Where we are

Price has found a lower distribution and interest at the weekly POC. No surpise (this is where responsive buyers stepped in from the the other timeframe) .
It has spent 3 hours at this level. Now we do have a delta divergence from the first attempt at 9:30 PST. Indicating a possibility for a bounce to cover. Not the greatest risk reward though since our value today is way down there. Hats off to the sellers. If do we break we have the 63-64 area as the next level which could be an entry.

Open call and the dominant flow

In an earlier post, we looked @ the dominant flow during the initial balance. On large majority of days the dominant flow occurs during the initial balance (meaning A, B or in some cases C period). It generally sets the tone of the day and the trades following the dominant flow can be analyzed to see whether there is likelihood of single or multiple participants during the day. More importantly whether it keeps price in balance or takes it out of balance ( a temporary excess) until value migrates to a new accepted level.

The price behavior in the first 1/2 hour before the market open is generally referred to as the open call. Thats an old term when the commercials call their floor brokers for their balance of orders that need to be executed. It is not always evident but sometimes you can read them. The dominant order flow that occurs during the open call can often be a prelude to what might happen when market opens during the IB and the subsequent periods. It rare that a dominant flow occurs with enough conviction premarket because liquidity is not in the favor of the executing broker. However, when it does, it often indicates the urgency in their positions. Today's open call for the S&P 500 had rare but strong dominant flow @ the 5:55 bar.



The significance of dominant flow also depends on where it occurs with respect to the value.

Is it raining or cloudy in Chicago?

Its 77F and raining in Chicago says google. So maybe they left indeed. Wait a minute, wundergournd.com weather says mostly cloudy (not raining). Intellicast says 81F broken clouds - thats nice. Remember, they have very few days left there before it becomes a block of ice. Most locals must have left to enjoy the last few clouds.

All buyers are not equal

Yesterday morning I posted a chart that is filtered on 100 contracts of more.
It showed an overwhelming skew of trades on the buy side vs. the comprehensive market volume analysis which included the public. We had a lot more buying on the commercial side then the public. Today there are more public buyers then commercials. We are delta neutral on the commercials and we have a net delta of about 19K on the trades less than 100 contracts . So unless the commercials show up we might be unable extend the range much further. As far as shorts, that is off the table for me right now until we see the selloff like we saw @ the 90-91 area (8:00 AM PST bar) from the commercials. So far the commercials has been quite since 8:00 pst. Currently it feels like we have no paper. Is the pit half empty?

Below is the volume for contracts above 100.