10/06/2012 Weekend Update

[BullBear52x]

IWM anyone?

[Al_Dente]

PAGING Baron von BullBear52x
What do u make of this?
DBV is non-correlating with just about everything (except China, which is excluded from G-10)
Eyeball look-back shows this can be bullish or bearish.

Strip away the correlation studies; here’s just DBV and SPX
There are only a few times when SPX diverges (pink boxes)
Then it is SPX, not DBV, that gets back into line. In other words, DBV liquidity is the boss
But it looks like it can take a couple-ish weeks for SPX to re-align w DBV
Your thoughts please?

Newbies c wiki for G-10 info: http://en.wikipedia.org/wiki/Group_of_Ten_(economic)

And more here: http://etfdb.com/etf/DBV/

[BullBear52x]

PAGING Baron von BullBear52x
What do u make of this?
DBV is non-correlating with just about everything (except China, which is excluded from G-10)
Eyeball look-back shows this can be bullish or bearish.

106wknddbvcor.png

Strip away the correlation studies; here’s just DBV and SPX
There are only a few times when SPX diverges (pink boxes)
Then it is SPX, not DBV, that gets back into line. In other words, DBV liquidity is the boss
But it looks like it can take a couple-ish weeks for SPX to re-align w DBV
Your thoughts please?

106wknddbv.png

Newbies c wiki for G-10 info: http://en.wikipedia.org/wiki/Group_of_Ten_(economic)

And more here: http://etfdb.com/etf/DBV/

To use DBV or YEN to measure carry trade, one need to understand risk associated with uncertainty of exchange rate. I believe in direction of DBV represents Bond pro move, but since central bank got all the say on the short term exchange rate this could hurt the bond king also.

[Mr. BachNut]

Correlated currency update.
The Australian dollar went below the low and weekly close of its most recent bottom on Friday, and the AUD JPY cross is on the cusp of completing a Head and Shoulders neckline.
I have a speculation that an AUD downtrend and completion of the AUD JPY H&S could demarcate a period of carry trade unwinding by hedge funds, which could be a drag on equities.
It was interesting to watch the AUD and SPX decline together after the open on Friday.
If the currency action doesn't reverse, I'll be looking to see if a tipping point gets reached where this thing bites equities or proves itself irrelevant.

This could just be the imagination of a day dreaming bear. So, discount accordingly.
The technical condition of the equity market at the moment appears good. My composite signal is long.
I have found though that technicals often look great at tops.
Other things, like Cobra's chart showing the commercial hedger short positions, can provide clues that something is off.
So, I provide these in that spirit.

[Mr. BachNut]

I’ll not be bearish unless this one does a surprise reversal.
It looks like it is on its way down to test the 200sma support, which may or may not hold.
Elliot Wavers should be all over this chart.

106wkndtlt.png

Bond auctions next week (10 yr wed, 30 yr thurs). I imagine weakness ought to continue ahead of those.

[joe-gamma]

nondenominational and nonpartisan, But it is what it is
http://www.zerohedge.com/news/2012-10-0 ... ecord-high

How 'bout a Song to seranade the saturday speculations:

http://www.youtube.com/watch?v=cOJHSrxH ... re=related

Joe, as to zerohedge - do you know what happened Friday? Jack Welch (ex CEO GE), who is almost senile, says Friday's employment report is a conspiracy. And zerohedge made similar claims. People who make wild allegations about statistics without knowing how they are compiled are totally negligible. They remind me of guys who say that evolution is a lie straight from the pit of Hell. Shouting out nonsense does not boost credibility in any field.

saw those "distractions" too, thanks for the vote for science, rather than a vote for extremism

[joe-gamma]

PAGING Baron von BullBear52x
What do u make of this?
DBV is non-correlating with just about everything (except China, which is excluded from G-10)
Eyeball look-back shows this can be bullish or bearish.

106wknddbvcor.png

Strip away the correlation studies; here’s just DBV and SPX
There are only a few times when SPX diverges (pink boxes)
Then it is SPX, not DBV, that gets back into line. In other words, DBV liquidity is the boss
But it looks like it can take a couple-ish weeks for SPX to re-align w DBV
Your thoughts please?

106wknddbv.png

Newbies c wiki for G-10 info: http://en.wikipedia.org/wiki/Group_of_Ten_(economic)

And more here: http://etfdb.com/etf/DBV/

Thanks wise AL...only looking at the sp/dbv chart, would it be possible that spy leads ((by 1-3 weeks) in this fed-driven climate?

here is smore more mulah for ya
http://www.youtube.com/watch?v=sVvFaB389cs

[BullBear52x]

PAGING Baron von BullBear52x
What do u make of this?
DBV is non-correlating with just about everything (except China, which is excluded from G-10)
Eyeball look-back shows this can be bullish or bearish.

The attachment 106wknddbvcor.png is no longer available

Strip away the correlation studies; here’s just DBV and SPX
There are only a few times when SPX diverges (pink boxes)
Then it is SPX, not DBV, that gets back into line. In other words, DBV liquidity is the boss
But it looks like it can take a couple-ish weeks for SPX to re-align w DBV
Your thoughts please?

The attachment 106wknddbv.png is no longer available

Newbies c wiki for G-10 info: http://en.wikipedia.org/wiki/Group_of_Ten_(economic)

And more here: http://etfdb.com/etf/DBV/

Thanks wise AL...only looking at the sp/dbv chart, would it be possible that spy leads ((by 1-3 weeks) in this fed-driven climate?

here is smore more mulah for ya
http://www.youtube.com/watch?v=sVvFaB389cs

something to kill time what leads.

[BullBear52x]

inflation? cheap food.

[Harapa]

Do VIX and equities always move in opposite direction?
Are low readings in VIX bearish for equities?
This chart tries to answer both questions.
Answer to both questions is "not necessarily".
-Between 96-98 (Box A) SP500 gained ~50 % despite an increase of 272% in VIX in the same period. Similarly in ~2/3Q of 2007(Box C) SP500 gained 13% despite a gain of 271% in VIX.
-VIX has been even lower than current value in the past [~92-96, and Box B)]. Both times SP500 showed a positive return.

[BullBear52x]

Do VIX and equities always move in opposite direction?
Are low readings in VIX bearish for equities?
This chart tries to answer both questions.
Answer to both questions is "not necessarily".
-Between 96-98 (Box A) SP500 gained ~50 % despite an increase of 272% in VIX in the same period. Similarly in ~2/3Q of 2007(Box C) SP500 gained 13% despite a gain of 271% in VIX.
-VIX has been even lower than current value in the past [~92-96, and Box B)]. Both times SP500 showed a positive return.

The attachment VIX Historical.jpg.png is no longer available

I use vix for short term intraday trade is very helpful, the last 20 days it's still do the opposite.

longer term I would not count much but you can feel the fear is high with higher vix, helpful to initiate bears move if you play the evil side.

[Al_Dente]

Here’s a VIX cousin: the INDEX ONLY Put to Call Ratio daily chart. When inverted it becomes the Call to Put Ratio, where ratio up = call buying,
and ratio down = put buying. The ratio is almost invisible because the focus is on the 8 moving average in purple.
My take (IMHO) is: when investors start getting cautious, they don’t just immediately dump all their long stocks,
rather they start buying puts to protect their long portfolios.
Here, the current purple line down shows that ON AVERAGE the put buying picked up a bit. This usually results in a correction, but it can just as easily reverse, exactly like it did in late August/early September when the call buying and the SPY rally continued.

You can also see in the faded grey inverted ratio behind, that call buying picked up last week, but this doesn’t yet show in the purple 8 moving average.

Note: these are extreme readings, not seen since 2009, and it is difficult to nail extreme readings, simply because there’s not much frame of reference for them, hence the new red solid horizontal signal line is ARBITRATY based on the new extreme readings, whereas the dotted red horizontal sell signal line is old and tried and true-ish.

[Harapa]

Do VIX and equities always move in opposite direction?
Are low readings in VIX bearish for equities?
This chart tries to answer both questions.
Answer to both questions is "not necessarily".
-Between 96-98 (Box A) SP500 gained ~50 % despite an increase of 272% in VIX in the same period. Similarly in ~2/3Q of 2007(Box C) SP500 gained 13% despite a gain of 271% in VIX.
-VIX has been even lower than current value in the past [~92-96, and Box B)]. Both times SP500 showed a positive return.

VIX Historical.jpg.png

I use vix for short term intraday trade is very helpful, the last 20 days it's still do the opposite.

1.JPG

longer term I would not count much but you can feel the fear is high with higher vix, helpful to initiate bears move if you play the evil side.

2.JPG

-I also have a setup using VIX for intraday trading that is doing well but I wonder how it would do when VIX and SP500 are no longer anti correlated (as is the case now).
-I think it is just as useful for the long term as it is for the intraday provided you have a good setup. I posted some examples of useful setups for the long term investment on the subscriber's site. Take a look if you haven't already. In addition, I am working on a setup that will work whether VIX and SP500 are correlated positively or negatively.

[Al_Dente]

DBV bla bla

Thanks AL...only looking at the sp/dbv chart, would it be possible that spy leads ((by 1-3 weeks) in this fed-driven climate?
here is smore more mulah for ya
http://www.youtube.com/watch?v=sVvFaB389cs

joe
I think the bottom line is that QE trumps all.
I had to drag out an old QE chart to remind myself that yes, corrections actually do happen, albeit brief, during all the global QE.

Thx for Bessie

[BullBear52x]

-I also have a setup using VIX for intraday trading that is doing well but I wonder how it would do when VIX and SP500 are no longer anti correlated (as is the case now).
-I think it is just as useful for the long term as it is for the intraday provided you have a good setup. I posted some examples of useful setups for the long term investment on the subscriber's site. Take a look if you haven't already. In addition, I am working on a setup that will work whether VIX and SP500 are correlated positively or negatively.

I looked at those, nice charts, the time flame is too big of a window for me. I don't use vix in real time longer then 15min. time frame.

[joe-gamma]

VIX Historical.jpg.png

[/quote]
I use vix for short term intraday trade is very helpful, the last 20 days it's still do the opposite.

1.JPG

longer term I would not count much but you can feel the fear is high with higher vix, helpful to initiate bears move if you play the evil side.

2.JPG

[/quote]


sometimes its hard not get married to an intraday trend .....BB ever run any studies for reversion intraday? something like a PPO (1,21,1) on one:vix trade may have given an early warning to exit longs on Friday am and also on sept 14, sept 25th etc.....not sure which period would give good signals without whipsaw and without leaving too much profit into the swing trade..

thanks for your charts! here is a tunehttp://www.youtube.com/watch?v=K_DOnKJ2 ... re=related

[Cobra]

Weekly stock picks.
viewtopic.php?f=10&t=694&p=98785#p98785

[Al_Dente]

studies for reversion intraday? something like a PPO (1,21,1) on one:vix trade may have given an early warning to exit longs on Friday am and also on sept 14, sept 25th etc.....not sure which period would give good signals without whipsaw and without leaving too much profit into the swing trade..

Joe do u have a chart of this? what time frame 5 min? 15min? etc
thx

[daytradingES]

Gold possible sell on Friday close below 1760 (NTA)

[Cobra]

Weekly stock picks for short.
viewtopic.php?f=10&t=694&p=98790#p98790