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Brian's Wednesday recap: Just another day at the orgy

Brian Shepard

Nomura head of Americas rate research George Goncalves and analysts Stanley Sun and Jeffrey Young shared, although risk markets are climbing the proverbial "walls of worry," that doesn't mean everything is rosy, while there are still potential risks ahead. Lastly, with Bernanke's reconfirming the Fed's commitment to QE, we see the belly of the curve well supported and it is trading cheap." They add however the spec position for 10Y Tsy futures contract "is at the highest level since December 2012" plus also "dealers have covered some of their shorts in the 6Y to 11Y sector recently" though they "still hold a relatively large short position as of Feb. 27, 2013."

Collective Intelligence! Stress Test Part 2: Tomorrow the Federal Reserve releases the results of its Comprehensive Capital Analysis and Review, which examines capital planning processes of large banks and institutions - some of which are seeking permission for buybacks and/or raising/dividends. We also have jobless claims, PPI premarket followed by Bloomberg’s consumer comfort index.

How popular are single stock futures? William Blount’s witty reply: Why try to pick the prom queen out of the court when you have an orgy every day with the whole court -- that’s the way ya gets to be the queen too!

Between Sept. 17, 2010, and Nov. 1, 2010, in the e-mini futures contract (December 2010 contract, symbol ESZ0): 41,778 accounts traded this contract 30 of these accounts (less than 1/10th of 1%) met criteria to be classified as HFT. These 30 HFT accounts: participated in 46.7% of total trading volume. grossed $1.51 million per trading day. Of these 30 HFT, the top 8: were aggressive 59.2% by volume (the other 22 were aggressive 35.9% by volume). grossed $793,342 per trading day.

At (07:38CT) Andy posted overnite inventory leaning short http://bit.ly/YbiFW5 Also, the Business Roundtable's CEO Economic Outlook Index rose to 81.0 in March, up from a reading of 65.6 in December : http://reut.rs/ZmelVD

Don’t miss this guy > @princetontrader aka Mike V posted his Webcast Pivots http://t.co/o3jquW1i0U At (08:50CT) Mike posted his vol windows ES: 1551.75 x 1538.75 and NQ: 2806.75 x 2778.00.

Kathy has had some very good calls! Charts posted by Kathy Garber @tbg4321. Harmonic rotations CL http://screencast.com/t/sOZCl9m3 ES http://screencast.com/t/ZyPcKlu42ZvE SPY http://screencast.com/t/GRknGveRD AAPL http://screencast.com/t/bbMM01QGXvoZ NQ testing top of that triangle / resistance line, premkt chart http://screencast.com/t/J4S5deBAEoK 6E testing dbl bullish PRZ 1.2969, this is an important support test, ideal minimum retracement tgt is 1.3016 region if this PRZ holds, premkt chart: http://screencast.com/t/WWqHatPbNaVE

During the Globex session 320k ESM traded on Globex, trading range was 1549.60 – 1542.90. Tuesday’s regular trading hours (RTH’s), pit session trading range was 1550.80– 1542.00 before settling at 1546.80, down 3.7 handles. The Asian and European markets were soft, leading global equities modestly lower. Also, in the premarket U.S. retail sales climbed twice as much as expected in February, checking in at the highest level in 5 months and added support to the indices! The opening imbalance for the broader market showed an overall $215.18M x $264.11M, a very small net sell.

Today’s SPM regular trading hours opening range was 1547.50-1546.70, traded 1548.00 before pulling back to 1542.70 before slowly grinding back up to new highs. By 11:30 the opening range was retested and converted. The Dow Transports [DJT] and [IBM] were trading at all-time highs, adding more support to the overall market and leading the SPM to a new daily high at 1550.00. [AAPL] was up modestly and [GOOG] was modestly lower while the VIX was trading back under 12. At 11:40 Sam E posted: all the marbles for the rest of the year rest at 1550.25-1550.50 the bulls are in a must perform there. Lose it and its a 1 down and 2 up on the macro chart. Place your bets on if that recent pullback was a 4 or a 1 - if you're a bull you better hope it was a 4 if a bear its your dream short.

In the early afternoon the SPM traded in the 1549 area while the [TLT] was testing its high and at 12:42 1550.20 printed in the SPM followed by 1550.80 by 1:00. The [DJT] remained rock solid and were writing new record highs through the midday on. After trading sideways to lower, holding 1547.50 area over the next hour and forty-five minutes. The SPM was trading the 1548.80 area when the 2:45 closing imbalance showed a small $360mil to sell. On the 3:00 cash close the SPM traded 1548.50 area before settling at 1550.00 on the 3:15 futures close, up 3.2 handles. In the end, the futures did what they were supposed to - sold off and then bounced late in the day.

Brian Shepard is a 20-year exchange member of the CME Group.

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