Scott Burrill - Market Notes

May 13, 2019
Keeping 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

Read More
May 5, 2019
Bitten 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.‍

Read More
Apr 28, 2019
An 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.

Read More
Apr 22, 2019
Earnings 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.

Read More
Apr 14, 2019
Earnings 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.

Read More
Apr 8, 2019
Will 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.

Read More
Mar 25, 2019
The 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.

Read More
Mar 17, 2019
Will 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.

Read More
Mar 3, 2019
Time 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.

Read More
Feb 19, 2019
The 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.

Read More
Feb 11, 2019
A Week Filled with Binary Events

Markets are rallying in Globex on a tentative Border-Security Deal to avert another government shutdown.

Read More
Jan 30, 2019
Room 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.

Read More
Jan 28, 2019
Adapting 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.

Read More
Jan 21, 2019
Not All Clear Yet

For the shortened week, the option implied move is + / - 41 points or an implied volatility of 13.89%.

Read More
Jan 17, 2019
NFLX

Netflix reports after the close today. I highlight this because it has shown as a consistent outlier on my dispersion models since January 3rd.

Read More
Jan 15, 2019
Updated Levels

Earnings Season is upon us and several markets have bounced such that an update to my Levels is in order.

Read More
Jan 10, 2019
Significant 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.

Read More
Jan 9, 2019
Updated 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.

Read More
Jan 6, 2019
Anticipating 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.

Read More
Dec 23, 2018
Well into Act II

I wasn't planning on a Note, but market events have me pouring through data.

Read More
Dec 15, 2018
The 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.

Read More
Dec 12, 2018
Levels 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.

Read More
Dec 9, 2018
Market 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.

Read More
Dec 5, 2018
Levels 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.

Read More
Dec 3, 2018
Levels 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.

Read More
Nov 28, 2018
Levels 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.

Read More
Nov 27, 2018
Levels for Tuesday

Markets are resolving to the upside overnight Tariff-Talk, and importantly, are converting the SP500 Weekly Magnet to support.

Read More
Nov 25, 2018
Levels 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.

Read More
Nov 21, 2018
Levels 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.

Read More
Nov 20, 2018
Levels for Tuesday

With Volatility of Volatility (VVIX) at only 112, Markets are still shrugging off the current selloff, as having seen this movie before.

Read More
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...

Read More
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.

Read More
Nov 4, 2018
Levels for Monday

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

Read More
Nov 2, 2018
Levels for Friday

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

Read More
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
Back

scott burrill – market notes archive

May 13, 2019
Keeping 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, 2019
Bitten 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, 2019
An 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, 2019
Earnings 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, 2019
Earnings 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, 2019
Will 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, 2019
The 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, 2019
Will 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, 2019
Time 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, 2019
The 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, 2019
A Week Filled with Binary Events
Markets are rallying in Globex on a tentative Border-Security Deal to avert another government shutdown.
January 30, 2019
Room 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, 2019
Adapting 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, 2019
Not All Clear Yet
For the shortened week, the option implied move is + / - 41 points or an implied volatility of 13.89%.
January 17, 2019
NFLX
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, 2019
Updated Levels
Earnings Season is upon us and several markets have bounced such that an update to my Levels is in order.
January 10, 2019
Significant 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, 2019
Updated 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, 2019
Anticipating 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, 2018
Well into Act II
I wasn't planning on a Note, but market events have me pouring through data.
December 15, 2018
The 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, 2018
Levels 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, 2018
Market 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, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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, 2018
Levels for Tuesday
Markets are resolving to the upside overnight Tariff-Talk, and importantly, are converting the SP500 Weekly Magnet to support.
November 25, 2018
Levels 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, 2018
Levels 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, 2018
Levels 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, 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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