ES Journal - 2023/2024

Bad_Badness said:
The difference is that was then and this is now. Now the test is a re-test and all the players who wanted out, got out. So different dynamics are at play.

The thing most notable to me is the intra-day action of someone dumping large blocks of ES. This has been going on for a week now. Out of the blue, someone dumps 3-4k contracts.

What this says to me is consolidation of positions. E.g. a large stock portfolio can now be synthetically "flat", with covered calls in play.

But for the future this means, to me, either these players will either proceed to dump their actual long stocks, or they will come back in with a huge roar, starting with the ES. Either way, when the action returns it should be strong.
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ES is commonly used for hedging, no? If so, does a 3-4K dump have any inherent meaning or influence on future direction?
 
Laissez Faire said:
ES is commonly used for hedging, no? If so, does a 3-4K dump have any inherent meaning or influence on future direction?
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Classic example is you hold about 400Mil in stocks. You want to hedge them, so sell 400mil notional value of ES, along with all the option hedging on that position. So then you are net market neutral, less any arbitrage needs.

So no real influence that can be determined, only that someone is doing it. Look today at 9:40 and 10:40 PT Those are two orders in an algo, I assume, they overwhelmed the order book, and caused a spike down. Then it recovers. The 10:40 was probably time based with a go-no go filter based on price being higher than 9:40.

But I am just speculating, which is OK, since I don't make ANY trading decisions based on these comments and thoughts.
 
Laissez Faire said:
Outside Day in play if we get traction above 50.
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We'll probably just chop like yesterday. That will make it 3 days of chop since last week's big drop. And 2 more days of chop and we should explode in one direction or another, likely down IMO.
 
schizo said:
We'll probably just chop like yesterday. That will make it 3 days of chop since last week's big drop. And 2 more days of chop and we should explode in one direction or another, likely down IMO.
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Maybe it's just me, but the RTH range is still 38 points today which is substantial, yet it feels like a choppy low volatility market.

Today had two nice major moves in RTH. If you didn't nail those down, you could easily get chopped up. Same thing yesterday.

Why 2 more days of chop? Month end?

Nvidia earnings tomorrow. Maybe that'll be enough to give some direction.
 
Indeed PM Chop!

EOD: Would a, could a, should a, for an Algo...

If the Algo had decided to continue, it would have
5 trades 80% rate net -6 ticks, the one loss has a MAE of -60 ticks. It recovered to -20 ticks

Clearly not worth the risk. Even in "Defensive" mode, it would have not much meat on the bone.
 
Bad_Badness said:
Indeed PM Chop!

EOD: Would a, could a, should a, for an Algo...

If the Algo had decided to continue, it would have
5 trades 80% rate net -6 ticks, the one loss has a MAE of -60 ticks. It recovered to -20 ticks

Clearly not worth the risk. Even in "Defensive" mode, it would have not much meat on the bone.
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If I may ask, what's the general strategy of your algo?
 
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