Nasdaq Futures Analysis: Trending Days

I define a trending day as a day in which the Daily candle for an NQ futures contract has a range of greater than 300 points.

A daily candle’s points range is measured as the difference between the high and low values occurring between 18:00 to 17:00.

68 Daily Candles

The time period I analyzed is from August 1, 2023 to November 3, 2023, a total of 68 daily candles.

Nasdaq 100 Futures Contract Daily Chart
Nasdaq 100 Futures Micro Contract, Daily Chart

Out of the 68 candles, 17 (25%) were trending days (>300 points range).

Out of these 17, the average range was 372 points, the median was 363. The high was 601 points (August 24) and the low was 304 points (November 3).

47% were Green candles, 53% were Red candles.

What Happened On Each Day

August 2, 2023 (376 pts)

  • ADP Non-Farm Employment Change, 324K vs 191K forecast
  • Fitch cut the U.S. government’s credit rating.

August 10, 2023 (305 pts)

  • Core CPI m/m, 0.2% vs 0.2%
  • Inflation report contributed to a positive sentiment that Fed’s work to bring inflation down is making progress, and that another rate hike will not be needed.

August 23, 2023 (400 pts)

  • Flash Manufacturing PMI 47 vs 48.9
  • Flash Services PMI 51 vs 52.1
  • Economic data suggesting that the economy is cooling and the Fed’s hiking campaign is working.
  • Nvidia climbed 3.2% ahead of its highly anticipated earnings report.

August 24, 2023 (601 pts)

  • NVDA down 6% on the day – after reaching an all time high ($502.66)

August 29, 2023 (380 pts)

  • CB Consumer Confidence 106.1 vs 116
  • JOLTS Job Openings 8.83M vs 9.49M
  • Economic reports suggesting that the economy is cooling, Fed may have enough evidence to pause rate hikes.

September 15, 2023 (363 pts)

  • Empire State Manufacturing Index 1.9 vs -9.9
  • Prelim UoM Consumer Sentiment 67.7 vs 69

September 20, 2023 (308 pts) *FOMC Day

  • Fed said it may not cut interest rates next year by as much as it earlier thought

September 21, 2023 (309 pts)

  • Reaction to Fed which indicated on previous day that it may cut rates next year by only half what it earlier predicted.
  • The 10-year Treasury yield rose to 4.48% and is near its highest level since 2007.

October 3, 2023 (379 pts)

  • JOLTS Job Openings, 9.61M vs 8.81M
  • More job openings than expected, increasing expectations for interest rates to stay high.
  • 10-year Treasury yield hit its highest level since 2007.

October 4, 2023 (366 pts)

  • ADP Non-Farm Employment Change 89K vs 154K
  • ISM Services PMI 53.6 vs 53.5
  • Treasury yields eased, employment data suggesting U.S. economy may be cooling.

October 6, 2023 (500 pts)

  • Average Hourly Earnings m/m 0.2% vs 0.3%
  • Non-Farm Employment Change 336K vs 171K
  • Unemployment Rate 3.8% vs 3.7%

October 13, 2023 (305 pts)

  • Prelim UoM Consumer Sentiment 63.0 vs 67.2
  • Bank earnings before open (JPMorgan, Citi, Wells Fargo) – profits were better during summer than originally feared.
  • Worry of possible escalation in Gaza: Oil up, Treasury Yields down.

October 23, 2023 (340 pts)

  • The 10-year yield again touched its highest level since 2007, then eased back.

October 25, 2023 (414 pts)

  • Fed Chair Powell Speech
  • Alphabet fell sharply on worries of growth due to slowdown in its cloud computing business.
  • Amazon, Nvidia, and Apple also fell.

October 26, 2023 (322 pts)

  • Advance GDP q/q 4.9% vs 4.5%

November 1, 2023 (351 pts) *FOMC Day

  • ADP Non-Farm Employment Change 113K vs 149K
  • ISM Manufacturing PMI 46.7 vs 49
  • JOLTS Job Openings 9.55M vs 9.34M
  • Fed with some Dovish indications from FOMC Press Conference

November 3, 2023 (304 pts)

  • Average Hourly Earnings m/m 0.2% vs 0.3%
  • Non-Farm Employment Change 150K vs 178K
  • Unemployment Rate 3.9% vs 3.8%
  • ISM Services PMI 51.8 vs 53
  • Fed’s signal that it may be done with interest rate hikes contributed to rally. Economic data (higher unemployment rate, lower employment change) provided supporting evidence.

Conclusions

Given the data above, I see four possible catalysts that may result in a trending day in the NQ futures contract:

  1. Surprising economic data releases (e.g. JOLTS Job Openings). Either large beats or misses cause the market to react, anticipating how the Fed may adjust their interest rate policy given the economic data.
  2. Global events (e.g. Fitch downgrade of US debt, possible increase of tensions in Gaza)
  3. 10-year yields hitting key technical levels
  4. Magnificent 7 Earnings