Here's a snapshot of one of my Market Delta screens before the market open. Note how volume at bid has exceeded volume at offer for the ES contract all morning long, as we stay below the volume-weighted average price (VWAP) and build value at lower prices. We see a volume bulge at the 937/938 level; a major issue I'll be looking at is whether we can stay below that level and sustain the down move. A move back above that area would have me thinking in terms of range trade. We've already broken the overnight lows from yesterday, with the day session lows from Monday and the S1 level posted to Twitter as near-term downside targets. To get there, we should stay below yesterday's range; otherwise, we're back to a multi-day range scenario. I'll update the market outlook intermittently via Twitter.
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