VTWO - Selling Into Strength In Equity Index Futures

• In daily trading, you can see one index be weak and another be up on the same day, but generally if the equity market is weak or strong as a whole, they all move in the same direction. Last two weeks, we often saw a firm bid at the open immediately disappear by the close in the most important equity index futures contract - on the S&P 500.
• Last Friday was “quad-witching” expiration day, which saw serious selling (by recent standards) in the S&P 500 and Nasdaq 100 indexes.
• Over longer periods of time, September is the only month of the year that has a negative average return, but in the last 20 years, that seasonality tends to have been concentrated in the last two weeks of the month. We are about to find out if this year turns out to be following the same trend.
• Market participants seem to have decided that a taper is a given, and they are expecting details of tapering plans at this Fed meeting.

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