last week was intereting about eurodollar:
Short of euro wasn`t seen by volumes. But it was seen that someone is buying dollar big. So dollar index:
If to compare euro futures and dollar index futures, there was no big activity on euro top:
In addition someone formed big long position on uup etf (UUP - DB US Dollar Index Bullish).
As a result - short eurodollar on tuesday.
Short of euro wasn`t seen by volumes. But it was seen that someone is buying dollar big. So dollar index:
If to compare euro futures and dollar index futures, there was no big activity on euro top:
In addition someone formed big long position on uup etf (UUP - DB US Dollar Index Bullish).
As a result - short eurodollar on tuesday.
todays view
EUR continues to strengthen:
Gold gained impressivly after oil`s decent rally this morning. Copper remains lower and silver follows oil higher.
US equities broke overnight lows and are trading at support from Monday/early-Tuesday. Stocks look modestly expensive relative to CONTEXT and credit today. (zerohedge)
better use ES tick volume singals for shorts:
EUR continues to strengthen:
Gold gained impressivly after oil`s decent rally this morning. Copper remains lower and silver follows oil higher.
US equities broke overnight lows and are trading at support from Monday/early-Tuesday. Stocks look modestly expensive relative to CONTEXT and credit today. (zerohedge)
better use ES tick volume singals for shorts:
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yesterdays ES vs risk basket
The Treasury complex was the story of the day (30Y dropped to 2.99%).
Financials are the worst performers for the month so far down around 11%. Gold, Silver, Copper, and Oil all fell after the FOMC statement with oil dropping the most and gold the least with oil and copper at the week's lows. (zerohedge)
gold (on europe today we see biggest activity in few days):
big activity on euro:
As for today, ES was perhaps a little overdone relative to a broad risk-basket.
The Treasury complex was the story of the day (30Y dropped to 2.99%).
Financials are the worst performers for the month so far down around 11%. Gold, Silver, Copper, and Oil all fell after the FOMC statement with oil dropping the most and gold the least with oil and copper at the week's lows. (zerohedge)
gold (on europe today we see biggest activity in few days):
big activity on euro:
As for today, ES was perhaps a little overdone relative to a broad risk-basket.
While Friday's dramatic skid lower in the precious metals was later blamed somewhat on a leaked margin hike (as well as the simultaneous and anti-empirical sell-off in 30Y), it seems the liquidations that were rumored (whether hedgie or central banker) are in play once again as both gold and silver (the latter very significantly!) are finding little support. After some early weakness (EUR strength), the China news we noted earlier and general lack of any actionable rescue plan or large-scale money-printing has markets in a decidedly risk-off mode for the last few hours as ES shifts into the red and very early credit runs show 2-3bps widening in the front-end of the European indices.(zerohedge)
Today Shanghai Gold Exchange Hikes Silver Margin By 20%, and as a result silver is 12% lower from friday close.
Gold/Silver ratio made new hights and back to levels of sep 2010:
On Friday ES closed underperformed to basket of risk assets (aud/jpy, eur/jpy, eur/usd, 2-10 yeild spread, gold, oil), which allowed to use it for shorts on asian and european session for cl/ gold/euro and longs for es:
Today Shanghai Gold Exchange Hikes Silver Margin By 20%, and as a result silver is 12% lower from friday close.
Gold/Silver ratio made new hights and back to levels of sep 2010:
On Friday ES closed underperformed to basket of risk assets (aud/jpy, eur/jpy, eur/usd, 2-10 yeild spread, gold, oil), which allowed to use it for shorts on asian and european session for cl/ gold/euro and longs for es:
The S&P cash made new lows for the year as we aggressively probed lower into the close and penetrated Doug Kass's bottom from Aug 9th with cash and futures closing below 1100 back to 13 month lows, with the pain spreading wide following rumors of hedge fund blow ups.
BAC -2.7% at $5.38 (at 3/12/09 levels)
MS -2.2% at $12.2 (at 12/03/08 levels)
C -2.3% at $22.58 (at 3/16/09 levels)
GS -1.6% at $88.6 (at 3/11/09 levels)
JPM -2.1% at $28.05 (at 4/08/09 levels)
WFC -1.6% at $22.8 (just above recent lows)
Credit markets were a disaster with red everywhere and notable gaps suggesting some desperate reaching for hedges/unwinds as index overlays started to disengage from single-names. We have warned that sooner or later, managers/traders will need to sell/unwind longs as basis risk in the hedges/overlays becomes too much and the moves today suggest we are getting there (especially in financials) - zerohedge
Instead of its normal sideways plod after Europe closes, FX
markets continued to weaken dramatically against the USD with only JPY holding stronger while EUR broke to a 1.31 handle and closed at its lows of the day as DXY managed to trade at its highest since Jan 13th 2011. Gold and Silver managed decent gains (the former outperforming the latter) as oil and copper lost 2-3% on the day.
As we closed broad risk assets (CONTEXT) and the S&P managed to reconnect - with ES overshooting a little after cash closed. While relative to credit we still see 20-30pts of downside for the S&P (based on current HY levels which obviously can deteriorate), we need to see further weakness in carry FX and oil as well as strength and flattening in TSYs (more 2s10s30s compression) to really 'enable' this sell-off to reach Janjuah levels - but given the momentum into the close, nothing would surprise us.
BAC -2.7% at $5.38 (at 3/12/09 levels)
MS -2.2% at $12.2 (at 12/03/08 levels)
C -2.3% at $22.58 (at 3/16/09 levels)
GS -1.6% at $88.6 (at 3/11/09 levels)
JPM -2.1% at $28.05 (at 4/08/09 levels)
WFC -1.6% at $22.8 (just above recent lows)
Credit markets were a disaster with red everywhere and notable gaps suggesting some desperate reaching for hedges/unwinds as index overlays started to disengage from single-names. We have warned that sooner or later, managers/traders will need to sell/unwind longs as basis risk in the hedges/overlays becomes too much and the moves today suggest we are getting there (especially in financials) - zerohedge
Instead of its normal sideways plod after Europe closes, FX
markets continued to weaken dramatically against the USD with only JPY holding stronger while EUR broke to a 1.31 handle and closed at its lows of the day as DXY managed to trade at its highest since Jan 13th 2011. Gold and Silver managed decent gains (the former outperforming the latter) as oil and copper lost 2-3% on the day.
As we closed broad risk assets (CONTEXT) and the S&P managed to reconnect - with ES overshooting a little after cash closed. While relative to credit we still see 20-30pts of downside for the S&P (based on current HY levels which obviously can deteriorate), we need to see further weakness in carry FX and oil as well as strength and flattening in TSYs (more 2s10s30s compression) to really 'enable' this sell-off to reach Janjuah levels - but given the momentum into the close, nothing would surprise us.
Moody's ITA downgrade took some shine off as EUR drops 60 pips and ES now 13pts off its highs.
On the basis of old news, more promises, lack of any clarity, and Dexia's dump on the Belgian government, the equity markets staged a 4% rally in the last 45 minutes to end an incredible day. Our assumption is that this was simply the bounce that everyone expected as we seemed to have squeezed shorts into lunch and were limping back lower on AAPL disappointment. Quite clearly, there were a few uncomfortable equity shorts who were squeezed out rapidly and incessantly as the S&P massively outperformed credit as well as the broad basket of risk assets - even TSYs only managed to sell back to earlier day's high yields (as opposed to extending). Gold/Silver rallied (though well off week highs) as the USD dumped back near the week's lows and copper and oil rallied but again no where near as ebullient as stocks. Evidently, the equity move is exuberant at best but these squeezes seem able to maintain longer than anyone expects. - zerohedge.
The clearest example of the exaggerated move in equities is probably against the broad-basket of risk assets known as CONTEXT which tracked very well all day but was simply unable to keep up with the covering in ES as we rallied. While it does not mean equities are absolutely expensive, it does imply there is a disconnect between risk appetites relatively speaking and would suggest equity weakness short-term.
We had noted all day that credit was underperforming - - suggesting forced long covering or horizon changes (from short to long) in macro to micro hedging. The indices in general did not initially follow ES but as the rally took hold they started to catch up (understandably so) but significantly underperformed ES as we closed.
AAPL was the story of the middle of the day as it failed to provide an iPhone 5 (all-singing-all-dancing awesomeness) and fell more than 5% at one point (testing its 200DMA) before ripping back higher to its VWAP and then a little more to close down around 0.6%.
Sectorally, it is more what we would expect from a bounce day - the heavily shorted and prime-for-a-short-squeeze financials ripped almost 6.5% higher in that last 45 minutes. Amazingly, MS is now +3.25% from Friday's close, rallying 14.5% in the last 45 minutes with Goldman and Wells Fargo also making into the green on the week. - - zerohedge
FX saw the USD dump as AUD ripped higher as did every other major (apart from JPY) as carry FX took off - it was initially delayed in its response but once we got going in ES it didn't take long to rip.
Precious metals and commodities all managed to rally back as the dollar lost ground with oil finding the day's highs but copper, gold, and silver all stayed well of the earlier day's highs.
On the basis of old news, more promises, lack of any clarity, and Dexia's dump on the Belgian government, the equity markets staged a 4% rally in the last 45 minutes to end an incredible day. Our assumption is that this was simply the bounce that everyone expected as we seemed to have squeezed shorts into lunch and were limping back lower on AAPL disappointment. Quite clearly, there were a few uncomfortable equity shorts who were squeezed out rapidly and incessantly as the S&P massively outperformed credit as well as the broad basket of risk assets - even TSYs only managed to sell back to earlier day's high yields (as opposed to extending). Gold/Silver rallied (though well off week highs) as the USD dumped back near the week's lows and copper and oil rallied but again no where near as ebullient as stocks. Evidently, the equity move is exuberant at best but these squeezes seem able to maintain longer than anyone expects. - zerohedge.
The clearest example of the exaggerated move in equities is probably against the broad-basket of risk assets known as CONTEXT which tracked very well all day but was simply unable to keep up with the covering in ES as we rallied. While it does not mean equities are absolutely expensive, it does imply there is a disconnect between risk appetites relatively speaking and would suggest equity weakness short-term.
We had noted all day that credit was underperforming - - suggesting forced long covering or horizon changes (from short to long) in macro to micro hedging. The indices in general did not initially follow ES but as the rally took hold they started to catch up (understandably so) but significantly underperformed ES as we closed.
AAPL was the story of the middle of the day as it failed to provide an iPhone 5 (all-singing-all-dancing awesomeness) and fell more than 5% at one point (testing its 200DMA) before ripping back higher to its VWAP and then a little more to close down around 0.6%.
Sectorally, it is more what we would expect from a bounce day - the heavily shorted and prime-for-a-short-squeeze financials ripped almost 6.5% higher in that last 45 minutes. Amazingly, MS is now +3.25% from Friday's close, rallying 14.5% in the last 45 minutes with Goldman and Wells Fargo also making into the green on the week. - - zerohedge
FX saw the USD dump as AUD ripped higher as did every other major (apart from JPY) as carry FX took off - it was initially delayed in its response but once we got going in ES it didn't take long to rip.
Precious metals and commodities all managed to rally back as the dollar lost ground with oil finding the day's highs but copper, gold, and silver all stayed well of the earlier day's highs.
The pictures below show the price dinamycs of s&p against a basket of risky assets. On a short-term basis, CONTEXT is implying that broad risk assets are not following the excitement ор pessimism in stocks as aggressively which leads to corrections.
Unusual was situation on this week when s&p on the way down was leading risk - which is unusual though not unique - but during rallies we very seldom see s&p stay above and hold above CONTEXT for long. That may help to indentify direction in short-term and analyse reactions of TSY 2s10s30s, commodity and FX carry (for longs) and s&p (for short). For entry points I recomend to use analysis of tick volume. Currently it feels like s&p is a little overdone (above CONTEXT from Thursday close).
28_09:
29_09:
30_09:
4_10:
Unusual was situation on this week when s&p on the way down was leading risk - which is unusual though not unique - but during rallies we very seldom see s&p stay above and hold above CONTEXT for long. That may help to indentify direction in short-term and analyse reactions of TSY 2s10s30s, commodity and FX carry (for longs) and s&p (for short). For entry points I recomend to use analysis of tick volume. Currently it feels like s&p is a little overdone (above CONTEXT from Thursday close).
28_09:
29_09:
30_09:
4_10:
Zerohedge presented interesting simple trading strategy: being long gold in the overnight session, and shorting it during the day. Strategy had shown a return of 143% in the last year and annualized 37.46% for the last 10 years.
Research has showed that most upside movements on gold happens on bullish Asian session and most downside movements happen between am and pm fixing on gold - USA session.
I checked volume on Asian session for last contract and got interesting results - a lot of downside movements on Asia session were followed by large tick volumes and then market retraced. Examples on longs on Asia:
anyone may check statistics with one year of history, just ask a demo access
Research has showed that most upside movements on gold happens on bullish Asian session and most downside movements happen between am and pm fixing on gold - USA session.
I checked volume on Asian session for last contract and got interesting results - a lot of downside movements on Asia session were followed by large tick volumes and then market retraced. Examples on longs on Asia:
anyone may check statistics with one year of history, just ask a demo access
welshguy121
Junior member
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gaps always get filled
keep your eyes on it
keep your eyes on it
