Monday, November 17, 2008
Saturday, November 15, 2008
MCO and MSI intiation history during crazy market times.
After today’s crazy market action, I went back and analyzed to find out if there was any historical context that could be used to interpret the current situation. Leaving aside the 2002 bottoming that took months, the closest match comes around the LTCM crisis time in 1998. I’ve attached some charts circling the area of interest. What I find interesting is, the pattern replicated itself again with two major differences.
1. LTCM pattern was in the context of a secular bull market, while now it is a secular bear market. If one LTCM can create one month of crazy action, I can’t think how many months the current hedge funds problems will cause.
2. The intermediate term market forecast indicator remains very weak while during the LTCM crisis time the recovery was strong.
1. LTCM pattern was in the context of a secular bull market, while now it is a secular bear market. If one LTCM can create one month of crazy action, I can’t think how many months the current hedge funds problems will cause.
2. The intermediate term market forecast indicator remains very weak while during the LTCM crisis time the recovery was strong.
Thursday, November 13, 2008
Monday, October 27, 2008
Downtrend line keeping short side strong?
ES 30 min chart
ES 1 Min Chart
Based on yesterday's action, what is the chance that ES will hit around 815 to 810 before rebounding somewhere around 5AM ? All depends on Nikkei and Europe and our friendly PPT/space aliens.
One more thing to note, JPY followed ES today around the close instead of the other way around.
Monday, October 20, 2008
ES, USD/JPY and TNX divergence?
Make what you will of this, but it appears the ES, USD/JPY and TNX correlation is getting unglued. Does this point to a down day tomorrow or say by Wed/Thur? Need confirmation on Tue.
Thanks Alcan for pointing out TNX.
Thanks Alcan for pointing out TNX.
Sunday, October 19, 2008
COT data divergence
Why are Large specs and retail divergent across SPZ and E-minis? Large spec is long SPZ but short E-mini and retail is the reverse of large spec. Commercial is the only one that is consistent across both SPZ and E-minis
S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE Code-138741
Commitments of Traders - Futures Only, October 14, 2008
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : (S&P 500 INDEX X $250.00) :
: : :
All : 645,995: 118,351 46,157 3,286 414,933 450,245 536,570 499,688: 109,425 146,307
Old : 645,995: 118,351 46,157 3,286 414,933 450,245 536,570 499,688: 109,425 146,307
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: October 7, 2008 :
: 34,682: 16,043 2,747 -673 19,559 14,523 34,929 16,597: -247 18,085
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 18.3 7.1 0.5 64.2 69.7 83.1 77.4: 16.9 22.6
Old : 100.0: 18.3 7.1 0.5 64.2 69.7 83.1 77.4: 16.9 22.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 196: 46 35 18 81 66 136 110:
Old : 196: 46 35 18 81 66 136 110:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 21.1 27.0 32.1 39.7 18.9 25.9 29.8 38.6
Old : 21.1 27.0 32.1 39.7 18.9 25.9 29.8 38.6
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE Code-13874A
Commitments of Traders - Futures Only, October 14, 2008
-------------------------------------------------------------------------------------------------------------------
: Total : Reportable Positions : Nonreportable
:---------------------------------------------------------------------------------------- Positions
: Open : Non-Commercial : Commercial : Total :
: Interest : Long : Short : Spreading: Long : Short : Long : Short : Long : Short
-------------------------------------------------------------------------------------------------------------------
: : ($50 X S&P 500 INDEX) :
: : :
All : 3,189,495: 549,198 715,689 52,462 1,843,847 2,084,624 2,445,507 2,852,775: 743,988 336,720
Old : 3,189,495: 549,198 715,689 52,462 1,843,847 2,084,624 2,445,507 2,852,775: 743,988 336,720
Other: 0: 0 0 0 0 0 0 0: 0 0
: : :
: : Changes in Commitments from: October 7, 2008 :
: 295,485: 54,215 116,476 -31,938 114,935 56,494 137,212 141,032: 158,273 154,453
: : :
: : Percent of Open Interest Represented by Each Category of Trader :
All : 100.0: 17.2 22.4 1.6 57.8 65.4 76.7 89.4: 23.3 10.6
Old : 100.0: 17.2 22.4 1.6 57.8 65.4 76.7 89.4: 23.3 10.6
Other: 100.0: 0.0 0.0 0.0 0.0 0.0 0.0 0.0: 0.0 0.0
: : :
:# Traders : Number of Traders in Each Category :
All : 413: 108 101 44 139 131 271 252:
Old : 413: 108 101 44 139 131 271 252:
Other: 0: 0 0 0 0 0 0 0:
:----------------------------------------------------------------------------------------------------
: Percent of Open Interest Held by the Indicated Number of the Largest Traders
: By Gross Position By Net Position
: 4 or Less Traders 8 or Less Traders 4 or Less Traders 8 or Less Traders
: Long: Short Long Short: Long Short Long Short
:----------------------------------------------------------------------------------------------------
All : 16.5 25.9 25.5 38.4 12.3 24.9 21.2 36.2
Old : 16.5 25.9 25.5 38.4 12.3 24.9 21.2 36.2
Other: 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
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