Monday, November 30, 2009

Morning Briefing for November 30th: Wide Pre-Market Range

9:33 AM CT - I've added the top chart (100,000 contract bars) to show how we've traded within the overnight range thus far this morning, oscillating around the day's volume-weighted average price (VWAP; red line). The inside bar between 8:59 and 9:22 AM CT set up a nice upside breakout move above the 1093 area resistance. As long as we stay above that level, I expect a test of the overnight highs, especially given U.S. dollar weakness and firmness among commodities.

Here we see the pre-opening trade in the ES futures, with the Market Delta chart denominated in 50,000 contract units.
As noted in my recent post on volume bars, I like to see how volatility is coming into and out of markets as the day progresses, without having the day's distribution of volume distorting that relationship.

We're setting up a broad pre-market range going into the open, with relatively equal distribution of volume throughout (right histogram). Volume at bid has exceeded that at the market offer price so far (bottom histogram), as we've had trouble sustaining prices at the 1098 resistance area. We've moved below the day's volume-weighted average price (VWAP) around 1091; failure to sustain buying volume above that price will target the overnight low.

I'll update the volume bar chart later today to illustrate the relationship between volatility and direction in the morning trade.