Scott Burrill - Market Notes

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Levels for Monday

Sep 9, 2018

Good Evening:

It's been awhile, not because we don't maintain close focus on the markets, but due to projects requiring our primary attention.

However, with summer behind us, and the likely seasonal increase in volatility, it's time to once again share our experiential and quantitative insights.

For starters,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. 


Looking ahead, volatility is picking up and the weekly implied move is now + /- 44 points. This is also notable with volatility of volatility at 102. Not extreme,but certainly flashing a warning.

The Nasdaq 100 is displaying greater volatility as well with a weekly implied move of 144 points. 


With a nearly 2-sigma implied correlation in the Nasdaq and more elevated values in the SP500, we expect macro factors to dominate which means the market will likely react to catalysts apart from individual issues. 


Potential catalysts come in the form of Fedspeak, inflation economic releases, JOLTs,trade, emerging markets, and the pivotal levels the yield curve and outright fixed income products.


For tomorrow,7422 in the Nasdaq 100 and 2871 in the SP500, are immediate catalysts for a high probable bounce back towards the indices respective upward trends. If this fails to occur, then 2842 in the SP500 will be a potential pivotal point.


All the best,


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