Debrief · 5 January 2023 · NFP day: no plan, just the island extremes

OvernightLargely balanced, contained inside the long/short LIS at 3884 and the 3848 TPO ledge I mentioned yesterday. Initial rotations went through 3867 (acting as an OU pivot), between settlement and 3857. A late push higher before the data releases saw buyers struggle above 3884, with 3885.5 forming the session high. The ON trade was a swing trading dream.

Following better-than-expected ADP and jobless claims data, the auction began to move lower, taking a lead from US Treasuries, which aggressively traversed the New Year's range, finding buyers just above Tuesday's reopen lows. Noticeably, the move from 3885 to 3848 sliced through to set an ON low at 3844 (I expected to see some resistance at 3848: NUANCES!!). Then the handover into the RTH open at 3853, as short inventory adjusted into the open.

An ON DD distribution, with the upper/lower pivot at 3858, not far off last year's settle. (I have mentioned many times this year that this would be an important OU pivot line for many weeks ahead!) As mentioned, 3848 was a LIS, and we wanted to be looking for shorts below!

The openA period: open 3853 | open swing high 3853, low 3846.25. Open out of value | settlement gap. When opening with a gap I will always initially look for an adjustment, either into or at the open. Failure to see such a move would encourage me to trade with the ON trend, as positioning is likely trapped. Today's adjustment barely registered, 3845-3853.

Open drive, 3853-3824. The opening range gave traders a fleeting chance to take the trade lower within the opening minute of trade. See yesterday's entry tweets!

The IBB period: a reversal exceeding A period by a single point, in a fast-paced squeeze that gave ardent shorts another opportunity to enter into shorts. The large counter-rotations early in the session would give rise to a high probability of a balanced day. With the exception of the open, volumes tapered off quickly.

Mid-sessionD period: the low was broken by another single point, as the auction seemed to look to consolidate for a push lower later in the session.

H period: Fed's Bullard incoming. His 'inflation set to slow' comments (see tweets) set the cat among the pigeons, but shorts covering only managed to get as high as the century mid, 3850. Our line in the sand for a reversal is still the opening print, and buyers are still getting held below. Bullard's comments saw a liquidity grab back through the range.

K period: following on from the Bullard-triggered reversal, another push to break the OR high resulted in buyer exhaustion, and another reversal to the other end of balance in L, with the beginning of M period stalling at the VAL. Volumes drying up into the close.

The closeM period: the auction closed inside value, but only just. Extreme balance, with responsive buyers and sellers at the extremes (today's open and the D period low).

Day typeAn island day has no overlapping value: the auction has a high probability of spiking up to, or away from, prior value/balance into the close. Today volumes just disappeared, with buyers and sellers exhausting each other ahead of NFP tomorrow. An island day, but not quite a normal day (D period's 1-point breach of the IB low). So instead, it's another variation day.

HOD 3854 | LOD 3822.5 | VPOC 3829 | MID 3839 | VWAP 3836 | SETTLE 3829.

Yesterday's PA reviewCum delta is working well. Volumes dried up fast after the first hour of trade, into Fed Bullard comments that failed to stimulate the auction out of balance.

OvernightON update: range-bound trading into the data.

This will not be updated, and there is no plan given the expected volatility. 50 points of range are expected in the first 5s, and I have no idea where we are going.