Quarter-End Rotation Is in Focus

Follow @MrTopStep on Twitter and please share if you find our work valuable!

Every week, MrTopStep invites traders to an “Own the Close” contest where the closest guesstimate where the SPX will settle on Friday’s 4:00 cash close.

The winners get a free week's access to the MrTopStep Chat and trading tools. Enter your guess now!

Our View

Ever since the ES made its 5588.00 all-time high on June 20, it's been one failed rally after another. 

I said yesterday that I do not think it's a good idea to buy into the rallies. I think the answer is simple and it's called the June quarter-end. So I went back and looked at what the net of all the recent 3:50 cash imbalances were and 9 out of 16 days were for sale for a total of $20.85 billion and 7 days were to buy for a total of $7.93 billion – for a net of $12.92 billion to sell. 

It looked that way for the past week or so, as we fell into this funky price action where the ES is doing the exact opposite of the NQ or YM or RTY – it's all part of the non-stop ETF/stock sector rotations for the end-of-the-quarter rebalance. 

As you can see by the imbalance data, someone has been selling. According to Dow Jones Market Data, the Nasdaq and Dow have moved in different directions in eight out of the past 10 trading days, something that hasn’t happened since a 10-day stretch ending in April 1995. It's a big stat that shows massive amounts of money moving in and out. 

But maybe it’s about the rebalance story.