Scott Burrill - Market Notes

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Market Note

The Implied Move Continues to Retract

Feb 19, 2019

Last week, the SP500 eclipsed its weekly option implied move by nearly 2x; however, for the coming week, forward risk pricing have it pegged at + / - 34 points or 11.30% implied volatility -- a nearly 17% change week over week. This equates to a lower edge of 2741 and an upper edge of 2810.25.

This matters when you consider billions of dollars are allocated in these instruments and they are one of our best assessments, multiple times a week, as to the range of possibilities.

Interestingly, and we will see this when we consider our Daily Levels, that 2812.50 is a major target zone, and happens to be near the edge of the weekly implied move. Piercing that should accelerate dynamic hedging to the upside and is factored into our intraday dynamic adjustments.

The Weekly Magnets are updated as well, and as usual should provide an early test for bias which has remained markedly up for weeks as noted in our composite trend model.

Apart from the release of FOMC Meeting Minutes and some Fedspeak, it is a relatively quiet week for known catalysts.

But, Earnings Releases still could move certain holdings as this cycle comes to a close.

Rather than the usual 30-minute computed Levels, I have expanded the resolution to capture larger daily ranges given the recent moves to look for potential natural price exhaustion zones.

All the best,

Scott

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