Scott Burrill - Market Notes

Nov 19, 2018
Quick Quant Look

For the week, the SP500 Option Implied Move is + / - 47 points and updated Magnets that will be quickly tested are...

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Nov 14, 2018
All 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.

Read More
Nov 12, 2018
Weekly 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.

Read More
Nov 8, 2018
Waiting 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.

Read More
Nov 7, 2018
Post-Election Levels Update

The uncertainty of the election is behind us and the short-term trend is decidedly up.

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Nov 4, 2018
Levels for Monday

The SP500 Weekly Option Implied Move is + / - 65 points which is also the hi-lo range last Friday.

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Nov 2, 2018
Levels for Friday

Please find updated 30-minute Levels, as well as updated Monthly Magnets.

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Oct 28, 2018
Are 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.

Read More
Oct 25, 2018
Levels 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.

Read More
Oct 24, 2018
Updated 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.

Read More
Oct 23, 2018
Levels for Tuesday

Financials and Technology diverged today as observed in our Informed Liquidity Market Thermometer.

Read More
Oct 23, 2018
Levels for Tuesday (Update)

A quick update to the Levels since we are outside of the computed frames for many instruments.

Read More
Oct 21, 2018
Levels 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.

Read More
Oct 18, 2018
Levels 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.

Read More
Oct 17, 2018
Levels 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.

Read More
Oct 15, 2018
Levels 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.

Read More
Oct 12, 2018
Levels 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.

Read More
Oct 11, 2018
Levels 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.

Read More
Sep 11, 2018
Levels for Wednesday

Markets threw off volatility and resumed their upward trajectory in a what amounted to a violent short squeeze off the opening

Read More
Sep 9, 2018
Levels for Monday

...since April, only 3 of 23 weeks have been outside the weekly option implied move in the S&P 500. This is significant market efficiency on display and even last week, the market closed right on the edge of its lower implied move of + / - 29 points in the holiday-shortened week.

Read More
Apr 9, 2018
Weekly Focus

Markets are trading broadly from 3 pre-computed Levels which coincide with observed dynamic hedging levels. Additionally, commonly observed risk metrics like the 200 DMA also are a confluence of risk. These are 2578.25, 2617.25 and 2656.25. Broadly, we have been within a 100 point trading range for 2 weeks.

Read More
Mar 25, 2018
Levels for Monday

Good Evening: Markets of course sold off hard last week. In fact, the SP500 experienced a 3.6 sigma break to the downside compared to the weekly option implied move, and Financials were hammered for a near 6 sigma loss. As repeated since the beginning of the year, 2018 is a different regime requiring a different playbook. We see inefficient pricing in the options market which is significant given the magnitude of assets traded in the various S&P 500 products and its common use for capital deployment and/or hedging.

Read More
Feb 11, 2018
Levels for Monday

We have traded outside of the weekly option implied move now 5 of the last 6 weeks in 2018 and Volatility of Volatility (VVIX) remains elevated at 167. This is highly inefficient and reinforces the shift in regime mentioned several times in 2018. We need to get back towards 120 quickly for what we expect to occur discussed below. Implied Volatility remains stretched and elevated in the short-term. For the coming week, the option implied move in the SP500 is + / - 94 points. On Monday, through the close alone, the implied move is + / - 49 points.

Read More
Dec 19, 2017
Market Informed Liquidity Thermometer

I know I wasn't going to comment on the markets until 2018, but I am just getting caught up from a day of travel and found the work I scanned interesting. The closing Market Thermometer of Informed Liquidity is terrible. Implied Correlation doesn't have us extremely focused on Macro per se, but today's action tilted us over a standard deviation in that direction.

Read More
Dec 17, 2017
Levels for Monday

Friday was spectacular for an expiration day, with a range of over 30 points and within 3% of occurrences since November 2016. The Weekly Up / Down Magnet of 2650 held support and launched to close the index at record highs just outside the weekly option implied move. The explosive moves in Technology were nothing short of manic as the Implied Liquidity Ratio peaked over 60% BUY.

Read More
Dec 14, 2017
Levels for Friday

Despite the potential for so many catalysts, this week is shaping up to be much ado about nothing in markets when we consider the SP500 closed last Friday at 2651.5 and closed today at 2652.01. On face, today exhibited exhaustion and profit taking driving us lower on Tax-related news, particularly in the Small Caps and Materials groups. The coloring of the Implied Liquidity Ratio thermometer below implies a brutal day. But, not so fast. Rotation of capital played out as it has time and again.

Read More
Dec 13, 2017
Levels for Wednesday

Good Morning: Broadly, the Dow Industrials and SP500 lead while the Nasdaq 100 and Russell 2000 lagged. Leading the charge in our proprietary Informed Liquidity measure was the heavily weighted Financial Sector, Dow 30, and Volatility.

Read More
Dec 11, 2017
Levels for Tuesday

Markets across the board, except in Small Cap, converted their Weekly Up / Down Magnets to close at or near new highs.

Read More
Dec 10, 2017
Levels For Monday

This is an eventful week with notable Central Bank Rate Announcements from the Fed, ECB and Bank of England, as well as Futures and Option Expiration Friday, and the anticipated launch of Bitcoin Futures tonight on the CBOE, and then next Sunday evening on the CME.

Read More
Dec 7, 2017
Levels For Friday

Markets recovered this afternoon sending the SP500 above the Weekly Up / Down Magnet.

Read More
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scott burrill – market notes archive

November 19, 2018
Quick Quant Look
For the week, the SP500 Option Implied Move is + / - 47 points and updated Magnets that will be quickly tested are...
November 14, 2018
All 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, 2018
Weekly 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, 2018
Waiting 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, 2018
Post-Election Levels Update
The uncertainty of the election is behind us and the short-term trend is decidedly up.
November 4, 2018
Levels for Monday
The SP500 Weekly Option Implied Move is + / - 65 points which is also the hi-lo range last Friday.
November 2, 2018
Levels for Friday
Please find updated 30-minute Levels, as well as updated Monthly Magnets.
October 28, 2018
Are 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, 2018
Levels 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, 2018
Updated 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, 2018
Levels for Tuesday
Financials and Technology diverged today as observed in our Informed Liquidity Market Thermometer.
October 23, 2018
Levels for Tuesday (Update)
A quick update to the Levels since we are outside of the computed frames for many instruments.
October 21, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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.
September 11, 2018
Levels for Wednesday
Markets threw off volatility and resumed their upward trajectory in a what amounted to a violent short squeeze off the opening
September 9, 2018
Levels for Monday
...since April, only 3 of 23 weeks have been outside the weekly option implied move in the S&P 500. This is significant market efficiency on display and even last week, the market closed right on the edge of its lower implied move of + / - 29 points in the holiday-shortened week.
April 9, 2018
Weekly Focus
Markets are trading broadly from 3 pre-computed Levels which coincide with observed dynamic hedging levels. Additionally, commonly observed risk metrics like the 200 DMA also are a confluence of risk. These are 2578.25, 2617.25 and 2656.25. Broadly, we have been within a 100 point trading range for 2 weeks.
March 25, 2018
Levels for Monday
Good Evening: Markets of course sold off hard last week. In fact, the SP500 experienced a 3.6 sigma break to the downside compared to the weekly option implied move, and Financials were hammered for a near 6 sigma loss. As repeated since the beginning of the year, 2018 is a different regime requiring a different playbook. We see inefficient pricing in the options market which is significant given the magnitude of assets traded in the various S&P 500 products and its common use for capital deployment and/or hedging.
February 11, 2018
Levels for Monday
We have traded outside of the weekly option implied move now 5 of the last 6 weeks in 2018 and Volatility of Volatility (VVIX) remains elevated at 167. This is highly inefficient and reinforces the shift in regime mentioned several times in 2018. We need to get back towards 120 quickly for what we expect to occur discussed below. Implied Volatility remains stretched and elevated in the short-term. For the coming week, the option implied move in the SP500 is + / - 94 points. On Monday, through the close alone, the implied move is + / - 49 points.
December 19, 2017
Market Informed Liquidity Thermometer
I know I wasn't going to comment on the markets until 2018, but I am just getting caught up from a day of travel and found the work I scanned interesting. The closing Market Thermometer of Informed Liquidity is terrible. Implied Correlation doesn't have us extremely focused on Macro per se, but today's action tilted us over a standard deviation in that direction.
December 17, 2017
Levels for Monday
Friday was spectacular for an expiration day, with a range of over 30 points and within 3% of occurrences since November 2016. The Weekly Up / Down Magnet of 2650 held support and launched to close the index at record highs just outside the weekly option implied move. The explosive moves in Technology were nothing short of manic as the Implied Liquidity Ratio peaked over 60% BUY.
December 14, 2017
Levels for Friday
Despite the potential for so many catalysts, this week is shaping up to be much ado about nothing in markets when we consider the SP500 closed last Friday at 2651.5 and closed today at 2652.01. On face, today exhibited exhaustion and profit taking driving us lower on Tax-related news, particularly in the Small Caps and Materials groups. The coloring of the Implied Liquidity Ratio thermometer below implies a brutal day. But, not so fast. Rotation of capital played out as it has time and again.
December 13, 2017
Levels for Wednesday
Good Morning: Broadly, the Dow Industrials and SP500 lead while the Nasdaq 100 and Russell 2000 lagged. Leading the charge in our proprietary Informed Liquidity measure was the heavily weighted Financial Sector, Dow 30, and Volatility.
December 11, 2017
Levels for Tuesday
Markets across the board, except in Small Cap, converted their Weekly Up / Down Magnets to close at or near new highs.
December 10, 2017
Levels For Monday
This is an eventful week with notable Central Bank Rate Announcements from the Fed, ECB and Bank of England, as well as Futures and Option Expiration Friday, and the anticipated launch of Bitcoin Futures tonight on the CBOE, and then next Sunday evening on the CME.
December 7, 2017
Levels For Friday
Markets recovered this afternoon sending the SP500 above the Weekly Up / Down Magnet.
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