Scott Burrill - Market Notes

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Levels for Friday

Dec 14, 2017

Good Evening:

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.

Volatility was not particularly bid, nor did Volatility of Volatility (VVIX) breakout to our key 100 and then 110 values implying an imminent correction.

The notable, carry-forward information from the SP500 was the rejection, albeit on political news, from the upper bound of the weekly implied move near 2676.

We expected consolidation yesterday, but with the Weekly Up / Down Magnet converted early in the week to resistance, it remains a resilient market. 

Safety favors BigTech though over Small Cap into year-end as the work continues to monitor rotating capital.

Tomorrow is options and futures expiration, as well as Quarterly Index Rebalancing. As usual there are notable liquidity plays. If interesting movement occurs in our abnormal activity tracker intraday (RAAT), we will highlight those forecast names with an update.

The option implied move for the open is + / - 14 points and through the close it's + / - 19 points. 

Looking at mechanical, pre-programmed levels, 2650 is the point of departure towards 2640 or 2670 in the SP500.

Bitcoin Futures

Since Sunday evening, there has been virtually no volume traded when compared to spot. The futures are not driving the spot market. Prudently, there have been a lot of trading limitations with no live trading allowed from many firms, short-sale restrictions, and high margins. 

While CME's offering comes to market Sunday night, and BTC's notional value implies an Institutional-only (which is fine) product when factoring in the expected margin requirements. 

Time will determine whether these derivative products are a bust.

Bitcoin's brethren such as Ethereum, Ripple and Litecoin though have had quite a week in absolute performance terms.

Today, both Bitcoin and Ethereum had Informed Buying values of 51% BUY and 52% BUY, respectively.

All the best,


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