Sep 212012
 

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The Value Area Report is a daily trading plan based on Auction Market Theory, Market and Volume Profiling techniques for the 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.

For the Emini S&P (ES) Futures:

Overall Outlook:

Today was a D shaped distribution with an afternoon sell off that resulted in a B, bimodal distribution. This sort of shape is typically associated with continuation and is somewhat bearish.  The value area is higher and a bit narrower.  The market is ranging, but has tested into the low volume area below. There may be a retest so I am biased to the bear side.   I will reiterate, use caution if we enter the lower volume  region below about 1447. It is a weekend however, so we will reevaluate Monday AM on the Market Open Report relative to this trading plan.

Bull Scenarios:

If we open above 1460.50 look to buy at 1460.50 or 1457.00 areas.

If we open above 1461.50 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 1455.25 look to sell at 1455.25 or 1457.00 areas.

If we open below 1450.50, 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, 1455.25 and 1460.50, 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 1430.50 area.  Watch for potential reversals in these areas.   We are bullish above 1452.50 and bearish below it.

 

For the Emini Russell (TF) Futures:

Today was a D shaped distribution with an afternoon sell off that resulted in a B, bimodal distribution. This sort of shape is typically associated with continuation and is somewhat bearish.  The value area is higher and a bit narrower.  The market is ranging, but has tested into the low volume area below. There may be a retest so I am biased to the bear side.   I will reiterate, use caution if we enter the lower volume  region below. It is a weekend however, so we will reevaluate Monday AM on the Market Open Report relative to this trading plan.

Bull Scenarios:

If we open above 856.80 look to buy at 856.80 or 855.40 areas.

If we open above 857.10, 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 853.70 look to sell at 853.70 or 855.40  areas.

If we open below 850.80, 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, 853.70 and 856.80, 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 821.50 836.20 and 861.20  areas.  Watch for reversals in these regions.  We are most bullish above 853 and bearish below it.

 

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.

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

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