Thursday, February 25, 2010

Thursday 02/25/2010 - E-Mini S&P 500 Futures Review/Analysis & A Word on NYSE TICK

E-Mini S&P 500 Futures Review/Analysis
What a day -- the ES fell 17 handles from the overnight high of 1101.50, and did a complete reversal, and then some, hitting a high of 1103 (+18.5 points from Low of Day) and closing on strength at 1102.25. Unbelievable day, and no doubt a lot of Shorts got squeezed, but there were some hints that kept me on the right side of the market. At 9:40 AM (cst), I posted "Doesn't 'feel' like a trend down day (yet)" and at 11:56 AM (cst), I posted "1087.75-1088 = Support", and began scalping ES on the Long side -- Bear in mind, I still kept my risk on the Longs very tight because the way I was reading the market, a break of 1087 could have resulted in a swift move down to 1084-1085. Between 10:40 and 10:56 AM (cst), ES attempted to test the 1084.50 Low of Day, and failed to do so (hint #1). From 11:08 AM (cst), price remained above the day session mid-point and VWAP (hint #2). After 11:40 AM (cst), Price continued to test and poke above the IB High (hint #3). Looking at the 30-Minute Volume Profile chart, I was seeing acceptance in the 1087.25-1088.25 area (hint #4). By the way, none of what I'm posting here is hindsight analysis; all of this was observed and acted upon in real-time. If you noticed something in real-time that I haven't covered here, please post it in the Comments.

A lot of traders use the NYSE TICK in their trading, and a popular strategy is to fade the TICK extremes (Sell +1200 readings, Buy -1200 readings) and to identify divergences (price makes lower low while TICK makes higher low, etc). Blindly entering trades on TICK Divergences or TICK Extremes is not a viable strategy, and may eventually frustrate you to the point where you ditch the NYSE TICK all together -- which IMHO, would be a mistake because I believe the NYSE TICK is a valuable measure of broader market participation. One of the Keys to using the TICK is to be aware of the Context and the Significant support/resistance areas, and then identify divergences or extremes once price reaches a pre-defined support/resistance area. Check out the 2-minute chart of the ES and NYSE TICK below. Notice how we got a TICK Extreme at 12:50 PM (cst) -- TICK hit a high of +1258, while price hit a high of 1092.50. If you blindly shorted there (I'm sure several traders did), you got stopped out pretty quickly (I'm assuming you use stops). Now move a few bars to the right, and you'll notice another TICK Extreme at 1:02 PM (cst) -- TICK hit a high of 1299 while price hit a high of 1098.50. What's the difference between the two extremes? Look at the Volume! Exhaustion moves happen on High Volume as traders on the other side get flushed out of their positions. This is a TICK Extreme fade trade that could have been taken (I shorted this area and covered at 1096). Trading the TICK is certainly not a science, and more of an Art and like every other indicator or piece of market information, it requires screen time. With enough screen time, you could internalize the patterns of the TICK, and develop a "feel" -- this is difficult to quantify, but in the end, it could keep you out of losing trades or give you a heads-up when the market isn't behaving the way it normally does. I hope you found this information to be of some value, and that it helps you to stay on the right side of the market. At the very least, I hope you won't blindly fade the TICK Extremes.

ES/NYSE TICK 2-Minute Chart

ES 5-Minute Chart

ES 30-Min Volume Profile Chart

ES Day Session Volume Profile Chart


  1. What are the up/down circle arrows on the ES 5-min chart? Are those plotted wiht indicators or are you just annotating the chart afterwards?

  2. I manually annotate the charts, and plot in the arrows. Some of those arrows are my trade entries/exits.


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