Scott Burrill - Market Notes

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Market Note

Stay Frosty

Dec 1, 2019

Good Afternoon:

I hope everyone had a wonderful Thanksgiving.

December begins with the S&P 500 without a material breach of its weekly option implied move in over a dozen weeks, implied correlation still focusing us on individual stocks, as well as hedging grinding the market ever-higher.

With historical volatility low, the potential for catalysts never higher, and a reversion in implied correlation expected, this weeks and months theme is to stay alert and be cool -- stay frosty.

Looking forward, the SP500 Weekly Implied Move is + / - 35 points or 10.2% implied volatility, with upper and lower bounds of 3176.53 and 3105.43.


The bias is neutral, and trends remain up in risk-on indices, assets, and sectors.



Known catalysts are high with key Economic Releases, some Fedspeak, not-QE repo operations, Conferences, some Earnings Releases, and of course, Trade, Tweets, and Impeachment.


Updated Levels.


Have a great week.

All the best,

Scott

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