was holding above the 4900 level and knowing it was the 3rd part of the trading day, I posted that it was the hour of power and by 3:54 the ES was 25 points higher. If you didn't know, the three parts to the trading day is what happens on Globex, what happens after the 9:30 ET open. and what happens in the final hour  (3:00 to 4:00 (ET). If you don't think the imbalances provide a direction, just look at the last two days. 

MIM : Dboy : (2:55:52 PM) : the hour of power on tap

MIM : Dboy : (2:56:16 PM) : sellem down all day and hold 4900

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Levels from Polaris Trading Group:


Bull Scenario: Price sustains a bid above 4925, initially targets 4935 – 4945 zone. 
Bear Scenario: Price sustains an offer below 4905, initially targets 4890 – 4885 zone.

Transition from Cycle Day 3 to Cycle Day 1
This leads us into Cycle Day 1 (CD1): Average Decline measures 4892. Price continues to consolidate between 4905 – 4925 value area, which we’ll mark as “key” bull/bear edges. As such, scenarios to consider for today’s trading.

Range Projections and Key Levels (ES) March 2024 (H) Contract
HOD  ATR Range Projection: 4956; 
LOD ATR Range Projection: 4874;
3 Day Central Pivot: 4905; 
3 Day Cycle Target: 4951;
10 Day Average True Range  46; VIX: 13

Guest Posts

SpotGamma is one of the shining stars of the options markets. If you have never heard of them or already know of them and have never signed up for their options flow products or the SG Academy, I fully suggest you check them out and add them to your trader’s toolbox.

Here’s a snippet from them:

Periods of all-time highs can be psychologically confusing; however, this can be overcome with a grounding in the market structure models. As traders, we tend to have a deep memory of each of the SPY levels and what they mean to us. 400, 450, 480… these all tell stories. 

But then, when the price enters into new territory (toward 490+), we lack anecdotal memory to fall back on because the price is in blue skies. However, rather than become adversely susceptible to anchoring (or availability) bias by shaping our market beliefs based on what we have seen before, the options market measures for us exactly what ranges and levels are being priced in, and within the realm of the strongest probability.  


Disclaimer: For educational use only. I'm not dispensing financial advice. We are having an intellectual conversation (you and I) on the topic of trading the Emin futures using the Lens of Wyckoff Principles and the Eyes of WB's Clock. The clock that controls all turns intraday, every day!

Yesterday's Technical Review using WB's Emini Clock and Wyckoff's Tape Reading Principles.

The day opened with rising support over Globex and price was moving up in constant volume. As the 8:30 am numbers ticked, price started lifting offers. By 9:00 am price had already traded up to 4920 handle. As the market opened price started to trade in a tight range. 

On page three in the AM TURN, I wrote: Kind of day I expect: We either have a sign of strength from Tuesday's low or a Terminal Upthrust from yesterday's high. With the selling pressure from yesterday, odds favor a fade back down Tuesday's 11:30 am low. Shorts will cover. Need to see longs entering at the 4877 handle at the AM LOW with a potential "how deep is your three" down to the weekly pivot of 4855 handle. 

Strategy: Buy around 4909 to 4893 to 4883 with a stop at your comfort level. Sell half at 4916 with the other half at 4921 or wait until the market on close to exit. The idea is to get long on the AM LOW and exit at the lunch or LAST HOUR HIGH. This cycle could flip to be bearish if the 4877 handle is lost.

Perhaps you would have had to go market at the 4909 just after the numbers were released at 8:30 am to get on board for that trade. Still, it was a good trade. The 4921 handle was tested twice. Once around 10:30 am the other around 11:50 am.

Also on page three, I gave: Bears Want: 95, 88, 82. The low of day was 4896.75 I'll take it. I am not a fan of levels. I'm just looking at where we get a momentum shift as the volatility increases and liquidity enters. Usually, though, those areas are around levels.

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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!