Beware The Month-End Rebalance

Index Futures Net Changes and Settlements:

Contract Settlement Net Change +/-%
S&P 500 (ESH18:CME) 2853.50 -21.00 -0.73%
Dow Jones (YMH18:CBT) 26,430 -174 -0.65%
Nasdaq 100 (NQH18:CME) 6992.50 -37.75 -0.53%
Russell 2000 (RTYH:CME) 1597.80 -11.80 -0.73%

Foreign Markets, Fair Value and Volume:

  • In Asia 10 out of 11 markets closed lower: Shanghai Comp -0.99%, Hang Seng -1.09%, Nikkei -1.43%
  • In Europe 11 out of 12 markets are trading lower: CAC -0.54%, DAX -0.66%, FTSE -0.72%
  • Fair Value: S&P +0.38, NASDAQ +8.35, Dow -24.46
  • Total Volume: 1.3mil ESH & 349 SPH traded in the pit

Today’s Economic and Earnings Calendar:

Redbook, 8:55 a.m. Eastern; S&P Corelogic Case-Shiller HPI, 9 a.m.; Consumer Confidence, 10 a.m.; State Street Investor Confidence Index, 10 a.m.; Farm Prices, 3 p.m. Pre-market earnings: Danaher, Polaris Industries, CIT Group, Aetna, Harris, Anixter International, PulteGroup, CNX Resources, A. O. Smith, Scotts Miracle-Gro, Dover, Harley-Davidson, Pfizer, Zimmer Biomet Holdings, Metro, Corning, Silgan Holdings, HCA Healthcare, Ally Financial, T. Rowe Price Group, Hubbell, CDK Global, McDonald’s, Paccar, Franklin Resources, Nucor. After-market earnings: Align Technology, Chubb, Electronic Arts, Stryker, W. R. Berkley, Illumina, CA, Advanced Micro Devices, C.H. Robinson Worldwide, Juniper Networks, Packaging Corp Of America, Boston Properties.

S&P 500 Futures: #ES 2878.75 ‘Blow-Off Top’

Friday’s late day run up led to another push higher on Globex Sunday night, taking the S&P 500 futures (ESH18:CME) all the way up to 2878.75. Asian shares fell after local reports in China said regulators spoke of clamping down on “high-priced” stocks. In Europe, the Stoxx 600 was down slightly, and in the U.S. the dollar was up, and the S&P futures were down 0.2%.

On Mondays 8:30 CT futures open, the S7P 500 futures printed 2666.25, pulled back to 2864.25, and then traded up to the high of the day at 2871.25. After the high was in I put this out, IMPRO:Dboy:(9:49:01 AM):well if you are a seller here is the push, and a few minutes later the ES started heading south, making several lower lows all the way down to 2854.50. The ES had gone up too much too fast on Friday, and the algos started chasing sell stops.

After the early low, the ES short covered and made several higher lows until it traded up above the vwap up to 2868.25, and then pulled back down 2863.50. From there, it sold off all the way down to new lows of the day at 2851.50, as the MiM went from buy $406 million to sell to $980 million to sell. There was a small pop back up to 2859.00 before trading down to 2855.50 on the 3:00 cash close, down 19.25 handles, or -0.67%, and went on to settle at 2853.75, down 21 handles on the day and down 25 handles from the Globex high.

Between 10-year note settling at 2.695%, the highest level since April 2014, the end of the month rebalancing talk, and the VIX going out at 13.84, it ended up a pretty ugly day for the S&P. Every bounce was a short squeeze for the final knock down at the end of the day. I said early on in the MrTopStep forum that Friday and Sunday night looked like a blow off top, and that’s how it closed.

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