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Micro E-mini S&P 500 Index Futures

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MES1! trade ideas

Volatility in Focus: A Trader's Perspective on S&P 500 Futures1. Introduction Volatility is a critical concept for traders in any market, and the E-mini S&P 500 Futures are no exception. Traditionally, traders have relied on tools such as the Average True Range (ATR) and Historic Volatility (HV) to measure and understand market volatility. These tools provide a snapshot of how much an asset's price fluctuates over a given period, helping traders to gauge potential risk and reward. ATR measures market volatility by analyzing the range of price movement, often over a 14-day period. It reflects the degree of price movement but doesn’t differentiate between upward or downward volatility. Historic Volatility looks at past price movements to calculate how much the price has deviated from its average. It’s a statistical measure that gives traders a sense of how volatile the market has been in the past. While these traditional tools are invaluable, they offer a generalized view of volatility. For traders seeking a more nuanced and actionable understanding, it's essential to distinguish between upside and downside volatility—how much and how fast the market moves up or down. This article introduces a pragmatic, trader-focused approach to measuring volatility in the E-mini S&P 500 Futures. By analyzing daily, weekly, and monthly volatility from both the upside and downside perspectives, we aim to provide insights that can better prepare traders for the real-world dynamics of the market. 2. Methodology: Volatility Calculation from a Trader’s Perspective In this analysis, we take a more nuanced approach by separating volatility into two distinct categories: upside volatility and downside volatility. The idea is to focus on how much the market tends to move up versus how much it moves down, providing a clearer picture of potential risks and rewards. Volatility Calculation Method: o Daily Volatility: Daily upside volatility is calculated as the percentage change from the prior day's close to the next day’s high, assuming the next day’s high is higher than the prior day’s close. Daily downside volatility is the percentage change from the prior day's close to the next day’s low, assuming the next day’s low is lower than the prior day’s close. o Weekly Volatility: Weekly upside volatility is determined by comparing the previous Friday’s close to the highest point during the following week, assuming the market went higher than the prior Friday’s close. Weekly downside volatility is calculated by comparing the previous Friday’s close to the lowest point during the following week, assuming the market went lower than the prior Friday’s close. o Monthly Volatility: Monthly upside volatility is measured by taking the percentage change from the prior month’s close to the next month’s high, assuming prices moved higher than the prior monthly close. Monthly downside volatility is calculated by comparing the prior month’s close to the lowest point of the following month, assuming prices moved lower than the prior monthly close. 3. Volatility Analysis The E-mini S&P 500 Futures exhibit distinct patterns when analyzed from the perspective of upside and downside volatility. By measuring the daily/weekly/monthly fluctuations using the trader-focused approach discussed earlier, we gain valuable insights into how the market behaves on a day-to-day basis. Key Insights: Trend Observation: The data reveals that during periods of market distress, such as financial crises or sudden economic downturns, downside volatility tends to spike significantly. This indicates a greater propensity for the market to fall rapidly compared to its upward movements. Implication for Traders: Understanding these patterns allows traders to anticipate the potential risks and adjust their strategies accordingly. For instance, in highly volatile environments, traders might consider tightening their stop losses or hedging their positions to protect against sudden downturns. 4. Comparative Analysis: Rolling Volatility Differences To gain deeper insights into the behavior of the E-mini S&P 500 Futures, it’s useful to compare the rolling differences between upside and downside volatility over time. Rolling Volatility Differences Explained: Rolling Analysis: A rolling analysis calculates the difference between upside and downside volatility over a set period, such as 252 days for daily data (approximately one trading year), 52 weeks for weekly data, or 12 months for monthly data. This method smooths out short-term fluctuations, allowing us to see more persistent trends in how the market behaves. Volatility Difference: The volatility difference is simply the upside volatility minus the downside volatility. A positive value suggests that upside movements were more significant during the period, while a negative value indicates stronger downside movements. Key Insights: Trend Observation: The rolling difference analysis reveals that downside volatility generally dominates, particularly during periods of economic uncertainty or financial crises. This confirms the common belief that markets tend to fall faster than they rise. Implication for Traders: Traders could use rolling volatility differences to anticipate changes in market conditions. A widening gap in favor of downside volatility may signal increasing risk and the potential for further declines. Conversely, a narrowing or positive rolling difference could suggest improving market sentiment and potential opportunities for long positions. 5. Volatility Trends Over Time Understanding the frequency and conditions under which upside or downside volatility dominates can provide traders with valuable insights into market behavior. By analyzing the percentage of days, weeks, and months where upside volatility exceeds downside volatility, we can better grasp the nature of market trends over time. Volatility Trends Explained: Percentage of Days with Greater Upside Volatility: This metric shows the percentage of trading days within a given year where the upside volatility was higher than the downside volatility. It highlights the frequency with which the market experienced more significant upward movements compared to downward ones on a daily basis. Percentage of Weeks with Greater Upside Volatility: Similarly, this metric calculates the percentage of weeks in a year where the upside volatility was greater than the downside. It provides a broader perspective on market trends, capturing sustained movements within weekly timeframes. Percentage of Months with Greater Upside Volatility: This metric reflects the percentage of months in a year where upside volatility exceeded downside volatility. It is particularly useful for identifying longer-term trends and understanding the market’s behavior over extended periods. Key Insights: Trend Observation: Historically, again, we can see the data shows that downside volatility tends to dominate, especially during periods of market stress. However, there are years where upside volatility has been more frequent. Implication for Traders: Traders can use these insights to adjust their strategies based on the prevailing market conditions. In years where downside volatility is more frequent, defensive strategies or hedging might be more appropriate. Conversely, in years where upside volatility dominates, traders might consider more aggressive or trend-following strategies. 6. Key Takeaways for Traders The analysis of the E-mini S&P 500 Futures’ volatility, broken down by daily, weekly, and monthly intervals, provides crucial insights for traders. Understanding the distinct patterns of upside and downside volatility is essential for making informed trading decisions, particularly in a market that often behaves asymmetrically. Practical Conclusions for Traders: Risk Management: Given the dominance of downside volatility, traders should prioritize risk management strategies. This includes using stop-loss orders, protective options, and other hedging techniques to mitigate potential losses during volatile periods. Strategic Positioning: Traders might consider adjusting their position sizes or employing defensive strategies during periods of heightened downside volatility. Conversely, when upside volatility shows signs of strengthening, more aggressive positioning or trend-following strategies could be beneficial. Timing Entries and Exits: Understanding the patterns of volatility can help traders better time their entries and exits. For instance, entering the market during periods of lower downside volatility or after a significant downside spike can offer better risk-reward opportunities. Adaptability: The key to successful trading in volatile markets is adaptability. Traders should remain flexible and adjust their strategies based on the prevailing market conditions, as indicated by the volatility analysis. By incorporating these insights into their trading approach, traders can better navigate the E-mini S&P 500 Futures market, enhancing their ability to capitalize on opportunities while managing risks effectively. When charting futures, the data provided could be delayed. Traders working with the ticker symbols discussed in this idea may prefer to use CME Group real-time data plan on TradingView: www.tradingview.com This consideration is particularly important for shorter-term traders, whereas it may be less critical for those focused on longer-term trading strategies. General Disclaimer: The trade ideas presented herein are solely for illustrative purposes forming a part of a case study intended to demonstrate key principles in risk management within the context of the specific market scenarios discussed. These ideas are not to be interpreted as investment recommendations or financial advice. They do not endorse or promote any specific trading strategies, financial products, or services. The information provided is based on data believed to be reliable; however, its accuracy or completeness cannot be guaranteed. Trading in financial markets involves risks, including the potential loss of principal. Each individual should conduct their own research and consult with professional financial advisors before making any investment decisions. The author or publisher of this content bears no responsibility for any actions taken based on the information provided or for any resultant financial or other losses.
CME_MINI:ES1!Education
by traddictiv
6
ES/SPX Levels & Targets Aug 26thOn Thursday/Friday, I called the 5588-93 buy zone with a target of 5653, and ES has hit it four times since Friday morning. As of now: No changes—I'm still holding my runners from Friday mentioned in plan. The 5642 level, which has been tested twice but remains weak, is the key support. If we can hold above that, I’m eyeing 5672 and the 5687-90 range as potential targets. If 5642 breaks, I’ll look to sell around 5630. Full Plan for today was posted Sunday Morning
CME_MINI:ES1!
by ESMorg
Monday's Plan ES and NQSunday evening; WE RALLIED AT THE OPEN OF THE Sunday futures session. Typically there will be a reversal to go back down to pivot/VWAP by the MONDAY CASH open. Since Mondays typically are Bullish, according to backtesting... "they" will sell overnight until London opens, this could lead to. big rally by NYSE open. So i'd like to go long with london. Later in the day I will short. However NQ is at R4 a high sell level and appears to be rolling over after 5" of buying. I could see NQ going as low as S3 19675 before bouncing. As I explained on my last idea each day has a bullish HOD and a bearish LOD. Expect bullishness at the open and a selloff later ij the day just like everyday, 5 waves up abc down.
CME_MINI:ES1!Short
by dryanhawley
#202435 - priceactiontds - weekly updateGood Evening and I hope you are well. tl;dr sp500: 53 points to a new ath is a small spike at this point. Whenever a market is this close to an obvious magnet, it’s reasonable to assume that it will get there. Will it be a big difference if the high stays below 5700 or goes above 5721? Not really. You simply can not short this and put your stop a tick above the previous ath. Bulls are in control and until bears print consecutive bear bars below 5600, it stays that way. Quote from last week: comment : Not much difference to dax, just that this market was a tat stronger even. Bulls almost reversed completely but 7 consecutive bull bars is as climactic as it gets. A pullback is due but that does not mean you can short it at 5578. Could go further since the obvious pain trade is up. comment : Bears produced the first bigger bear bar after almost 10% in 10 bars. It was also the first pullback (price goes below the previous bar low) in this bull trend inside the bigger trading range. As I wrote for dax, I can not be anything but neutral going into next week since we are at previous resistance after a very climactic move up. Bulls want a new ath and bears to keep it a lower high. Volume is picking up again and bears build some decent selling pressure on Thursday + Friday. On the 4h chart you can see 5 legs up without much of pullbacks. Will find out next week how many bulls are interested in buying above 5600. current market cycle: Bull trend inside bigger trading range. key levels: 5000-5700 bull case: Bulls closed the bear gap and are free to print a new ath. Bears are not doing enough to make more bulls take profits, so naturally they keep on buying any small dip and pushing it higher. Technically we have two bull trend lines pointing to higher targets above 5721 with one even going to 5900-6000. Can this happen? For sure. After this climactic down than even more climactic up, everything is possible. Is it likely? No. Invalidation is below 5500. bear case: Bears see it as a big trading range and we are at the highs again. They start scaling into shorts above 5600. They know the market is overdue for a bigger pullback again and they will add higher, even if we print a new ath. If they can keep this a lower high and print below 5600, I do think we could see more bulls covering their longs. For now bears can mostly hope for a sideways market and stopping the advance. On the monthly chart bears produced a decent doji in July and they want this months bar closing near 5500 to not generate a good buying signal for September. Invalidation is above 5670. outlook last week: short term: Neutral af. Want to see a pullback and also how market reacts to 5600. → Last Sunday we traded 5578 and now we are at 5652. 5600 was no bigger resistance. Bulls printed a green week but bears came around and starting making the market more two sided again. short term: Neutral again. No interest in bigger buying above 5600. Will scalp long if bulls make it clear that they want a new ath but mostly looking for signs of bear strength over the next week. I don’t think bears want July to close above 5600. medium-long term : Can’t be too bearish after the reversal but same as dax again. Even if we do a new ath, I expect at least 5200 to be hit again this year but probably 5000. current swing trade: None. chart update: Removed bear gap and added the possible 5 wave series and a potential bigger two legged correction but that is pure speculation as of now.
CME_MINI:MES1!
by priceactiontds
Full ES Trading Plan for Aug 26thPlan For Monday: supports are 5642, 5630 (major), 5620, 5616, 5612 (major), 5605 (major), 5598, 5594, 5588-86 (major), 5576, 5572, 5566 (major), 5560, 5547, 5534-38 (major). Levels to Bid: • Still holding my runner from the 5588-93 long Friday night and letting it ride. I added another 25% around 5647 late in the day because my cost basis is low, so as long as we’re above break-even, I’m holding. • It should be clear by now that ES is setting up a new consolidation range between 5659 and 5588-92. This range is wide and could become a bit of a battleground. Must take profits level by level. Overtrade within this range, the market will eat your lunch. • Everything in this range is choppy with poor follow-through, so it’s best to wait for failed breakdowns, trade level to level, leave runners on, and stop overtrading. Since Tuesday, the structure looks like a “megaphone” or early bull flag. There are several critical levels in this range that have been heavily tested, so you’ll need to be nimble. • First Level Down: 5630. It’s been worked a lot, so I’ll watch the volume in real-time. Ideally, I’d want to see it flush and reclaim, maybe down to 5620 before considering entries. • This only applies if we haven’t broken out of the 5659 range first. If we break to new highs, then any new longs below are off the table. • Below 5630: We’ve got the 5612 and 5605 cluster. Watch for failed breakdowns of Friday's low, and if we can hit 5605 or so and reclaim, I’ll be looking to go long. If things are looking particularly bearish, I might wait for 5612 to recover before jumping in. • If 5588 fails: I’ll probably be flipping to shorts and won’t be interested in longs until around 5534-38. Resistances: • 5654, 5659 (major), 5662, 5672, 5679, 5687-90 (major), 5694, 5705 (major), 5714, 5720 (major), 5730 (major), 5737, 5746, 5749 (major), 5758, 5770 (major), 5778, 5785 (major). • As usual, I have a strict “no shorting strength” rule when we’re in an uptrend. I just don’t do it. For those who are into that kind of risky play, 5659 has been tested a lot and has worked for shorts a few times already, so it’s probably losing reliability. • Next risky short spot: 5687-90, then 5730 and 5785 if you’re feeling brave. Buyers Case: • I’m seeing 5588 to 5659 as a chop zone now, so the “buyers case” is the default as long as 5588 keeps holding. With this structure intact, I see the 5588-5659 range as just another bullish continuation pattern. • Remember, in an uptrend, most traders assume all structures will break to the upside—because 80% of the time, they do. I’m not trying to be a hero and predict which 20% will fail; I’ll just short when one does. It's literally that simple. Til then, you stay with the trend. • The buyers case for Monday would be more range filling, followed by a breakout targeting 5673, then 5687-90. After that, it’s probably on to all-time highs, with 5785 being the next big magnet. • Ultra bullish scenario: ES doesn’t dip at all and goes straight up. This would likely see ES flagging below 5659 and above 5630, maybe without even hitting 5642 first. I’d consider adding in this case, especially if we probe under 5642 and recover, but it’s hard to get too specific without seeing how things play out Sunday night/Monday morning. Sellers Case: • Starts with a break below 5588. I’d need to see a final bounce/failed breakdown/reaction at 5588. After this plays out and its clear there is minimal demand left at the level, I will be shorting. Perhaps 5583 trigger. Level to level profit takes. In general, defer to the trend as always. 5659 to 5588 = pure chop. We can fill this out in many ways. As long as this structure is intact, we push to 5672, 5687-90 next. Maybe a dip there, then on to 5705, 5730. If 5588 fails, we finally get a short trigger and start the leg down to 5538.
CME_MINI:ES1!
by ESMorg
Q3/1M boxes and 1d targets for the ladies On the left: 1d bullish on macro s1 @ 5593 s2 @ 5564, interim showing bearish rotation as we come up to the Q3 sell box- Interim r1 @ 5693, jus a breath beneath the ATH - DMI also pending bear. On the right: 30m interim and macro pending bullish rotation ... targets inside 1d box + extension noted up to 5687 -- further push upside feasible on the wkly and Q3 range - however, mind the interim r1 on 1d @ 5694 30m bullish as long its it sustains north of 5616, targets noted if price breaches lower end of 8h buy box (blue/green box) @ 5614 Not noted on chart is interim s1 on monthly @ 5569 (roughly same level as s2 on 1d macro).. significant level as we stay bullish above that but break below and the monthly could roll bearish with feasible range downside to s2 @ 5332 and possibly s1 on 1M macro @ 4929. The vola is incredibly generous, allow yourself to receive. Appreciate the risk
CME_MINI:ES1!
by iSovereign
2
Resend: Full ES Plan For Today // Sent Out YesterdayPlan for Friday: Supports are: 5593-5588 (major), 5582, 5572, 5567 (major), 5560, 5555, 5540-45 (major), 5528 (major), 5519, 5512 (major), 5502. Tomorrow is the Jackson Hole speech at 10am, and it could be as unpredictable as FOMC or CPI days, so trade cautiously. First off, size down—there's no point in risking big money in a market driven by algos and noise. Losing money on a known volatile day is a choice. Most professional traders have already called it a week and are skipping tomorrow—take note. Professionals focus on preserving profits, while retail traders often chase quick gains. This difference in mindset is why pros size down or stay out, while retail traders often lose money. Expect traps tomorrow—like with CPI/FOMC days, the first few moves might be fakeouts. It’s smart to wait for failed breakdowns rather than diving in. Also, avoid overtrading. Stick to level-to-level trades because price action could get complex and hard to predict. My approach will be to take one trade and protect it, only risking profits on a second trade if necessary. Tomorrow is all about preserving capital for me, and I’m only risking 10% of this week's profits. Keep in mind that last year’s Jackson Hole reaction was very bullish, but 2022’s was extremely bearish. Be ready for anything. First support is 5593-88, which we’ve been holding for a couple of hours. I’ll watch for flushes and reclaims of this zone. Given that it’s Jackson Hole day, if the market wants to sell off, it could blow through multiple supports, so I’ll be patient and wait for failed breakdowns before considering any longs. 5567 is the next support down, but I’m not interested in catching a falling knife tomorrow. Below that, 5540-45 is another level to watch. On a regular day, I’d look to buy here, but tomorrow I’ll wait for reactions before making any moves. Resistances are 5604 (major), 5610, 5618-20 (major), 5623, 5630 (major), 5636, 5643, 5653 (major), 5661 (major), 5668, 5672, 5678, 5685 (major). I don’t short in uptrends, especially on Jackson Hole day. If you’re into risky trades, 5685 and 5705 might be worth considering, but it’s not my style. Buyers case tomorrow, even after 11 days of rallying, a pullback would be normal and healthy. Remember, pullbacks in ES tend to be sharp drops, not slow grinds. Big picture, buyers are still in control above the breakout around 5450. Short-term, as long as we’re above 5588-93, they could push higher, targeting 5630 and 5652, with potential new highs after that. Sellers case: it starts with a break below 5588-93, but be cautious—Jackson Hole days are tricky and full of traps. Ideally (on a normal day), I’d want to see perhaps one more bounce and/or failed breakdown here. After this, I am short 5584 or so. Level to level profit takes. In general, Its Jackson Hole day, and the market will be on a mission to take your money. Size down. I don’t like “predicting” ahead of a day like this (since its impossible) but if I had to give a lean, its always to defer to the trend. As long as 5588-93 holds, we can simply resume up back to 5630, 5653. Perhaps final reaction, then breakout to 5685+. Sell<5588.
CME_MINI:ES1!
by ESMorg