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12/12/2017 ES Orderflow Narration

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Dec 132017
 

Given how “major” the 67-68’s MR structure was I suppose it’s no surprise it was so heavily stalked and discussed in the room. Given the aggregate context I suppose it is also no surprise so many seemed to be long biased around this area as well. Be sure to see the chat transcript as usual for more color, but especially this time as there were some focused points made about thick and thin prints on first and second pushes into structures and how the order of those can show directional conviction or a lack of at the time in many cases.

So here we see the initial move legit testing the case 68’s in purple. As I said in the room I wasn’t really surprised to see the thin volume into the high there as MM’s were likely going to test the waters by pulling offers and trying to see if any shorts were left to puke or if any new longs were bullish enough to buy the case high. Though I do think spots like that can be bread and butter for countertrend scalpers, in my opinion the only interest to intraday swingers was to note volume didn’t get thick into the high there from sellers stepping up against the buyers. This was followed by a fairly shallow pullback in blue trapping quite a few sellers but not quite pulling back deep enough to test the YC. Beyond that we saw a classic pullback low failure right into the 67-68’s line in light green on paper thin volume from exhausted sellers and massive long delta divergence led by size. I’m sure for most members who were bullish swingers that was the first rotation that really jumped off the page. But for those who waited for a break of the then current high set in purple there was a second similar pullback on super thin volume with strong delta divergence in dark green, again with size leading out hard. The strongest interest from size yet as I pointed out in chat.

The recent theme of continual new all time highs being made has led to many discussions on the topic of whether or not your intraday swinging model has a provision for trading ‘into air’ as I call it – entering positions looking to trade into new highs with no prior structure to lean on or frame your risk/reward scheme with. Once again today obviously you had to decide whether you would take on a long position at all from the 67-68’s structure, and if so where you intend to look to scale with no known market structure overhead. For those defaulting to raw PA and flow we saw the buyers begin to run out of gas in the short run in pink as I pointed out in chat. Note the thinning volume into the top there and the strong short finish off the high from size in the stats. This was followed by a real battle on the second push in red which ended in even less bull delta conviction and even stronger short finish from size off the high there. Either spot would have been enough of a clue for most members to consider scaling or flattening I’m sure. To say volatility is contracted lately would be an understatement, but given that I doubt any intraday swingers can complain with solid three handle moves to a first scale in this kind of environment. Just my .02…

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