scott burrill – market notes archive
July 6, 2020Waiting for the Next Major Move
Implied Volatility has contracted significantly for this new regime along with lower implied correlation suggesting focus on individual securities as the market prepares for a new earnings season.
June 29, 2020Will Seasonality Triumph?
The S & P 500 is trading towards the lower end of its volatility box. Reversion is anticipated with the weekly trend remaining up this shortened holiday and seasonally strong week and a new month.
June 15, 2020Financial Turbulence Dead Ahead
The Volatility of VIX (VVIX) closed higher week-over-week by 40.90% at 151, way above our trigger zone of 110-120, signaling pros are rushing into VIX products, as markets once again are back in the throes of financial turbulence.
June 8, 2020Too Much Exuberance?
Last week was a significant week in the market with the weekly option implied move in the S&P 500 eclipsed by a factor of 2 or 2.4% above the expected upper bound. Moreover, sector rotation took hold with laggards leading and small stocks outperforming major indices.
June 1, 2020Levels for The New Week
As we look forward to a new month, the Weekly Trend remains up.
May 26, 2020It's Not Just The Fed
With the S&P 500 implying a potential move above 3000 this week, let's consider whether the market "should" sell-off or is on the verge of a breakout of its pronounced trading range.
May 18, 2020Keeping it Brief
There's not much to comment on while markets balance within a broad range, so let's keep it short and look forward to the coming week.
May 11, 2020Process, not Bias
The conservative Weekly Trend Model turned positive on Friday in both the Russell 2000 and the S&P 500; whereas, the Nasdaq 100 turned positive back on April 17.
May 4, 2020Sell in May
Since the Crisis began, it's interesting to visualize what's working in the S&P 500 Sectors.
April 27, 2020It's not That Simple
In normal times, this upcoming week would be one of the most catalyst-driven weeks of the year. We have on tap major economic releases, significant earnings releases, and an FOMC meeting followed by Chair Powell's press conference.
April 20, 2020Advantage, Active Management
The Fed is the wind at the market's back and is doing its part to keep the pipes flowing.
April 13, 2020Looking for Clarity
Following a blistering rally in the S&P 500, the coming week will turn to a new earnings season for firm insights as to forward guidance of revenue and earnings impact, and separately how long the economy will remain closed.
April 6, 2020Bad news is priced in...for now
Last week was a victory as the S&P 500 closed range-bound, within its weekly implied move, finding balance near 2500.
March 30, 2020What About Unknown Unknowns?
Markets indeed thought 32% off was a bargain, with the S&P 500 rallying 10.3% on the week, which is a significant move in any environment.
March 22, 2020A Bargain at 32% Off
I hope you are well. My thoughts are with you, as we are all united during this unprecedented time.
March 18, 2020Hanging On by Two Ticks
I want to reiterate our firm is open for business, and we are here to service you, our trusted clients. Out of prudence, we have instituted portions of our business continuity plan. Our technology is well-designed and is functioning perfectly. Our critical NYSE Floor is staffed and servicing clients. Unless otherwise directed, this vital market role will remain fully operational.
March 16, 2020Looking for a Bottom
Markets are okay with anything as long as you can put a price tag on it. That doesn't mean we will like the new value, but it eventually works itself out, and we adapt.
March 8, 2020When VIX is This High, Do You Buy?
Friday's higher close was puzzling due to elevated levels of risk, as demonstrated by VIX, VVIX, the term structure of volatility, and of course, the marked drop in Treasury yields.
March 1, 2020A Rate Cut is Not a Vaccine
Upon review of multiple securities and multiple asset classes, this note could be pages in length. But for the interest of brevity, we are at extreme readings across-the-board, not unlike the GFC of 2008-2009.
February 10, 2020Volatility into Index New Highs
The S&P 500 recovered and rallied to new highs last week, yet volatility is not decreasing.
February 2, 2020Just the Facts
Let's get some key facts out before kickoff and the opening of Globex this pivotal week.
January 26, 2020Weekly Market Update
Futures are gapping down in Globex on this somber day.
January 20, 2020Weekly Market Update
Earnings Season is upon, so the focus remains on individual securities.
January 12, 2020Weekly Market Update
Markets are gapping higher in Globex as I type this. Focus this week is on key Economic Releases, Fedspeak, Conferences, and the beginning of Earnings Season.
January 5, 2020Mind the Gap
Markets are modestly lower on heightened geopolitical risk; however, last week, even with the abrupt sell-off on Friday, the S&P 500 still closed within its weekly option implied move of 35 points.
December 15, 2019Charging Toward Year-End
The Bull Market continues, and the S&P 500 closed above the 3164 Level towards 3200 first discussed back on November 3rd.
December 7, 2019A 30-Second Skim
Last week provided plenty of intraday volatility for nimble Treasury, Oil, and Index players as US-China Trade news dominated along with key Economic Releases.
December 1, 2019Stay Frosty
I hope everyone had a wonderful Thanksgiving.December begins with the S&P 500 without a material breach of its weekly option implied move in over a dozen weeks, implied correlation still focusing us on individual stocks, as well as hedging grinding the market ever-higher.
November 10, 2019Pent-Up Aggression
Major indices finished the week at all-time highs, touching the edge of the weekly option implied move, and contracting implied volatility yet again.
November 3, 2019Driving with a Map
Market's closed at or near all-time highs last week while volatility contracted.
October 27, 2019A Jam-Packed Week
Markets grind toward all-time highs as volatility continues to contract while multiple catalysts loom.
October 20, 2019Earnings Take Center Stage
After weeks of volatility, last week ended balanced and well within the expected move.
October 13, 2019No Shortage of Potential Catalysts
Markets are trading modestly higher in what remains a volatile, range-bound environment.For the week, the SP500 Weekly Option Implied Move is slightly lower than last week at + / - 51 points or 15.6% implied volatility. This equates to a range of 3021.65 and 2918.89, respectively.
October 6, 2019Making Sense of the Data Deluge
Due to several new readers to the Market Note, let's take a moment to provide the purpose and design of this weekly missive.
September 30, 2019Volatility out of the Shadows
Markets appear poised for a volatility breakout with Volatility of Volatility (VVIX) over 100, Volatility Futures in backwardation (near-term risk greater than far-term risk), and the SP500 Weekly Implied Move higher at + / - 54 points or 16.90% implied volatility. For the week, we can expect, within one standard deviation, to see a range of 3016.48 to 2907.10.
September 23, 2019Awaiting the Next Catalyst
My oldest son was married over the weekend in beautiful Ogunquit, Maine and there was no opportunity for an in-depth market and economic review; however, here's some background information I generate as part of my analysis as we head into month-end and quarter-end.
September 14, 2019Too Far Too Fast?
Assets continue their breakout, but rotation into Value and out of Momentum and Safe Haven's point to significant underlying divergences.
September 8, 2019An Upward Trajectory Until the Next Tweet
The SP500 gapped to the upper edge of its implied expected move, cementing a change in Intermediate Trend.
September 2, 2019A Binary Market
We traded to the upper edge of the Trading Range Box and eclipsed the Upper Bound as forecast from the Weekly Option Implied Move, likely on short-term tactical asset allocation and month-end effects.
August 26, 2019Markets aren't buying Truthful Hyperbole
We've reached peak absurdity in President Trump's Truthful Hyperbolic B.S. first posited from The Art of the Deal and now hoisted upon Corporate America ordering them to find alternatives to China.
August 18, 2019Ready to Move
Last week saw an accelerated flight to safety and then short covering at key Levels.
August 12, 2019Mixed Signals
We begin the new week with mixed signals.The short-term Bias is Up and the Weekly Trend is Down.
August 4, 2019Waiting for a Bounce
Last week the SP500 eclipsed the Weekly Option Implied Move by over 2.4x. Closing outside of this week's expected 58 point move is unlikely as that would be four weeks in a row with the Market inefficiently pricing risk. The Upper Bound is 2990.51 and the Lower Bound is 2873.59.
July 28, 2019Preparing for Information Deluge
As we begin one of the busiest information-flow weeks of the year, Markets face an onslaught of key Economic Releases, the FOMC's Rate Ease followed by Chair Powell's Press Conference, as well as hundreds of companies reporting earnings, and a resumption in trade talks between the US and China.
July 21, 2019On the Prowl for a Catalyst
While I've been traveling, Equities have marched forward to find rejection near all-time highs, and Gold, Oil and Bonds have provided plenty of trade action for nimble players.
June 23, 2019Don't Fight the Fed
Markets should pause and digest last week's all-asset, Fed-induced rally; however, we have another binary-week with focus turning to the G20 Meeting and a host of key Economic Releases and Fedspeak.
June 20, 2019Off-the-Map
Global Markets are rallying, with the 10-year yield dipping below 2% last night, crude ripping higher, as well as Gold breaking out to multi-year highs.
June 19, 2019Focus will be on FOMC Chair Powell's Press Conference at 2:30 PM EDT
Expectations for rate cuts strengthened in global markets yesterday with ECB Chair Draghi's comments igniting a rally. Of course, focus turns to Chair Powell this afternoon.
June 17, 2019To Cut or Not to Cut
Fed Fund Futures are signaling a potential change in interest rate policy, and implying an 84% probability of easing interest rates at the July 31st FOMC Meeting.
June 9, 2019What a Difference a Week Makes
Last week Market Indices violently bounced off of extreme oversold Levels surpassing the option implied move by two sigma. The implied move was 58 points and we moved around 121 points, with Technology leading the way.
June 2, 2019Will Markets Feel the Fear This Week
Once again we find ourselves back within the zone of tremendous potential for volatility in either direction. While neither the VIX nor the Volatility of VIX (VVIX) has yet to reflect any sort of market capitulation, all ingredients are in place for some wild price action.
May 27, 2019Something Has to Give
Weekly Trends are now Down in the Major Markets.
May 13, 2019Keeping the Pressure On
Markets are once again in the throes of heightened volatility precipitated by Trump Tweets around US-China Trade Policy. After Friday's reversal, in what was the most volatile week of the year, trade logic dictated continuation trade up and away from key psychological support (50DMA) towards 2900
May 5, 2019Bitten by a Tweet
As I type this, Markets are down nearly 2% across-the-board on President Trump's Tweet to increase Chinese Tariffs by $200BB.
April 28, 2019An Information Deluge This Week
This week is filled with many potential catalysts including the Employment Situation Report to an FOMC Meeting and Fed Chair Powell's Press Conference following last week's strong GDP Report.
April 22, 2019Earnings Releases Dominate
It was a relatively flat week for the SP500 and Nasdaq 100 while the Dow 30 led and the Russell 2000 lagged. The Russell 2000 divergence requires close monitoring for market risk posturing and whether a market top is in.
April 14, 2019Earnings Dominate Market Focus
After nearly a week of balance, broad equity markets closed Friday at their 6-month highs on strong earnings out of J.P. Morgan and performance from the Financial Sector (XLF). Financials and Bonds/Notes are critical to the overall market's ability to trade towards and beyond new highs.
April 8, 2019Will Markets Attack New Highs This Week
It's been two weeks since the yield curve inversion and bond yields have reverted, and equities and oil have exploded higher, with the former on the cusp of challenging 2018 and all-time highs as we kick-off earnings season, JOLTs, FOMC Minutes and additional Fedspeak.
March 25, 2019The Fed is Making Trading Great Again
Weekly SP500 Implied Volatility increased 57% following Friday's sell-off to 16.89%. For the coming week, the option implied move is + / - 52 SPX points or a lower edge of 2748.63 and an upper edge of 2852.79. Moreover, our favored risk sentiment metric, VVIX (Volatility of VIX), was bid nearly 20% higher as pros rushed into VIX product pushing our warning Level of 100. The Market is not oversold and I am closely monitoring for propagation of weakness from the lowest resolution outward.
March 17, 2019Will Fed Chair Powell Upset the Market
For 2 weeks in a row, the SP500 has smashed its weekly option implied move by 2 standard deviations. This is significant when we consider the frequency (3 or 4) of real-time risk assessments from traded weekly index options and the dollar volume involved.
March 3, 2019Time to Break Outside of the Volatility Box
The SP500 ended the week flat as it tried to decipher mixed economic data, but is currently rallying in Globex on renewed hope of a U.S.-China Deal to end most tariffs. Whether this is "the real deal" this time or not, it is likely the grind continues higher as our work points to a breakout of the Volatility Box defined last December since we have cleared 2812.50. Clearly, all Trends remain up.
February 19, 2019The Implied Move Continues to Retract
Last week, the SP500 eclipsed its weekly option implied move by nearly 2x; however, for the coming week, forward risk pricing have it pegged at + / - 34 points or 11.30% implied volatility -- a nearly 17% change week over week. This equates to a lower edge of 2741 and an upper edge of 2810.25.
February 11, 2019A Week Filled with Binary Events
Markets are rallying in Globex on a tentative Border-Security Deal to avert another government shutdown.
January 30, 2019Room to Run
Another of my Trend Models tipped decidedly UP after today's close in the SP500, along with the Weekly Magnet converting to support at 2650 after providing resistance all week.
January 28, 2019Adapting Risk Pricing to a Range of Possibility
Last week the SP500 balanced near the Weekly Magnet for 3 days, tested the lower edge of the implied move several times to only find itself virtually unchanged on the week.
January 21, 2019Not All Clear Yet
For the shortened week, the option implied move is + / - 41 points or an implied volatility of 13.89%.
January 17, 2019NFLX
Netflix reports after the close today. I highlight this because it has shown as a consistent outlier on my dispersion models since January 3rd.
January 15, 2019Updated Levels
Earnings Season is upon us and several markets have bounced such that an update to my Levels is in order.
January 10, 2019Significant Fedspeak on Thursday
The SP500 rejected the upper edge of the Weekly Option Implied Move of 2591, the FOMC Announcement Level of 2585, and is currently consolidating near a previous risk confluence zone of 2578. Earlier today, we identified a zone near 2561, which to us meant a potential floor in price action given identified contingent derivative trading after analyzing all abnormal block trading anomalies since the most recent volatility.
January 9, 2019Updated Levels and a Look Ahead of the Upper Edge of the Implied Move
With 80% of the S&P 1500 above its mid-price Bollinger Band and broad markets trading above or near their weekly implied moves, below please find updated Levels. In fact, we have witnessed a significant shift in Daily Trend from our ETF proxies.
January 6, 2019Anticipating Earnings
Markets are continuing their short-term bounce in Globex, but we must clear and close beyond the risk confluence zones which precipitated Act II at Levels greater than 2575, and ideally 2626.
December 23, 2018Well into Act II
I wasn't planning on a Note, but market events have me pouring through data.
December 15, 2018The Remainder of 2018
With business travel this week, then switching to Holiday-mode to prep for 2019 and also to enjoy time with family and friends, this will be the last Market Note for 2018. Thank you for listening and more importantly, the timely questions that really just tap the surface of data, experience, and techniques learned and applied over the years.
December 12, 2018Levels for Wednesday
Markets are bouncing after being whipped around this week by geopolitical headlines, pinging Level-to-Level. The bias remains down until we engage and close above the Weekly Magnets, dispelling the Sell Rallies Modus Operandi.
December 9, 2018Market is Staged for Act II
Last week was indeed a week filled with many catalysts. The SP1500 currently stands with 83% of its members below the mid-point of the Bollinger Band. Typically, we expect a reversion, and indeed we may get one with 65% registering fear or panic according to my sentiment measure, but larger forces are weighing on the market.
December 5, 2018Levels for Thursday
As I write this on a dark, rainy and cold (everything is relative) SoCal afternoon, futures flash-crashed lower as they opened in Globex. So much so, I actually had to recompute the major index Levels.
December 3, 2018Levels for Monday
Markets are rallying strongly with the announced truce in the trade war following the Trump-Xi Dinner at the G20, as well as changes in major Oil suppliers to reduce output ahead of the OPEC Meeting in Vienna on Thursday.
November 28, 2018Levels for Thursday
Fed Chair Powell did not disappoint as a catalyst sending the SP500 Index parabolic, well above the outer edges of our pre-computed Levels and the weekly option implied move.
November 27, 2018Levels for Tuesday
Markets are resolving to the upside overnight Tariff-Talk, and importantly, are converting the SP500 Weekly Magnet to support.
November 25, 2018Levels for Monday
Even though, we closed last week -104 SPX points, which is outside of the weekly implied move as forecast from SPX Weekly Options of + / - 47 points, Volatility and Skew, as well as Volatility of Volatility, are still relatively muted. Markets have yet to feel the fear.
November 21, 2018Levels for Wednesday
Probability favors an oversold bounce and we are seeing that in pre-market; however, if what we anticipate to happen doesn't, then the opposite move is often more reactionary. The updated Levels provide possibilities for either direction.
November 20, 2018Levels for Tuesday
With Volatility of Volatility (VVIX) at only 112, Markets are still shrugging off the current selloff, as having seen this movie before.
November 19, 2018Quick Quant Look
For the week, the SP500 Option Implied Move is + / - 47 points and updated Magnets that will be quickly tested are...
November 14, 2018All Eyes on Oil
Oil collapsed yesterday in a dramatic rise in volatility. I'll spare the deeper economic implications of collapsing oil since we have the complexity of an options expiration possibly exacerbating the price action.
November 12, 2018Weekly Update
For the week, the option implied move in the SP500 is + / - 49 points. Weekly Trends remain Down and Daily Trends have rebounded to Up, so I would say we are at a directional infection point heading into next week's holiday period in a traditionally positive seasonal environment.
November 8, 2018Waiting for the Fed and Market Follow-Through
Yesterday was decidedly up with most proxies closing at or near their daily highs. Also of note, 76% of the SP1500 is trading above their mid-Bollinger Band.
November 7, 2018Post-Election Levels Update
The uncertainty of the election is behind us and the short-term trend is decidedly up.
November 4, 2018Levels for Monday
The SP500 Weekly Option Implied Move is + / - 65 points which is also the hi-lo range last Friday.
November 2, 2018Levels for Friday
Please find updated 30-minute Levels, as well as updated Monthly Magnets.
October 28, 2018Are We There Yet?
Good Afternoon: One question I'm being asked is whether the correction is over. I don't know, nor does anyone else. Like I used to tell my 3 kids when we headed off in our Sequoia to explore the Indian Peaks Wilderness near our home in Boulder, we are getting close and it's going to be great when we get there.
October 25, 2018Levels for Thursday
Markets have yet to feel the fear with the Volatility Index (VIX) at 25.23 and its volatility (VVIX) at 118.58 despite the near 5% sell-off in the Nasdaq 100. Today started out to be a typical, downward biased trading day, but then it got wild. I haven't seen a margin call like this afternoon's in quite some time.
October 24, 2018Updated Levels
Good Afternoon: With 45-minutes remaining in today's session, please find updated key equity index Levels along with additional observations. In the SP500, a major risk confluence zone is 2682 and 2626. These are likely to see heightened liquidity. Peering into our Model-Informed Market Thermometer, we see more informed selling across the board, with notable liquidation in the Communications Sector.
October 23, 2018Levels for Tuesday
Financials and Technology diverged today as observed in our Informed Liquidity Market Thermometer.
October 23, 2018Levels for Tuesday (Update)
A quick update to the Levels since we are outside of the computed frames for many instruments.
October 21, 2018Levels for Monday
Good Evening: As I type this, major indices are bouncing off of their lows in Globex. Whether Equity Markets have bottomed and recover is unknown of course. The intermediate trends are down.
October 18, 2018Levels for Thursday
Markets continue to absorb the recent volatility as the Weekly Magnets were tested early in the session and held. However, much weakness remains in most major indices. In the SP1500, 78% of its members are below the Bollinger mid-band. Looking further into index components, I created a study to look at market breadth from a broad universe of indices and institutional proxies. Interestingly, the only index that had positive breadth yesterday was the Dow Jones Industrials.
October 17, 2018Levels for Wednesday
Equity Markets are digesting their across the board 2+% rallies. Looking forward, it's a bit more foggy. Intermediate Trends remain down and more repair in price action is required; however, resumed short covering certainly could occur if kicked off by some extraneous news. While Equity Markets have captured their Weekly Magnets as seen below, as well as broader upward Levels, it is reasonable to expect, in the SP500 as an example, for the Magnet to be tested.
October 15, 2018Levels for Monday
With 94% of the SP1500 below its middle Bollinger Band and 60% or 910 of those members outside of, or hovering near, the Lower Band, the obvious question is what now. Historically, this was a garden-variety correction, yet the speed and highly correlated nature of it, felt much worse.
October 12, 2018Levels for Friday
I will wait for the weekly bars to close to prepare a more comprehensive analysis over the weekend. Attached, please find updated and expanded Levels. These are modeled with precision and hopefully provide valuable tactical insight.
October 11, 2018Levels for Thursday
Sorry for the silence, but I have been traveling and on vacation. Yesterday was my first day back. The real was certainly not surprising given the extreme breadth readings over multiple days (New Highs versus New Lows) on a composite which means smart money is selling out near the highs.