scott burrill – market notes archive
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.
September 11, 2018Levels 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, 2018Levels 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, 2018Weekly 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, 2018Levels 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, 2018Levels 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, 2017Market 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, 2017Levels 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, 2017Levels 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, 2017Levels 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, 2017Levels 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, 2017Levels 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, 2017Levels For Friday
Markets recovered this afternoon sending the SP500 above the Weekly Up / Down Magnet.