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Daily Quant | 2014 | October
uk writings

2014 October

Friday, October 31, 2014

Posted by | The Daily | No Comments

2014-10-30.2

Shock and awe… as the great monetary experimentation continues… October ends!


The Bank of Japan surprisingly expanded their asset purchases to $80 trillion per year or around US$727 billion. This action pushed the Japanese stock market up 4.83% while sending their currency into new lows with the dollar yen trading above 110. This action has surprised all market participants and we are seeing a sharp increase in prices across the board.

The central banks continue to make real price discovery an illusion as they are driving asset prices higher while getting very little action in the actual economy.

There is a panic going on at least in Japan and possibly in Europe about deflation. Germany released its inflation numbers earlier and showed a 0.7% annualized rate, well below the 2.5% targeted. Japan is also struggling to get there inflation rate above the 2 percent level. With oil prices continuing to be under pressure this is causing massive amounts of deflationary pressures across the entire planet. This response by the world markets is interesting as you would’ve thought that the BOJ was putting money in all of the economies of the world.

The subject is very complex and I would make sure that I tune into the market thunder broadcasted today to go over all the details that are affecting the markets and their actions. Our meetings are now password protected. Please see the dashboard or check your email for a passcode. If you cannot find the passcode, please send an email to support@VPMpartners.com

 

Be sure to tune into Market Thunder at 12:00 noon Eastern Time today for a complete review of all the technical aspects of the S&P 500, treasuries, US dollar and more.

passcode: 3pcq

http://www.ustream.tv/channel/vpm-partners

 

Looking at the technical viewpoint, the markets were able to surge one more time closing at the 1994.65 level. This suggests that the market is experiencing an extension in the move to the upside. Should the market open where they are indicated as of the writing of this commentary, it is likely that we could see a historical high on the S&P.

When looking at the VPM Daily models, they have not been able to detect a lot of trends, even on a short-term basis as the short-term database bullish percent is currently 39%. The global equity daily models currently have IJR and SPY as long positions. And it appears, should the market close firmer today, that there could be a weekly buy come in on the small cap IJR and the Russell 2000.

The key level on the upside for today is 2005.95. Penetration of this level will suggest a further advance to the 2017.30 level which is the extreme resistance posted below.
On the downside, the key level is 1989.30. A penetration would suggest a decline toward 1977.35. There is currently only a 30% probability for that to occur.

In the end, this rally will most likely represent the blow-off top that we been waiting for. Our run for Monday will reflect what this rally has been able to turn around, if anything. There continues to be a very narrow participation over all in these stocks. While it has broadened out slightly, this is far from anything that would resemble a robust uptrend.

The market should open higher, with a 60 percent probability to close higher, should the market remain above the S1 level today

Today’s Key Levels

RX 2017.30
R3 2011.95
R2 2005.95
Resistance R1 2000.00
Prior Close 1994.65 +12.35
Support S1 1989.30
S2 1983.35
S3 1977.35
SX 1972.00

 

 

 

Thursday, October 30, 2014

Posted by | The Daily | No Comments

2014-10-29.2

QE ends and now were back to real economics and the GDP…

Yesterday had several interesting events as the Federal Reserve announced that they have ended the bond buying program as expected and they left in the terminology for interest rates to remain low for a considerable time in the statement.

However, there were other elements talking about employment and other economic outlooks that suggested that yields could start to rise sooner. The 10 year notes are at 230 and as I discussed on the market thunder show on Monday they are not likely to go much above the 233 level at this time which has been the high for the week.

Probably the most interesting thing is that there was no conference call after the release of the statement. You have to go back to before Bernanke to have a meeting with no conference call. It was somewhat mysterious that the markets responded in a negative mode only to come back to close slightly lower.

The configuration on the markets continues to suggest that a high is likely to be rendered in the next two sessions. The key level today on the upside is 1986.75. Failure to penetrate this level will suggest that the market will retest the lows around the 1969 level with a test of the 1967.90 level. However, should the 1986.75 level be penetrated, there is substantial resistance between 1991.75/1996.70.

 With the market trading around the highs of the month it does suggest that we will remain above the 1948 level suggesting that there could be some minor follow through on the upside as the month of November begins. 

Meanwhile, there is no new emerging trends forming other than the very short term which is positive. This suggests that the market is likely to stay above the ten day moving average at this time which is currently between the 1948/1956 levels.

The market should open flat to lower, with a 60 percent probability to close lower, should the market remain above the 1986.75 level today.  

Today’s Key Levels

  RX 2005.60
  R3 1996.70
  R2 1991.75
Resistance R1 1986.75
Prior Close   1982.30 -2.75
Support S1 1977.85
  S2 1972.90
  S3 1967.90
  SX 1959.00

Wednesday, October 29, 2014

Posted by | The Daily | No Comments

2014-10-28.2

Fed Time…

 

Market participants are awaiting the announcement from the FOMC meeting later today with expectations of the end of the bond buying program. Participants will be scrutinizing every word, looking for some indication that the raising of rates will be delayed further with expectations to July 2015. Typically market participants get what they’re looking for as there is so much transparency there are usually no surprises.

We will likely be hearing from several Fed presidents, most likely flip-flopping from one side to the other, to keep the market participants generally confused. Some of the past flip-flopping has really brought doubts into the Fed’s credibility and this is likely to continue as the weeks unfold.

The market action yesterday continued the sharp rise in prices as we moved to the 1985.05 level rendering a new high for the month of October. The configuration suggests that it has been mostly short covering ahead of the Fed meeting and it continues to rise with only two sessions that traded in a moderately sideways range.

Meanwhile, volatility continues to contract. The VPM three day indicator is now at 21.9 and is likely to continue to contract back down to the 15 level over the next several days. Also, the VIX has declined to the 14.39 level indicating that there is a 60% probability for a high to be reached in the next two sessions.

The patterns are not generating any Fibonacci objectives due to the lack of declines within the pattern since it has been virtually straight up every session for the past nine sessions. Short-term momentum has increased to a robust .56 on PPM1. This suggests that should there be any short-term declines, the market is likely to remain above the 1943 level.

Also, the markets have reached the Resistance 1 level on a weekly basis at 1983.95 with the intraday high yesterday of 1985.05. The next level on the weekly graph is 2005.60 which was substantial resistance last time we traded at that level. There currently is only a 30% probability that that this level could be reached by the end of this month on Friday.

The short term pattern suggests if the market can trade above 1989.25 then a further rally to 1993.90/1998.60 will unfold. We’re likely to see a spike in volatility late in the session after the FOMC meeting minutes are released and Janet Yellen has her press conference.

The key level on the downside today is 1980.85. A penetration would suggest a decline to the 1976.20/1971.50 levels.

As mentioned earlier there is a strong probability for a top of this pattern in the next two sessions.

The market should open flat to lower, with a 60 percent probability to close lower, should the market remain above the 1989.25 level today.  

Today’s Key Levels

  RX 2006.95
  R3 1998.60
  R2 1993.90
Resistance R1 1989.25
Prior Close   1985.05 +23.42
Support S1 1980.85
  S2 1976.20
  S3 1971.50
  SX 1963.15

 

 

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Tuesday, 28 October 2014

Posted by | The Daily | No Comments

2014-10-27.2

Volatility continues to contract…

As the market unfolded yesterday, it was unable to sell off substantially after opening slightly lower. Most of the activity during the day was concentrated in the red. There were a couple tries to get into positive territory basis the S&P but each failed. Ultimately, the market closed slightly lower on the session. The NASDAQ and the Dow Jones were able to close slightly higher but the overall session was flat for the most part.

The three day VPM rangefinder is now at 26.04, down from 41.23 last week. The VIX has continued to decline to close at 16.04, down from 31.06 just two weeks ago.

The configuration suggests that there could be 1 to 2 more days of a positive bias before the market begins to decline. The key level today will be 1966.60. If this level is penetrated we could see a further advanced toward the 1972.20/1977.75 levels.

There is a fair amount of information coming out with some housing news as well as durable goods. There’s also about 250 earnings reports to be release which are likely to keep market participants guessing throughout the session.

As I discussed on Market Thunder yesterday, there continues to be an underlying bid in the market. This is preventing the market from selling off from the bottom that began at 1820 the week before last. It does appear that this positive tone will continue but ultimately we should see a decline back to the 1941/1925 levels once this sequence has been completed.

The market should open higher, with a 60 percent probability to close higher, should the market remain above the 1956.65 level today.  

 

Today’s Key Levels

  RX 1987.70
  R3 1977.75
  R2 1972.20
Resistance R1 1966.60
Prior Close   1961.63 -2.95
Support S1 1956.65
  S2 1951.10
  S3 1945.55
  SX 1935.60

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Monday, October 27, 2014

Posted by | The Weekly Brief | No Comments

Market Overview
2014-08-25 YTD

YTD Performance S&P 500 Pacing2014-08-25 SPPacing

European stress tests as everything’s okay… even though everything is worse…

There were 25 banks that failed the stress test over the weekend. Initially Europe started on a lower note but turned around to trade up about 1%. There were comments from ECB officials that even though the test showed there was new risk in the markets, they believed it was to be expected. Therefore, everything is okay and we will have to see how things pan out after these tests have been run.

So, basically they have no idea. But market participants feel that if the ECB says it’s okay then it is. Even if it’s not, they’re going to potentially bail out anything that might have an issue. Italy had the worst reports but we already knew that they had the worst problems so there is nothing new there.

As we look forward to this week we see that it’s a big week. We have the FOMC meeting on Tuesday with the press conference and meeting announcement Wednesday. Other events this week from an economic viewpoint are Pending Home Sales on Monday. Tuesday has Durable Goods and Consumer Confidence. Thursday, GDP and Jobless Claims.  Friday, Consumer Sentiment as well as Chicago PMI. On top of all this, we continue to have more of the earnings season unfolding with over 1000 earnings reports coming out this week. This will be by far the biggest week yet.

By the Box

YTD Performance

2014-08-25 StyleBoxes1

Performance Divergence

2014-08-25 StyleBoxes2

SP 500 for the week of 10/20/2014

2014-08-25 PriorWeek

2014-08-25 PriorWeekLevels

Looking back on last week

Monday
Monday’s action started slightly lower and then begin the rally and steadily moved higher throughout the session with the S&P finishing higher by 0.91%. The big news was IBM as it weighed on the Dow. The Dow spent the bulk of the session in the red only to see it move higher later in the session as well. Semiconductors as well as Apple helped keep the markets in a positive tone throughout the session.

Tuesday 
The market opened higher and saw a broad advance with the S&P finishing up 1.96%, moving sharply back above the 200 day moving average at 1906.95 with the NASDAQ leading the way up finishing up 2.4% on the session. There seemed to be little to stop the market as IBM and McDonald’s weighed on the market but they did not hold it back from moving higher.

Wednesday
Wednesday started higher but reversed the action as it drifted down to close lower on the S&P 500 by 0.73%. Six of the 10 sectors were in negative territory with energy leading the way down by 1.7%. Crude oil led the way lower as it finished down 2.4% at $80.49 per barrel. The dollar index also was able to move higher as it finished up .45 on the session at 85.75.

Thursday
Thursday opened higher and continued to trade toward the highs of the session throughout the day as the S&P 500 finished up 1.23%, reversing Wednesday’s weakness. The key elements that drove the markets higher were overseas reports from China, Japan and the euro zone that surpassed the estimates, triggering short covering in Europe which carried over to our markets. Also better-than-expected earnings reports helped to keep market sentiment positive.
Additionally, a set of better than expected quarterly results from several large cap names also provided a measure of support.

Friday
Friday’s trading added to a strong week with a rally in the S&P 500 which closed 0.71% higher on the day and 4.12% for the week. It was one of the strongest weeks that we’ve seen for some time as primarily short covering was the key element across the board. The NASDAQ composite also continued its rally and finished the week up by 5.3%. There seemed to be little that could stop the onslaught of buying as the markets finished at the highs of the session.

S&P 500 for 10/24/14

2014-10-24.2
Friday’s action continued higher and pushed the market up to the 1964.58 levels. The configuration suggests that there could be at least 1 to 2 days of higher prices they could push toward the 1976.65 level with an extreme of 1994.40 in the pattern.

The pattern also suggests that this continuation is not seeing a substantial increase in momentum. Therefore, it suggests that it is likely to stall and consolidate over the next 3 to 5 sessions, should the market remain under the 1976.65 levels.

The intermediate charts have seen a slight uptick in momentum but have not reached a trend mode. This suggests that the market is still in a very large consolidation range. With the sharp rebound off the 1820 level two weeks ago and the follow through that we saw last week, it is likely we could see further upside. One of the more interesting things to come out of our research this weekend was the VPM rangefinder index. It suggests that the three-week average range now is 101.44. This indicates a very broad range of expectations with a high of 2066 and a low of 1863. Volatility is likely to continue as the three day indicator is at 29.84 suggesting that we will remain in a very volatile state.

It does appear at this time that the European activities are influencing market sentiment here but I believe that will be broken this week with the massive amount of earnings reports, the FOMC meeting, as well as GDP and other key reports that are coming up this week. By the end of the week were likely to have a more realistic viewpoint of what’s really going on.

As I mentioned in Market Thunder on Friday, I wanted to see what a 4.1% gain on the week would do as far as the database goes. We did see some slight buying but nothing material as we are only up to the 22.38% bullish level from 20.56 last week. There doesn’t seem to be any resumption of substantial upward momentum, which would suggest that we are likely to be in this large trading range for the next 3 to 5 weeks.

The probabilities of a continuation to the extreme posted on our weekly expectations is unlikely. However, the resistance one level of 1983.95 could be reached as well as the support one which is 1945.20. This should likely set the ranges for this week.

The market should open flat to lower, with a 60 percent probability to close higher, should the market remain above the 1958.90 level today.  

This Week’s Key Levels

ER 2066.05
R3 2027.30
R2 2005.60
Resistance R1 1983.95
Prior Close   1964.58 +77.82
Support S1 1945.20
S2 1923.54
S3 1901.90
ES 1863.15

Today’s Key Levels

ER 1994.40
R3 1983.05
R2 1976.65
Resistance R1 1970.30
Prior Close   1964.58 +13.76
Support S1 1958.90
S2 1952.50
S3 1946.15
ES 1934.74

Friday, October 24, 2014

Posted by | The Daily | No Comments

 2014-10-23.2

Market continues…

 

The market continued higher as it was triggered by the surprise uptick in the German PMI report overnight. This combined with positive results from Caterpillar pushed the market into new highs for this recovery rally.

 The configuration suggests that there is still a 60% probability for a right shoulder to form here suggesting that the market will decline over the next 5 to 8 sessions. The S&P 500 did trade into the 1961 levels briefly before reversing to close at 1950.82.

While many have cited that the claims numbers being under 300,000 for the third week in a roll as positive, there are many elements that have occurred that suggests that the market and the economy is getting stretched. It’s going to be difficult for the economy to continue to expand as the next several quarters unfold.

 

Be sure to tune into Market Thunder at 12:00 noon Eastern Time today for a complete review of all the technical aspects of the S&P 500, treasuries, US dollar and more.

http://www.ustream.tv/channel/vpm-partners

 

While the rally off the low has been substantial, it has had little effect on actual momentum on the upside. As I have discussed several times, I continue to see the markets failing at these levels due to the lack of response of the Price Pressure Momentum (PPM) indicators.

The key number on the upside today is 1957.65. A penetration of this level will set the tone for rallying up to the 1965.25 level. The high for the month is 1977.84 and the weekly extreme resistance is 1978.40. These levels are unlikely to be penetrated as there is only a 20% probability. 

On the downside, the key level is 1944.00. Penetration of this level will suggest that the market will decline toward the 1936.40/1928.80 levels.

The market should open flat to lower, with a 60 percent probability to close lower, should the market remain below the 1957.65 level today.

Today’s Key Levels

RX 1986.45
R3 1972.85
R2 1965.25
Resistance R1 1957.65
Prior Close 1950.82 +23.71
Support S1 1944.00
S2 1936.40
S3 1928.80
SX 1915.20

 

 

 

Thursday, October 23, 2014

Posted by | The Daily | No Comments

2014-10-22.2

Second pattern completes…

Yesterday’s action traded to the 1949.31 level, just above the R1 level projected by the VPM rangefinder. The market traded in a sideways range for most of the session and then declined in the last two hours of trade, pushing the market down to 1927.11 on the close.

The configuration suggest that a 5-5-8 pattern is unfolding. This suggests that as long as we remain below 1947.05 then yesterday’s high will represent the top of the second part of the 5-5-8 pattern. This suggests that we should have at least 5 to 8 sessions lower, moving to a minimum of 1907.20/1894.85.

However, a penetration of 1947.05 would suggest that the market could rally to the 1959.35/1963.95 levels. There is currently only a 30% probability for this to occur.
The critical level on the downside is 1920.95. A penetration of this level will signal a move down to 1914.05/1907.20 with an extreme of 1894.85.

Today is a huge day in earnings. This is likely to keep the market in a very volatile mode as the average three day indicator is still at 32.26. If we stay below the 1940 level then we could see prices as low as 1907.05 today.

The market should open higher, with a 60 percent probability to close lower, should the market remain below the 1940.15 level today.  

 

Today’s Key Levels

  RX 1959.35
  R3 1947.05
  R2 1940.15
Resistance R1 1933.30
Prior Close   1927.11 -14.17
Support S1 1920.95
  S2 1914.05
  S3 1907.20
  SX 1894.85

Wednesday, October 22, 2014

Posted by | The Daily | No Comments

2014-10-21.2

How does X=Y?

Once the market opened above the 1909 level, it went vertical and then ground higher throughout the session to close at 1941.28, up 1.96%. This rally has been very impressive, cutting through both the 10-day moving average as well as the 21-day moving average as a massive short covering rally continued. With a 6% rally off of last week’s low it has certainly been impressive. But as you will recall in last Thursday’s commentary I talked about how the bull trap has been set.

I have also discussed on the Market Thunder broadcast about the potential of setting up a right shoulder that emulates the same pattern that unfolded in 1987. While I’m not suggesting there is a sudden crash to follow, the sharp rebound rally doesn’t have any real fundamentals behind it. Markets have chosen to ignore poor international performance from IBM, Coca-Cola, and McDonald’s for rumors about the ECB potentially buying corporate debt.

So what does X=Y mean? How does the purchasing of corporate debt calculate into liquidity for lending in the economy and the creation of jobs? How does it help Italy, Spain, Portugal and Greece in any way? The answer is it doesn’t. But market participants have been buying based upon the rumors and I believe reality will set in which will set up a classic right shoulder top.

In 1987 the market rallied 76% off of its lows and then failed, dropping nearly 40% in four days. This is a classic right shoulder that is setting up. This suggests that we would continue down to the numbers that I discussed last week around the 1752 to the 1650 levels. There seems to be little doubt from a technical standpoint that the market is beginning the longer-term formation of a top on the monthly graphs.

However, there are some elements that are unfolding that suggest if we were to close above the 1966.40 level next Friday, which is the close for the month, that there could be a retest of the highs. While this has only a 30% probability to occur, it will carry implications from a price movement standpoint but not from a trending viewpoint. Most likely it will take 6 to 8 weeks for the market to even have a chance at forming a bottom and signal a new trend to the upside.

There are some alternative views I will discuss. Be sure to come to the special Market Thunder show today at 12 noon Eastern Time. It will be a 30 minute show that will cover all of these details.

The key level on the upside today is 1948.30. Penetration of this level would suggest a further rally toward 1956.15/1963.95. There is only a 30% probability for this to occur.

On the downside, the key level is 1934.30. Penetration of this level will set the tone for a decline back toward 1926.45/1918.60. Today is also the fifth day in the pattern. We should complete a top and start a retracement back toward the 1918/1907 levels.

The three day volatility indicator has dropped to 29.69 from 41.23 and is likely to continue to contract as we may see one of the narrower trading days that we’ve seen for several days today.

The market should open flat to lower, with a 60 percent probability to close lower, should the market remain below the 1948.30 level today.  

Today’s Key Levels

  RX 1970.95
  R3 1963.95
  R2 1956.15
Resistance R1 1948.30
Prior Close   1941.28 +37.27
Support S1 1934.30
  S2 1926.45
  S3 1918.60
  SX 1911.60

 

 

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