Futures Hold Above VWAP Into NFP Benchmark Revision, 3-Yr Auction, and API Crude — Sep 9, 2025 Trading Blueprint

Market Overview & Sentiment News

The multi-panel premarket charts captured ~06:20 ET show ES, NQ, YM, and RTY grinding sideways-to-up and hovering at/above session VWAP after an orderly Asia–Europe session. CL rallied overnight and is now easing back toward VWAP. Today’s U.S. calendar features a modestly better NFIB Small Business Optimism (100.8 for Aug) and steady Redbook YoY (+6.5%), with the 10:00 AM ET NFP annual benchmark revision, a 1:00 PM 3-year note auction, and 4:30 PM API crude inventories as the day’s swing catalysts. With rates in focus into the auction and energy watching API, the risk tone is constructive but headline-sensitive.

• U.S. futures steady near/above session VWAP: Indices are digesting overnight gains with tight ranges; breadth likely determines whether we trend post-10:00.
• NFIB (Aug) 100.8; Redbook YoY +6.5%: Small-business sentiment ticked higher and weekly retail growth remains firm—supportive for risk if rates stay contained.
• 10:00 AM – NFP annual benchmark revision: Direction/magnitude vs the prior -818K reference can sway rate-cut expectations and equity leadership.
• Rates & liquidity watch: The 1:00 PM 3-year auction is the day’s key rates event; a weak take-down that lifts yields can pressure tech and small-caps.
• Energy tone: Crude’s overnight bounce is fading into VWAP; 4:30 PM API sets the next directional cue for CL.

Technical Analysis

Across ES/NQ/YM/RTY the tape is balanced with price above or orbiting session VWAP and consolidating under overnight swing highs. Volume expanded on the prior up-leg and tapered during the drift, favoring continuation if VWAP holds, but inviting mean-reversion if it breaks on rising volume. CL shows an overnight rise with a pullback toward VWAP, leaving a neutral-to-slightly-down bias into the U.S. session.

• ES / S&P 500 futures: Bull-bias above session VWAP; continuation requires holding VWAP after the 10:00 print. Lose VWAP on heavy volume and a fade toward the mid-band is in play.
• NQ / Nasdaq-100: Leadership remains with large-cap/AI cohorts on dips. Favor 1–3-minute bull-flag continuations above VWAP; abort on VWAP loss plus rising tick/volume.
• YM / Dow: Constructive but slower. Use VWAP and opening-range extremes as pivots; industrials more sensitive to any rates pop post-auction.
• RTY / Russell 2000: Stabilizing above VWAP but remains yield-sensitive. A rates uptick can flip RTY to relative weakness; trade OR/VWAP reclaims with tight risk.
• CL / Crude oil: Overnight bounce is retracing toward VWAP. Bias neutral-down into API; treat VWAP rallies as potential fades unless inventory data skews bullish.

Economic Calendar Insights & Trading Plan

Today’s driver set is staggered: early NFIB/Redbook are in the books, the 10:00 AM NFP benchmark revision can reframe the labor narrative, the 10:30 AM NY Fed 22.5–30y purchases are small ($50 mm consensus) but headline-worthy, the 1:00 PM 3-year auction is the main rates impulse, and the 4:30 PM API print guides CL. Expect volatility clusters around 10:00 and 1:00, with energy risk late-day.

• 10:00 AM – NFP annual revision: Compare the magnitude/direction to the prior -818K indication. Playbook: Wait for the first 1–2 candles to settle versus VWAP; trade continuation if VWAP holds, fade if a VWAP loss comes with breadth deterioration.
• 10:30 AM – NY Fed purchases (22.5–30y): Small flow; treat as a headline nudge rather than a trend setter.
• 1:00 PM – 3-Year note auction: Risk toggle. Weak demand → higher yields → NQ/RTY underperform; strong demand → yields ease → growth outperforms. Re-assess index bias immediately after the tail comes out.
• 4:30 PM – API crude stocks: Positive surprise (build) may cap CL; a sizable draw can extend the bounce. Align CL trades with VWAP and post-print direction.
• Tactics: Reduce size into 10:00 and 1:00. Use opening-range (OR) and VWAP confluence for entries; keep initial stops just beyond OR or the opposite VWAP band; scale out 1R, trail for 2R–3R.

Foundational Analysis

Macro remains a push-pull between resilient consumption (Redbook) and mixed business sentiment (NFIB only modestly higher). Labor re-benchmarking at 10:00 can subtly alter perceived slack and thus the policy path narrative into September FOMC. Equities prefer stable-to-lower yields and benign inventories for energy costs; leadership concentration in mega-cap tech persists while cyclicals and small-caps track rates.

• Growth vs. price: Consumption indicators are steady, but firms remain cautious—supportive for a soft-landing skew if yields don’t spike.
• Leadership & rotation: Mega-cap/AI remains the relative-strength pocket; watch for rate-led rotations after the 3-year auction.
• Key risks: A negative NFP re-benchmark that tightens perceived labor slack, a weak 3-year auction lifting front-end yields, or a surprise API build pressuring energy equities.

Today’s Strategy for Scalpers & What to Watch For

With indices coiled above VWAP and event risk clustered at 10:00 and 1:00, the highest-quality edges come from trading OR/VWAP reactions rather than pre-positioning. Liquidity is concentrated near VWAP and the overnight high/low, making sweep-and-reclaim setups attractive. CL remains a data-dependent late-day trade.

• Pre-open (9:20–9:30 ET): Mark ON high/low, session VWAP, and prior day high/low. Define invalidation for continuation-long (VWAP hold) vs fade-the-rip (failure at ON high → VWAP test).
• After 10:00: Continuation: If NQ/ES hold VWAP with cumulative volume delta improving, buy bull-flag retests toward VWAP; partial at ON high, trail under last micro-swing. Reversal: If breadth flips and VWAP is lost on thrust, short first VWAP retest from below into mid-band.
• Into/after 1:00 auction: If yields jump, prioritize RTY/financials fades and de-risk tech; if yields ease, shift to NQ momentum longs on VWAP holds.
• CL protocol: Treat midday as range maintenance; re-engage 4:30 PM with VWAP-aligned breakouts/fades based on API direction.
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Market Open Projections / What Could Happen After Market Open

The overnight coil near VWAP argues for a choppy first hour that resolves on the 10:00 labor revision and then re-tests around the 1:00 auction. Direction likely follows yields; energy awaits API late-day.

• Base case (45%): OR chop → VWAP hold → slow grind higher if the NFP revision is benign and the 3-year auction is solid; NQ leads.
• Alt 1 (35%): Weak auction sends front-end yields higher; VWAP breaks and we trend down with RTY/NQ lagging; fade VWAP retests.
• Alt 2 (20%): Mixed signals keep ranges intact; fade extremes of ON high/low and prioritize quick partials.

Summary

Premarket equity futures are balanced-to-constructive above session VWAP, supported by a modest NFIB beat (100.8) and steady Redbook (+6.5% YoY). The 10:00 AM NFP annual benchmark revision and 1:00 PM 3-year auction are today’s main volatility levers; API crude at 4:30 PM steers CL late-day.

Trade the reaction, not the prediction: stay with longs above VWAP on benign labor revision and a firm 3-year auction; flip to VWAP-reclaim shorts if yields jump on weak demand or if the revision meaningfully alters the labor narrative. Keep size light into the events, lean on OR/VWAP structure, and revisit CL risk around the API print. Sources: Based on Bloomberg, Reuters, and economic calendar reviews.