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Market Informed Liquidity Thermometer

Dec 19, 2017

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.

Whether we revert overnight, time will tell. That's the likely outcome. 

I do note Volatility of Volatility (VVIX) was up 3.24% into the 93 area and UVXY (tactical play) flashed an Up signal on the work. Whether this gets faded, we can monitor, but fear was being bought slightly.

I expect tomorrow to be the last real volume day of the week barring tax-vote news and BOJs Kuroda. Recall the potential catalysts.

We have to keep an eye on Bonds and the Yield Curve. This sell-off decimated REITS, Utilities and other interest sensitive groups. These are normally considered thick volume and lower volatility, slower moving instruments. Today was extraordinary, particularly when compared to the Weekly, Monthly, and Quarterly Magnets which were sold through.

As I was reflecting over the weekend, markets don't just crash out of nowhere unless shocked, but the start of 2016 was a flush for weeks. This is in the back of my mind as the SP500 is magnetized on some work of mine at levels where a heads-up or prudence is tactically warranted over the near term.

Bias is Up > 2690.

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