Market Profile - Daily updates

Discussion in 'Index Futures' started by CJS, Jul 11, 2015.

  1. CJS

    CJS

    Hi everyone. Relatively new guy on the forums here. I would like to contribute a daily report on the market for those that trade the ES. I usually keep this on a note pad. But feel like sharing the perspective I use to prepare. I base my analysis off of the Market Profile mainly. Hopefully some of you will be able to find these updates useful. I appreciate any criticism and of course, praise that you may have. Its all a never ending learning process. I use alot of Market Profile type terminology so if its confusing point it out please. Ill make it as clear as possible
    I'll post an evening report and one in the AM before session open. All references to charts will have the chart attached for review too.

    7/10/15 Recap and Prep(for 7/13): Today's lower volume in the ES and attempted direction up, higher value, and the painfully slow and grinding tempo suggests slowing. However we have been one timeframing up on a daily basis 2 days now. Short term trend line to the downside on a daily chart has been breached. Yet still within a 9 day balance area after the gap down from the blow up in Greece last Sunday. If we can close that gap @2086.25 and find acceptance above this level, I would consider that a reordering of market sentiment. Accomplishing this would also confirm an excess low on a weekly basis indicating the end of an auction, as we are still one timeframing lower on a weekly basis. The past 22 some weeks have been in a balancing phase with the top being a pit session high of 2124.5, and a low of 2023. The all time high of 2134 was made on the electronic market. Make a note that we are also one timeframing lower on a monthly basis as well. Several anomalies overhead the market has yet to repair are some poor highs (7/7, 6/25, 6/22), prominent TPO POC's (6/26, 6/25), and the gap mentioned above. Downside - with todays profile being somewhat squat, it left a very prominent TPO POC - considered an anomaly, repaired by being revisited by the market. Anomalies are also areas that stick out on the profile. There a few from yesterdays profile. Should we trade to the downside Monday, these areas may be destinations. Of course, China and Greece mayhem can derail all normal activity.



    **************************************Conflicting Info**********************************


    Positive
    > Poor Highs above
    > One timeframing higher on a Daily basis
    > Prominent TPO POCs above

    Negative
    > One timeframing Lower on Weekly and Monthly basis
    > Intermediate term trend is down
    > A few anomalies to the downside
     
  2. CJS

    CJS

    7/13/15 Morning Report 835Am EST: Overnight a Greece deal was apparently reached. As of this writing there is a 7 handle gap up. From a Market Profile perspective, gaps are measured from the pit session highs or lows. Fridays pit session high is 2074.75. Gap rules are in play; 1.) Go with all gaps that dont fill right away. If it doesnt back off early, it's probably not going to and will move higher. 2.) Large gaps 10+ handles may not fill or fill only partially on the same day. 3.) If the gap fills, and value cannot get to at least overlapping, there will probably be a late day rally in the direction of the gap. Speaking of late day action, I track beginning from J period (I start mine in A) until close, over the past 92 sessions late day liquidations, short covering rallies, and/ or spikes. 66% of the time there has been one. Today would be an opportune time to be alert for something like this. O/N High is 2087.5 well above the gap from 6/29. O/N activity doesnt count as repair. O/N Inventory Im going to call balanced. The profile shows a triple distribution, with the first one right about at unchanged (settle) from Firday. This area is also half back from the O/N session. Lots of volatility- ES volume is >300K. Today will be interesting. Good luck. btw - I had size down my profile to fit it all in one image. Apologies.
     
  3. CJS

    CJS

    7/13/15 Recap and Prep(for 7/14)
    Lower volume (ES) and higher value suggest slowing. Gaps rule 3 played out nicely today; value was no where near overlapping, late day rally materialized. From my perspective, what added to the odds of this rally happening, were sellers selling every little rally and getting less and less for their efforts each period, or, as time went on. Thus getting inventory rather short; in the day timeframe at least. Gap up today - consider it single prints and a form of excess. Consider the poor high discussed in todays prep report (earlier post) repaired along with the anomalies from the 7/9 profile. Two very prominent TPO POC's Friday and today could be destination trades should the market trade to the downside in the near future. Carry it forward. Im considering the weekly high of 2083.25 from week ending 7/4 as the go no/go level for this week. This also is for all intent, the middle of the 22 week balance. If we can hold above this level, destination will be the all time highs, referenced in a previous report in this thread. Interesting today how we took out the very prominent TPO POC from 6/26 @2094.50 by a tick. This happens to be settle for today as well. Lastly, todays very wide profile kept the action painfully rotational. Which should''ve kept expectations limited. Those of you that were expecting and waiting for the late day rally to unfold were most likely paid well for the patience. Of course, any shrapnel from the Greece Circus could foreshadow all of this data.
    Thanks
     
  4. CJS

    CJS

    7/14/15 Morning Update: Nothing but balance overnight. Light volume in the ES. Balance Rules apply:
    1) Remain within balance
    2) Look above or below balance and fail; on a failure the opposite extreme becomes the destination trade.
    3) Look above or below balance and accelerate; these events target directional reference levels- downside mine would be the go no/go level discussed in the recap yesterday 2083.25. Acceptance below that a target could be one of the previous pit highs in the past week. Upside would be the pit high from 6/26 and the poor high from 6/25
     
  5. CJS

    CJS

    7/14/15 Recap and prep (for 7/15): Another day of lower volume, and higher value. All we had today below the open was two ticks that were almost immediately rejected, the rest of the day showed conviction to the upside. Im going with the momentum - as today completed the 4th day of one timeframing higher on a daily basis. Higher value as opposed over-lapping to higher value is an indication of a strong trend developing. Keep in mind that the declining volume over the same amount of days doesnt support the moves up. Be prepared should the market begin to cease one timeframing higher. Im carrying forward into tomorrows session that value and the TPO POC both migrated with price today. This is positive for continuation to the upside. Today's profile high has two ticks of excess. Given the fact that this was formed on a low volume day further supports the high as a form of excess. Excess marks the end of an auction. Also note, now we have 3 back to back very prominent TPO POCs below. Whenever you have back to back 'anything' (examples; weak references, poor highs/lows, etc..) it makes them exponential. A very prominent TPO POC is a form of an anomaly. These get repaired by being revisited by the mkt at some point. We held the gap up from yesterday and also remain above the go no/go level of 2083.25 (covered in yesterdays post). I'd like to point out also that in J period we had a break out from the previous periods of balance, and as mentioned in a previous post, I track action from J period to close (N period), and that now is 67% of the time (94 sessions tracked now) there is some form of a rally, liquidation and/ or spike (not necessarily in J period; anytime from J thru M) . Today we had a small rally starting in J. My being prepared for this, along with context surrounding the expectation, netted me a nice last trade of the day. Im still a young trader in terms of years of trading. But ever since Jim Dalton's intensives I have attended, and my locking myself in my office for hours on end trying to adsorb the concepts; my trading, mkt, and self-understanding has grown tremendously. If we come into tomorrow with more upside movement, traders may try for the weekly high of 2122 from week of 6/21 - this is also last months high. Longer term players may show interest around this level too. Opposite that, there are several destinations to the downside. Lastly, the images I had to zoom in on a couple to fit several profiles in.
    I want to have a bullish bias coming into tomorrow. But with the volume accompanying the price movement, TPO POCs below, excess high today - Im forcing myself to remain neutral. Or, flexible as Im taught to be mindful of.
    *******Conflicting Info******
    Positive:
    > One T.F. Higher on Daily and Weekly
    > Poor highs above
    > Acceptance above center of 22 week balance
    > Excess low forming on Weekly chart
    Negative:
    > Very Prominent TPO POCs below
    > Light volume; declining past several days
    > Excess high today (keep in mind, a new auction could still be to the upside.
    Thanks.
     
  6. CJS

    CJS

    7/15 Morning Update: O/N Profile is relatively balanced. O/N Inventory is somewhat long. Two attempts, one to trade above yesterdays pit high, and the other lower into yesterdays range further; both probes found no acceptance. Balance rules apply for today as did yesterday. Volume again, is very light in the ES; 110K at 0535am PST. O/N Inventory is measured from the settle of the day session. In the graphic, settle is identified by the red asterisk. Hope today plays out well for everyone.
     
  7. CJS

    CJS

    7/15 Recap and prep (for 7/16): Higher volume with overlapping to higher value usually indicates a moderately strong market. But today's volume in the ES remained lower than yesterday's until the K period break. It was during this time that volume surpassed yesterday's. Most of the day was very low confidence, balanced, rotational, and with lower volume. This type of directional performance indicates a market that is slowing and balanced. This being said, I have a neutral bias going into tomorrow. Some things to point out...we now have a weak high. The pit high from 6/25 was poor. That is todays pit session high. So the poor high was repaired, but now we are left with a weak high. Weak references; defined as price coming exactly to a mechanical reference and trading off of it. These references should be carried forward as the market has higher odds of coming back to weak references. We are still one timeframing higher on a daily and weekly basis. Todays high and low both have excess. Excess and balance in the Market Profile's nuances are the two most important things to be mindful of. Today's rapid acceleration break in K caught me off guard. In my mind I was thinking we were going higher as up until K period we had been one timeframing higher for a couple of periods and sellers couldnt get the mkt below the open on a few attempts. This just goes to show me, putting what you want to happen on the market is a no-no. Real life example; I went long in I period, thinking initiative trade to the upside. Took a loss right inside of J period open; just felt it wasnt going to get the lift the trade needed. This is what contributed to me being caught off guard. I still ended the day with a small profit from earlier trades. But in hindsight - the whole day up to my entry, was low confidence, low volume and the profile was getting very wide, and we had a very narrow base = rotational day. My angle of attack probably shouldve been responsive vs. initiative. Anyways, just thought I would share that.
    *****Conflicting info*****
    Positive (for upside movement):
    > Weak high today
    > 1 T.F. higher on a Weekly and Daily basis
    > Gaining distance from the lower end of 22 week balance
    > Excess low on Weekly chart becoming more confirmed
    Negative:
    > 3 Very Prominent TPO POCs below
    > Still going to consider volume as a negative factor even though today's total volume exceeds yesterdays (remember we were down vol compared to yesterday until K period) volume if higher would like to be seen as steadily higher throughout the session. That wasnt the case today.
    Lastly - If anyone see's anything I missed please point it out. As I said in a previous post; always learning.
    Thanks
     
  8. CJS

    CJS

    07/16/15 Morning Update: As of this post (0520am PST) mkt has a gap up of 5 handles and is out of balance to the upside. Second gap up this week. I see this as an acceleration gap - from Mind Over Markets book these are defined as "Acceleration gap develops within a trend and reaffirms the conviction and strength of the trend's direction". Gap rules apply:
    1.) Go with all gaps that dont fill right away. If it doesnt back off early, it's probably not going to and will move higher.
    2.) Large gaps 10+ handles may not fill or fill only partially on the same day.
    3.) If the gap fills, and value cannot get to at least overlapping, there will probably be a late day rally in the direction of the gap.
    Still light volume. Hope today presents everyone several opportunities.
     
  9. CJS

    CJS

    7/16/15 Recap and Prep (for 7/17/15). Will the mkt hit all time highs tomorrow? Today's attempted direction was up with lower volume and higher value. This suggests slowing. I reference a table in Mind Over Markets to come to these conclusions regarding volume/ value and directional performance. There was quite a bit more institutional activity on both sides throughout the day as compared to yesterday. Short term uptrend is holding strong. Two gaps up this week and of course the 6 days of one T.F. higher adds strength. Yet, there are now several targets to the downside should this one T.F. stop. Four very prominent TPO POCs. Today left a poor and a weak low. Should the market repair this at some point it's very possible the market could accelerate further to the downside as a result of the single prints left from the gap up today. Single prints offer no real structure for support (or resistance). To the upside last months high @2122 is only a few handles away. There are obvious stops above this level. Should they be run, I would not be surprised if the pit all time high of 2124.50 will be visited. Still low confidence as evidenced by the multiple times the open was revisited today.
    The metrics I gather regarding PM session breakouts (either in the form of short covering/ liquidation/ spikes) played out decent in K period today. These events have happened 68% of the time over the last 96 sessions.
     
  10. CJS

    CJS

    7/17/15 Morning Update. Going with whatever unfolds. Volume in the es this morning is real thin. 91K as of 550am PST. Overnight Inventory is balanced. Range has been inside of yesterday up until this post; mkt has looked above prior pit high by 3 ticks. I wonder how much longer the mkt can hold these highs with the volume not supporting it? Today is weekly options expiry. Option expiration's can add to volatility.
     
    #10     Jul 17, 2015