Todays balance was somewhat predictable but the open action was a little surprise. Open is not just about open calls from institutions, or paper that comes in. The lack of paper also allows the locals to play a bigger role then just execution. The sell off in the morning was more local pushing based on the volume, than paper. Especially if you look at the distance travelled and sell volume. The 1260 area was a good place to grab any stops from yerterdays lows. The buy response that took us from the lows was mostly covering and some buying but the real buy response came at yesterdays POC area of 67-68.
That buying brought us from the nearly neutral to 35K Delta. Now I was interested in the 1277.50 area for a reversal to current balance. It made a probe @ 8:13 PST and never got a chance for a second weak probe. It dropped quite steeply @ the 8:46 bar and personally it would have been a chase to enter 4-5 points below intended entry. But the key thing for me in this trade was location because of the strong buy response, the delta etc., if you want to short, you want a really really nice location and a good sign of potential weakness.
The sell response was equally impressive and by the time we got to the mean (bright gold spot in the Value bar) we were nearly neutral. Overall market was weak and the ES made its attempt to break to the upside of VWAP. There was a scratch trade @ VWAP (short) as the lack of follow through gave me no reason to stay (Fat part is the choppiest part). 10:24-10:55 made new probe highs but the dominant trade was on the sell side as evident in the delta below. The two trade that followed was extremely interesting. This was a small trade but an important point here in the next post.