Tuesday, May 19, 2009

Quick Market Update: Examining an Attempted Breakaway Move

Here's a 15-minute bar Market Delta snapshot of the morning trade thus far in the ES futures. We moved well off the overnight highs on the morning numbers and started to return to yesterday's price range. Note the sharp buying that took us above VWAP (red line) and above the volume bulge in the 907 area. That move was a clear rejection of setting value back into Monday's range; we need to stay above VWAP and especially above that 907 area bulge, to take out the overnight highs; a return below VWAP and that bulge returns us to range trading conditions. The mixed Delta readings (bottom histogram) and TICK distribution are more suggestive of range trade than a trend.