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S&P 500 Futures: All Buy Stops And Buy Programs

Yesterday was “switch day” for the S&P and Nasdaq futures. Switch day or the rollover happens at the end of each quarter when the expiring front-month contract is replaced by the next front-month contract, in this case going from the March contracts to the June contracts. The roll tends to take away volume from the outrights as traders spread out of the March contracts. With traders focusing on the roll over their daily trading, the already low volume makes it even easier to move the futures around. Over the last two-plus weeks [ESH15:CME] the futures closed lower 8 of the last 11 sessions or down 5 of the last 7, and with retail sales falling for the third month in a row yesterday the futures started reversing some of those losses.

Yesterday the Dow futures [YMM15:CBT] made back most of Wednesday’s losses, closing up 228 points or +1.5% to 17792.00. The S&P futures [ESM15:CME] closed up 24.5 points or up +1.3% to 2056.00 and the CME Groups Nasdaq futures [NQM15:CME] gained 23.25 points or +0.90% to 4324.75. On Wednesday we thought several times the ES was going to break out above 2057.00 but the failure led to new lows when a big sell imbalance showed up and lows on the futures close and new low overnight. Once the S&P futures opened on the 8:30 open a very big buy program hit, pushing ESH15 up sharply in the first 30 minutes. I was quick to point out on the MrTopStep room that I thought all the pullbacks would be bought. Read more