The ES is pushed around intraday by large paper buyers and sellers and also large locals, these players can push the market around 10 points no problem so if you are looking for reasons for unexplained intraday swings there you have it. Ben Lichenstein does some excellent live commentary from the S&P pit (|| S&P 500 Pit Squawk ||
), you can hear him refer to paper #1 buyer/seller with I believe is Goldman so you get the heads up when these guys are buying/selling.
There are also the large local traders who trade through US prop firms, people like the infamous Igor who did huge volume. It was rumored at one point Kingstree Trading did like 25% of the daily volume on the S&P, not sure if they still do volume but firms like Jump Trading do huge volume. I know a guy who trades 10,000 daily volume on the ES, he trades a 50 lot 100 times a day. These guys have super low commission like sub 50c per round turn which makes it viable to scalp for 1 tick. He makes 0.1 of a tick per trade average, that works out like $12,500 per day but he is employed and doesn't see much of that. You simply cannot trade like he does with a retail commission of $3 per RT.
So whatever the investment outlook these markets are being pushed around, without an understanding and awareness of these players trading the ES is a retail traders nightmare and a pro traders wet dream. lol.
When I was evaluating what instrument to trade I knew I needed to have rock bottom costs and fast execution if I wanted to be truly scalping (by true scalping I mean shooting for 1c or 2c or 1 or 2 ticks on the ES), I looked at the ES, certainly it was a good option but knew I needed to get my costs down to less then 10% of the tick size
preferably lower. I managed to cut a deal with a broker where I could get RT's for less then $1 but that would require 10,000 monthly volume and leasing a seat on the exchange for around $600 pm. I ended up no going for the ES and going for stocks instead.
With this true scalping style you get in and can be out within a second, maximum trade length would be 5 mins, as you are generally looking for momentum pushes if it doesn't come quickly you get out, the super low round turn costs allow you to do this, the most important thing is being able to constantly take 1c / 1 tick losers and the training to begin with focusses on this.
I settled on high volume stocks, notably bank of america (BAC) it trades around 200m shares per day and I managed to get a round turn cost of 80c all in on a 1000 share lot. So a 1c move would be $10 for 1000 shares and I am effectively paying 8% of the tick/1c size if you get me. This enable true scalping, so often if I am looking at a high probability 'set up' I can often take 1c winner (equivalent to 1 tick on futures). So far I have only traded 2000 lots, the volume soon racks up, some prop traders are doing 1m+ daily volume. BAC is thick enough to get a 20k or 30k lot off at one price that is about the limit before you start having to break up the order. I joined World Trade Securities and they take a chunky 25% split of my profits but it allows me to compete on that level. Even at 80c per 1000 lot round turn this can go lower, perhaps 40c is possible but I would need to do much more volume.