I will keep this weekly update brief.
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.
Our Weekly Trend Monitor continues to provide proper context apart from moment-to-moment moves as we race to year-end.
On the Economic Calendar, apart from the usual weekly releases, we have important housing numbers, a quiet Fed, and Kuroda speaking on Japan's MPM.
There are no material conferences and Earnings Releases are light, but these are the few that passed our screens and might be of interest.
For the new week, the option implied move is + / - 24 points or 8.1% implied volatility. Implied Correlation has us focused on individual securities instead of more macro movement.
As typical of what's worked for months this year, we lean on the Weekly Up / Down Magnets and option implied moves for bias and context. We will look for 2672.25 to be tested early in the week.
I am excited for 2018, but my most pressing thought for year-end as broad markets are at extreme values on my quantitative measures harkens back to how 2016 opened up with a flush. Always be ready.
Tonight the CME starts trading Bitcoin Futures, and more brokers announced after the close they are permitting trading of CBOE's offering.
We will continue to monitor all major underlying cryptocurrencies.
Finally, these Notes began as an applied internal communication tool to our Traders' and have grown to include many friends and clients of the firm. I am grateful and humbled by the mere interest in allowing me to express and apply the incredible data lake I get to swim in and my 30+ years of trading and investing experience.
This is a labor of love. I don't take it likely given how much email we all receive, so thank you for allowing me to have a small part of your day.
As the year nears an end with travel, product launches, and reflection takes hold, I will refresh these Notes with deeper content, more precise levels and more direct security content. I will be back January 2nd.
Happy Holidays, Merry Christmas and Happy New Year.