Jan 312013
 

The SP Emini Value Area Report and TF Russell Value Area Report are a daily trading plans based on Auction Market Theory, Market and Volume Profiling techniques for the Emini S&P and Russell Emini Futures (the values in these reports can easily be adapted for SPY [*10] and SPX markets [small premium adjustment]).   Even if you do not use this type of analysis, you should know about it, because large numbers of very well capitalized traders use this approach. As a result, it is likely in your best interest to know and understand it. I have written about these techniques here: http://markettradersjournal.com/volume-profile-analysis/ and elsewhere in this blog.  I also advise reading the notes for both markets as they are related markets. Differences between them can provide clues to what is really going on (though I do not cover cross market analysis in this report). The report is for use on the date posted above based on profile numbers from the trading day before.  I use the NinjaTrader platform with a set of tools called Nindicators to do this analysis.  In particular, the Nindicator Value Profile tool.

Note: Be sure to sign up for the Nindicator YouTube Channel for commentary on overnight price action, set-ups and educational information on Auction Theory and Analysis. You should also follow the Twitter feed at @MarketTraderRob where you will get intraday updates.

 

For the ES Emini SP Futures:

Overall Outlook:

Today's profile was somewhat D shaped with a downward bias.  This is neutral to bearish.  As mentioned, we are bearish below 1496 and bullish above.  This is near where we closed so this is a decision point.  Cycling below this level could result in more selling.  We have reports tomorrow. Be aware of the times as these reports may influence decision point on or about the open.

 

Bull Scenarios:

If we open above 1496.75 look to buy at 1496.75 or 1493.75 areas.

If we open above 1500.00 then this is even more bullish and may cause a runner to the upside started by stops being hit.

Bear Scenarios:

If we open below 1493.50 look to sell at 1493.50 or 1493.75 areas.

If we open below 1492.00, then this is even more bearish and may cause a runner to the downside started by stops being hit.

Neutral Start Scenario:

If we open between, 1493.50 and 1496.75, then ranging is more likely.

Always be cautious of the impact of reports that come after the open of the day.

Special Observations:

Notes:  There is a virgin point of control at the 1455, 1466.75, 1473.50 and 1479  areas.  Watch for potential reversals in these areas.

 

For the TF Russell Futures:

Today's profile was P shaped going up. This is bullish but is prone to retracement. It was also an inside day.  This is neutral to bearish.  As mentioned, we are bearish below 904.40 and bullish above.  We closed near this level. So this is a decision point.  Cycling below this level could result in more selling.  We have reports tomorrow. Be aware of the times as these reports may influence decision point on or about the open.

Bull Scenarios:

If we open above 901.30 look to buy at 901.30 or 900.10 areas.

If we open above 902.40, then this is even more bullish and may cause a runner to the upside started by stops being hit.

Bear Scenarios:

If we open below 896.90 look to sell at 896.90 or 900.10  areas.

If we open below 892.30, then this is even more bearish and may cause a runner to the downside started by stops being hit.

Neutral Start Scenario:

If we open between, 896.90 and 901.30, then ranging is more likely.

Always be cautious of the impact of reports that come after the open of the day.

Special Observations:

Notes:  There is a virgin point of control at the 870.90, 876.10, 879.80 and 887 areas.  Watch for reversals in these regions.

Remember to check the Open Report on the Nindicator YouTube Channel just before the open of the day (you should subscribe so you are notified):  http://www.youtube.com/user/Nindicators?feature=mhee

Compare this report and the Open Report with your own analysis.

Glossary: 1) VAH – value area high,  2) VAL – value area low,  3) POC – point of control, 4) HVN – high volume node,  5) LVN – low volume node, 6) VPOC - virgin point of  control,  7) A letter "C" in front of 1-5 above constitutes the same for a composite profile. Composite profiles are profiles composed of more than one day of data.

Note: These reports may vary a bit from Nindicator reports as they may under various circumstances use slightly different calculations.

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