Quad Witching Friday: Futures Hold Near Highs After Claims Reversal, Philly Fed Pops, LEI Slips — Sep 19, 2025 Scalper’s Playbook

Market Overview & Sentiment News

Since Wednesday’s 25 bp “risk-management” cut, markets have repriced toward gradual easing while reassessing growth. Thursday’s data mix tightened the narrative: initial jobless claims cooled sharply from last week’s spike, the Philly Fed surged to its best since January, and the Conference Board’s LEI fell again—signaling softer momentum ahead even as manufacturing sentiment firmed. Rates are hovering near ~4.0–4.1% on the 10-year, VIX sits in the mid-teens, gold is on a fifth weekly rise, and crude is softer despite a large crude draw given a heavy distillate build and demand worries. Overnight tone is steady into today’s quarterly options expiration (“quad witching”), with microstructure flows likely to dominate intraday leadership versus fresh macro catalysts.

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Technical Analysis

Post-Fed drift plus mid-teens VIX points to orderly ranges unless flow shocks hit. Yesterday’s claims/Philly/LEI combination favored “buy dips, fade rips” around VWAP, with leadership flipping as yields and the USD wobbled. Quad witching typically compresses price toward large gamma strikes intraday, then releases volatility around the cash close. For ES/NQ, VWAP and opening-range (OR) control remain the clearest intraday risk rails; cumulative delta/breadth confirmation continues to separate durable trends from fleeting squeezes.

• ES (Dec): Favor longs on VWAP holds with higher lows and positive cumulative delta; fade spikes into ONH/large gamma levels if ticks/breadth diverge. Lose VWAP with negative breadth → quick reversion toward prior value.
• NQ (Dec): Most sensitive to rate/USD wiggles. Chase only on volume + tick confirmation above ORH; otherwise fade failed breakouts back to VWAP, especially if 10-yr yields press >~4.1% intraday.
• YM (Dec): Slower rotations; trade OR boundaries and yesterday’s value area edges. Look for mean-reversion scalps when breadth stalls.
• RTY (Dec): Rates/energy-tilted. Prefer VWAP reclaim/fail setups with tight invalidation; weakness in crude and softer growth cues cap upside on strength.

Context: VIX mid-teens = controlled swings until flow shocks; quad witching may pin midday and unpin into the close—size accordingly.

Economic Calendar Insights & Trading Plan

The week’s catalysts already hit: claims retreated sharply, Philly Fed jumped, the LEI fell again, and a 10-yr TIPS reopening cleared with a soft bid. Today is light on fresh U.S. macro; quarterly options expiration is the dominant flow event. The next scheduled macro impulse is early-next-week flash PMIs.

• Fri – Quarterly Options Expiration (OPEX): Expect pinning around large strikes early/mid-day and potential “unpin” into the 3–4 pm ET window. Strategy: Focus on VWAP/OR structure and watch for flow-driven diverging ticks vs. price—scalp the reversion when price detaches from breadth/delta.
• Next up (Mon/Tue) – Flash PMIs: A firmer manufacturing/services read could keep NQ bid unless yields pop; a softer read supports duration-sensitive growth but risks broader risk-off if orders/prices slip. Strategy: Carry less risk into Monday’s open; re-assess factor skew post-print.
• Rates & USD cross-checks (ongoing): 10-yr near ~4.0–4.1%, mid-teens VIX. Strategy: Use UST/DXY ticks as confirmation for ES/NQ continuation or fades.

Reference: Light Friday calendar; primary drivers are OPEX flows and cross-asset moves; next macro pulse: flash PMIs early next week.

Foundational Analysis

Policy has shifted a notch looser with a 25 bp cut framed as risk management amid labor cooling. High-frequency labor data eased after last week’s spike, manufacturing sentiment improved regionally, but the LEI’s renewed decline underscores late-cycle slowing. Housing is soft on supply overhang and affordability; retail sales had resilience but face a shakier jobs backdrop. Energy is two-sided—large crude draws vs. distillate builds and demand caution. A weak 10-yr TIPS reopening signals wobbly appetite at lower real yields. Structural flows (buybacks/ETF demand) continue to cushion dips even as a steadier USD/rates path tempers multiple expansion.

Today’s Strategy for Scalpers & What to Watch

With quad witching in play, liquidity clusters around large strikes often compress mid-session ranges and then expand late. The cleanest edges are rule-based around VWAP/OR and timed to OPEX microstructure (open, EU close, and 3–4 pm ET). Cross-asset confirms (10-yr, DXY, CL) remain essential to avoid chasing false breaks.

• 09:30–10:10 ET (Cash Open / OR set): Let 30–60s print. Plan A: If ES/NQ spike into ONH/large strikes and stall with ticks/breadth lagging, fade back to VWAP (tight stop above wick). Plan B: If early breadth is strong and VWAP holds, buy pullbacks toward VWAP/ORH with cumulative-delta support.
• 11:00–11:30 ET (EU Close): Watch for flow inflections; if price detaches from VWAP without volume/tick confirmation, fade back to balance.
• 15:00–16:00 ET (Quad Witching Close): Expect potential “unpin.” Plan: Only chase if price, ticks, and delta align above ORH; otherwise fade exhaustion wicks back to VWAP/POC. Keep size modest—slippage risk rises.
• Cross-asset tells: 10-yr push >~4.1% + firmer USD → lean to NQ fades; easing reals/USD → favor NQ continuation. Oil softness aids megacap growth on dips; a crude bounce can lift cyclicals/RTY.
• Risk controls: Half-size around open/close; widen stops modestly but cut leverage. Don’t add into chop; reset after invalidation.
• Execution edge: Reduce latency and slippage by colocating your stack with QuantVPS.

Notes: Flow-heavy session; respect pins around large strikes and be ready for late-day volatility expansion.

Market Open Projections / What Could Happen After Market Open

With limited fresh macro today, positioning and OPEX dynamics dominate. Claims/Philly/LEI resolved mixed-to-cautious macro; yields near ~4.0–4.1% and mid-teens VIX argue for controlled ranges unless an OPEX-driven flow shock unlocks movement.

• Base case (50%): OR chop → VWAP hold/pin near large gamma strikes → balanced trade until late session; potential “unpin” into 3–4 pm ET produces a directional push if rates/USD assist.
• Alt 1 (30%): Growth-friendly drift (reals ease, USD softens) → NQ leadership; buy pullbacks to VWAP/ORH with tight invalidation.
• Alt 2 (20%): Rates back up toward the highs (10-yr ~4.1%+) and USD firms → NQ underperforms; fade pops to VWAP/ONH and rotate to cyclicals if crude stabilizes.

Summary

The policy backdrop is measured easing, the near-term data mix is mixed (claims rebound, Philly strong, LEI weak), and today’s driver is OPEX flows. Cross-asset checks (rates/USD/oil) remain key for intraday skew.

Market Overview & Sentiment News

Since Wednesday’s 25 bp “risk-management” cut, markets have repriced toward gradual easing while reassessing growth. Thursday’s data mix tightened the narrative: initial jobless claims cooled sharply from last week’s spike, the Philly Fed surged to its best since January, and the Conference Board’s LEI fell again—signaling softer momentum ahead even as manufacturing sentiment firmed. Rates are hovering near ~4.0–4.1% on the 10-year, VIX sits in the mid-teens, gold is on a fifth weekly rise, and crude is softer despite a large crude draw given a heavy distillate build and demand worries. Overnight tone is steady into today’s quarterly options expiration (“quad witching”), with microstructure flows likely to dominate intraday leadership versus fresh macro catalysts.

Use a Virtual Private Server:  With QuantVPS, you can execute trades with a 1 ms latency. Sign up here!

Technical Analysis

Post-Fed drift plus mid-teens VIX points to orderly ranges unless flow shocks hit. Yesterday’s claims/Philly/LEI combination favored “buy dips, fade rips” around VWAP, with leadership flipping as yields and the USD wobbled. Quad witching typically compresses price toward large gamma strikes intraday, then releases volatility around the cash close. For ES/NQ, VWAP and opening-range (OR) control remain the clearest intraday risk rails; cumulative delta/breadth confirmation continues to separate durable trends from fleeting squeezes.

• ES (Dec): Favor longs on VWAP holds with higher lows and positive cumulative delta; fade spikes into ONH/large gamma levels if ticks/breadth diverge. Lose VWAP with negative breadth → quick reversion toward prior value.
• NQ (Dec): Most sensitive to rate/USD wiggles. Chase only on volume + tick confirmation above ORH; otherwise fade failed breakouts back to VWAP, especially if 10-yr yields press >~4.1% intraday.
• YM (Dec): Slower rotations; trade OR boundaries and yesterday’s value area edges. Look for mean-reversion scalps when breadth stalls.
• RTY (Dec): Rates/energy-tilted. Prefer VWAP reclaim/fail setups with tight invalidation; weakness in crude and softer growth cues cap upside on strength.

Context: VIX mid-teens = controlled swings until flow shocks; quad witching may pin midday and unpin into the close—size accordingly.

Economic Calendar Insights & Trading Plan

The week’s catalysts already hit: claims retreated sharply, Philly Fed jumped, the LEI fell again, and a 10-yr TIPS reopening cleared with a soft bid. Today is light on fresh U.S. macro; quarterly options expiration is the dominant flow event. The next scheduled macro impulse is early-next-week flash PMIs.

• Fri – Quarterly Options Expiration (OPEX): Expect pinning around large strikes early/mid-day and potential “unpin” into the 3–4 pm ET window. Strategy: Focus on VWAP/OR structure and watch for flow-driven diverging ticks vs. price—scalp the reversion when price detaches from breadth/delta.
• Next up (Mon/Tue) – Flash PMIs: A firmer manufacturing/services read could keep NQ bid unless yields pop; a softer read supports duration-sensitive growth but risks broader risk-off if orders/prices slip. Strategy: Carry less risk into Monday’s open; re-assess factor skew post-print.
• Rates & USD cross-checks (ongoing): 10-yr near ~4.0–4.1%, mid-teens VIX. Strategy: Use UST/DXY ticks as confirmation for ES/NQ continuation or fades.

Reference: Light Friday calendar; primary drivers are OPEX flows and cross-asset moves; next macro pulse: flash PMIs early next week.

Foundational Analysis

Policy has shifted a notch looser with a 25 bp cut framed as risk management amid labor cooling. High-frequency labor data eased after last week’s spike, manufacturing sentiment improved regionally, but the LEI’s renewed decline underscores late-cycle slowing. Housing is soft on supply overhang and affordability; retail sales had resilience but face a shakier jobs backdrop. Energy is two-sided—large crude draws vs. distillate builds and demand caution. A weak 10-yr TIPS reopening signals wobbly appetite at lower real yields. Structural flows (buybacks/ETF demand) continue to cushion dips even as a steadier USD/rates path tempers multiple expansion.

Today’s Strategy for Scalpers & What to Watch

With quad witching in play, liquidity clusters around large strikes often compress mid-session ranges and then expand late. The cleanest edges are rule-based around VWAP/OR and timed to OPEX microstructure (open, EU close, and 3–4 pm ET). Cross-asset confirms (10-yr, DXY, CL) remain essential to avoid chasing false breaks.

• 09:30–10:10 ET (Cash Open / OR set): Let 30–60s print. Plan A: If ES/NQ spike into ONH/large strikes and stall with ticks/breadth lagging, fade back to VWAP (tight stop above wick). Plan B: If early breadth is strong and VWAP holds, buy pullbacks toward VWAP/ORH with cumulative-delta support.
• 11:00–11:30 ET (EU Close): Watch for flow inflections; if price detaches from VWAP without volume/tick confirmation, fade back to balance.
• 15:00–16:00 ET (Quad Witching Close): Expect potential “unpin.” Plan: Only chase if price, ticks, and delta align above ORH; otherwise fade exhaustion wicks back to VWAP/POC. Keep size modest—slippage risk rises.
• Cross-asset tells: 10-yr push >~4.1% + firmer USD → lean to NQ fades; easing reals/USD → favor NQ continuation. Oil softness aids megacap growth on dips; a crude bounce can lift cyclicals/RTY.
• Risk controls: Half-size around open/close; widen stops modestly but cut leverage. Don’t add into chop; reset after invalidation.
• Execution edge: Reduce latency and slippage by colocating your stack with QuantVPS.

Notes: Flow-heavy session; respect pins around large strikes and be ready for late-day volatility expansion.

Market Open Projections / What Could Happen After Market Open

With limited fresh macro today, positioning and OPEX dynamics dominate. Claims/Philly/LEI resolved mixed-to-cautious macro; yields near ~4.0–4.1% and mid-teens VIX argue for controlled ranges unless an OPEX-driven flow shock unlocks movement.

• Base case (50%): OR chop → VWAP hold/pin near large gamma strikes → balanced trade until late session; potential “unpin” into 3–4 pm ET produces a directional push if rates/USD assist.
• Alt 1 (30%): Growth-friendly drift (reals ease, USD softens) → NQ leadership; buy pullbacks to VWAP/ORH with tight invalidation.
• Alt 2 (20%): Rates back up toward the highs (10-yr ~4.1%+) and USD firms → NQ underperforms; fade pops to VWAP/ONH and rotate to cyclicals if crude stabilizes.

Summary

The policy backdrop is measured easing, the near-term data mix is mixed (claims rebound, Philly strong, LEI weak), and today’s driver is OPEX flows. Cross-asset checks (rates/USD/oil) remain key for intraday skew.