Scott Burrill - Market Notes

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Scott's notes
Scott's Market Notes

Levels for Monday

Oct 21, 2018

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.

One thing for sure is volatility remains bid this week and the SP500 Option Implied Move is + / - 66 points. Volatility of Volatility (VVIX) remains above our key value of 110.  Implied Correlation, despite it being Earnings Season, has us more focused on Macro factors.

Many catalysts loom this week from Fedspeak, Key Earnings Reports with a flurry of activity on Thursday (~351 companies), ECB and Draghi, as well as Flash PMIs and 3Q GDP.

After reviewing hundreds of charts, underlying earnings, breadth, and cross-asset class data, the scope of this correction has been intense beyond the popular indices.

In fact, a diversified, broad universe of over 2500 underlying securities has 53% of their names down over 50% from their most recent highs.

Apart from the Weekly Magnets and Key Levels, other Tells on my radar are whether the Russell 2000 leads us out of here or continues to collapse, and whether the Financial Sector ETF (XLF) holds 26.50.

The Levels were computed using 30-minute data for the best fit across markets.

All the best,

Scott

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