The Opening Print
Posts
Thin to Win: ES Soars as Risks Multiply

Thin to Win: ES Soars as Risks Multiply

Danny Riley
July 11, 2025

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

Our View

The ES rallied overnight and opened the regular session at 6307.75, rallied, sold off down to the support at the 6296 level, rallied up to 6335 at 2:40, chopped around off the highs, and then weakened late, trading down to the 6318 area as the 3:50 cash imbalance showed $4 billion to sell. It traded 6324.50 on the 4:00 cash close and settled at 6321.50. Most of the early trade was spent in a 15-point range.

In terms of the ES’s and NQ’s overall tone, both closed at new all-time highs. In terms of the ES’s overall trade, volume was poor, with only 888k contracts traded. Clearly, “thin to win” is working.

Despite the record closes, there was a very large rotation into the Dow Jones Transports (DJTA), which closed up 2.60%, and the Consumer Discretionary sector (XLY), which rose 1.1%.

I'm quite sure I have never seen anything like this. A sell-off into correction territory, a big rally that isn't letting up, and all the same bad shit going on. Trump pushing Putin, saying he is going to learn Ukraine, and Sergey Lavrov in North Korea. The Israeli-Palestinian conflict, Houthi forces in Yemen, China's claims to the South China Sea, the Philippines, and Taiwan are all hot spots, to name a few.

On the economic hot spots, the yield on the 10-year note edged higher to 4.35% from 4.34% in early April. The yield rose rapidly from below 4% to 4.5% within a few days and started July at 4.26%. Jamie Dimon cautioned that investors are downplaying the real possibility of higher interest rates. Speaking in Dublin on Thursday at Ireland’s Department of Foreign Affairs, Dimon described the possibility of increasing interest rates as a “cause for concern.” Dimon expressed that he views the likelihood of another rate hike as significantly higher than current market expectations.

“The market is pricing a 20% chance. I would price in a 40–50% chance,” Dimon said. “I would put that as a cause for concern.”

Bitcoin climbed to a fresh all-time high at breaking $117K, WTI crude futures fell 2.6%, gold futures closed at $3,333.70 per ounce, marking a gain of 0.38% or $12.70 from the previous day, and simultaneously, silver futures closed at $37.550 per ounce, an increase of 2.51% or $0.920. Last but not least, the DXY (US Dollar Index) gained 0.27% to close at 97.65. Everything was moving yesterday.

I am not sure that there is a comparable time frame. During the Credit Crisis, the ES rallied 20% off its low and then sold off 7.5% and then gained 4.5% over the next two months. The '87 crash only gained 0.41% from October 19th to December 4th, 1987—not very similar. But the Dot.com lows were on October 9, 2002, and the ES rallied 16.4% over the next two months. I don't pretend to be smarter than you, but I really don't think you need a degree from Harvard to see that everything is in a state of flux, and whether you understand it or not… enjoy the ride.

Our Lean

In the new world trading order, it’s really not about your charts. Over the last 5 years, equity options trading volume has increased 41.5%, and the value of today’s Week 2 options expiration is $2.6 to $2.8 trillion. It was not that long ago that the value of these expirations was in the hundreds of millions, then billions. During that time, expirations had more sway over the index markets. Today’s expiration is a lot smaller than the June 20, 2025 record, with a total notional value of $6.8 trillion.

I knew a long time ago that options volume was increasing. Over the years of working the UBS line and a few other accounts, volume was getting larger and larger during the Quad Witchings. Sometimes, if fair value was out of whack with the S&P cash, I knew a trader who would buy thousands of futures to offset his book’s options risk or his futures program position. He could have rolled more of his options, but between the opening print in the futures and the premiums, he would make over $1 to $3 million in 10 minutes on the phone.

I have to admit, it was a cool feeling that the trader and I often enjoyed talking about. His name was Steve Lau, and he would pick up the line and say, “Great job Danny, we picked up xxx$$$.” That said, there is no more free money floating around in the markets anymore. Now it’s this huge cash that moves in and out as the ES goes up and down. I think part of this buying has already started and got bushwhacked by the early Trump headline and then dumped again when this showed up:

There is never going to be a dull moment when it comes to Trump’s antics.

Our lean: I think we see higher volumes and larger ranges today. I still see major support around the 6250 area and, above there, 6274. On the upside: 6320, 6330, 6350, 6374.

I would love to see a juicy lower open to buy, but the net changes tend to get smaller as the futures open nears. While I can’t rule out selling a rip, I also don’t want to fall off track with the trend and the money trade, the upside.

Have a good weekend, and thank you for being part of the Opening Print.

Guest Posts:

SpotGamma Founders Note:

Get instant access to our partners’ real-time market data and insights not available anywhere else. Here is last night's Founder’s note getting you ready for today’s market and explaining the constraints in yesterday’s market. - MrTopStep

Founder's Note:

Futures are off 50bps with no data on the tape. Traders are blaming the 35% Canadian tariff proposal for the drawdown - but we think this is just "overbought tremors".

Vols are mildly higher, but we'd expect those vols to get sold today in front of the weekend, with a big positive gamma bar at 6,250 there to add some support.

If you look at SPX term structure there is very low vol for the rest of July. despite CPI & FOMC, and a clear uptick tied to the 8/1 tariff deadline. We have been advocating for traders to sell call skew and/or buy puts into next week as we think that low IV expectation for the rest of July could be wrong. A kicker for that trade is you are getting into puts at objectively low IV's which means low carry costs...particularly for longer dated puts that will hold 8/1 event vol premium. We like 2 or 3 month expiration SPX puts, and possibly 1-month risk reversals in high call skew stocks (ex: XLB, XLK).

Now we turn to the hottest trade in town: crypto.

Bitcoin nearly tagged 119k this am and is now up 7% since Wed night. The call vol in stuff like COIN, MSTR and IBIT is now hitting +90th percentile, which screams overbought. Adding to this is the fact that these IV readings are from last nights close - and so these IV's are likely even richer this AM. ~2-3 month call 1x2s or broken wing call flies might be decent ways to play a mild correction in this space.

We'll also just pass on anecdotally that we have been buying ~20-25 handle wide 1DTE ES/SPX strangles with a fair amount of success into this low IV environment. 4 our of the past 5 session these long strangles have paid - this is essentially the "Anti-Captain" trade. We will likely look at doing a wide 1DTE long condor into tonight’s close - selecting a condor as to try and carry some of the weekend decay with short deeper OTM contracts. Don't take that as a recommendation (we are not qualified to offer investment advice), but more of a nod to IV's already being a bit underpriced in this past relatively data-free week.

Get instant access to our partners real-time market data and insights not available anywhere else. Here is last night Founder’s note getting you ready for today’s market and explaining the constraints in yesterday’s market. - MrTopStep

MiM and Daily Recap

The overnight Globex session began with early selling pressure that established a high of 6312.25 at 18:25 ET before the market steadily trended lower. By 21:45, ES printed a low at 6292.25, marking a 20.00-point slide from the early high. A modest rebound to 6299.50 at 22:30 was quickly met with renewed selling, taking the futures to 6290.00 by 01:30 and finally down to the overnight low of 6287.50 at 03:15. From this pre-dawn low, buyers stepped in, propelling the contract higher into the European hours and early US morning. A notable rally developed, driving ES up to a high of 6311.75 by 07:45, recovering nearly the full decline. A pullback to 6300.00 at 08:45 set the stage for the cash open.

The regular session opened at 6307.75 and began with an early push higher, reaching 6310.00 on the opening bar before reversing. A dip to 6296.00 at 10:00 established the morning low. From there, the index climbed steadily, marking a significant advance to 6324.50 by 11:45. This 28.50-point rise represented a strong bullish response to the early weakness. A midday retracement brought prices down to 6315.50 at 12:15, before buyers reasserted control, lifting ES to the session high of 6335.50 at 14:20. The afternoon trade turned choppy as the market drifted down to 6327.50 by 14:55, briefly bounced to 6333.25 at 15:40, and then rolled over to a late low of 6318.25 by 15:50. The cash session closed at 6324.50, marking a 16.75-point gain (+0.27%) from the session open and a 17.50-point advance (+0.28%) from the previous cash close.

The overall tone was constructive, with buyers defending key pullbacks and sustaining higher lows throughout the day. The Market-on-Close imbalance registered $242M in total flow, with 59.3% on the buy side and a symbol imbalance of 55.0%. The cleanup session saw a minor decline, trimming 3 points off the close but maintaining a firm tone relative to the prior day. Looking ahead, the strong intraday recovery and afternoon consolidation suggest continued buyer interest as the market digests the recent range expansion.

Volume was low with 732,053 contracts trading during the regular session and total volume across all sessions reaching 888,620 contracts.

How to read the MIM

BTS Trading Levels - (Premium Only)

Technical Edge

Fair Values for July 11, 2025

SP: 42.9
NQ: 180.5
Dow: 243.64

Daily Breadth Data 📊

For Wednesday, July 10, 2025

• NYSE Breadth: 67% Upside Volume
• Nasdaq Breadth: 70% Upside Volume
• Total Breadth: 70% Upside Volume
• NYSE Advance/Decline: 67% Advance
• Nasdaq Advance/Decline: 58% Advance
• Total Advance/Decline: 62% Advance
• NYSE New Highs/New Lows: 123 / 13
• Nasdaq New Highs/New Lows: 209 / 40
• NYSE TRIN: 1.13
• Nasdaq TRIN: 0.58

Weekly Breadth Data 📈

Week Ending Thursday, July 3, 2025

• NYSE Breadth: 69% Upside Volume
• Nasdaq Breadth: 65% Upside Volume
• Total Breadth: 66% Upside Volume
• NYSE Advance/Decline: 80% Advance
• Nasdaq Advance/Decline: 71% Advance
• Total Advance/Decline: 74% Advance
• NYSE New Highs/New Lows: 267 / 44
• Nasdaq New Highs/New Lows: 503 / 188
• NYSE TRIN: 1.70
• Nasdaq TRIN: 1.31

Trading Room News:

Polaris Trading Group Summary - Thursday, July 10, 2025

How the Day Progressed

Early Session:
- David emphasized that the 6am–9am window is often fertile for trading, with smoother moves.
- The market opened with a slow drip lower, mainly driven by the Nasdaq (NQ).
- Prices stayed contained in a defined “sandbox” range around 6300 ±5 points, with buyers stepping in around 6295.
Mid-Morning Development:
- The group closely watched for price to clear the Opening Range (OPR) Mid around 6305, signaling potential bullishness.
- A bullish shift was confirmed, with a bull stack forming and buyers maintaining the bid above 6306.
- David guided waiting for a pullback as an entry opportunity, noting the importance of sustaining a bid through 6315.
- The market advanced and eventually achieved the 6325–6330 target zone, which David described as fulfilled “with the accuracy of a laser-guided missile.”
Late Session & Close:
- After hitting new all-time highs, David advised sticking to the plan: only take Triple-A setups and always have hard stops in place.
- The day closed with a notable $4 billion MOC sell imbalance, with larger participants locking in profits.

Positive Trades

The long trade setup through OPR Mid (around 6305) was a highlight of the day, ultimately hitting the 6325–6330 target zone.
This move validated the DV Strategy and CCIX Discount entries, reinforcing the value of waiting for structural confirmation.
Additional confirmation came from ATR (A4) strategy signals, which aligned with the bullish scenario.

Lessons Learned

Wait for Clear Structure: The morning chop tested patience, but disciplined waiting for price to prove itself led to a high-quality setup.
Understand the Tools: David encouraged members (especially PeterN) to learn ATR, DV, and CCIX strategies in depth before risking real money.
Context Matters: Observing NQ divergence and the internals of small caps/SPX equal weight helped avoid getting faked out early.
Stay in Alignment: As David reminded, the Primary Directive is to stay aligned with the dominant force and follow the plan.
Risk Management First: Even in strong trends, maintaining stops and not trading beyond understanding were repeatedly stressed.

DTG Room Preview – Friday, July 11, 2025

Tariffs in Focus: Markets have largely shrugged off President Trump’s escalating tariff threats, including a proposed 30% tariff on Canada and a 50% tariff on Brazil. JPMorgan CEO Jamie Dimon warned of market complacency. Brazilian President Lula responded defiantly, emphasizing Brazil’s minimal trade dependence on the US (1.7% of GDP) and readiness to transact in local currencies.
Crypto & Equities: Bitcoin hit a new high above $117K, continuing a remarkably stable two-month trading range. The S&P 500 is near record highs, with Nvidia surpassing a $4 trillion valuation—an industry first.
Volatility & Levels: Volatility remains moderate; the ES 5-day average daily range sits at ~56 points. No significant overnight large trader activity. Key ES trend levels:
- Resistance: 6385/88, 6443/46
- Support: 6110/15, 6072/77, 5655/60
Calendar: No major economic data or corporate earnings scheduled today.