The overnight trade represents where we are setting value in U.S. stocks following overnight trade in Asia and Europe and following any premarket economic releases. As we can see from the Market Delta chart above, we have established a range in overnight action, with volume accumulating between 1038 and 1040 in the ES contract. Volume thus far at the market offer has exceeded that at the bid (bottom histogram). I will be watching carefully in early trade to see how we treat this range and the day's VWAP (red line, currently around 1038). I would be an aggressive buyer if we break above the overnight range with solid institutional participation; I would look for at least tests of recent lows if we cannot sustain trade above VWAP.
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