Tuesday, March 25, 2014

Market Wrap 3/25/2014

Been a while since the last post, have been super busy.

Today's action was a spit image of yesterday's and Friday's, where we ramped up at night and into the cash open, only to literally retrace the entire move. S&P Futures (ES) closed higher by 9.75 handles at 1859.25 with light volume of 1.6MM minis. VIX was pushed lower at the start, climbed to a high of 15.05, only to be pushed to new session lows at 14.02 (-7.09%). VIX Futures also closed lower, but not much, with the back months actually fractionally higher.

ES

ES 10 DAY

VIX

VIX 10 DAY

VIX FUTURES


NIKKEI FUTURES/DOW FUTURES


FOREX

USDJPY 102.25
EURUSD 1.382












Friday, February 28, 2014

Market Wrap 2/28/2014

And its officially a wrap for the month of February, with yet another day of a rampathon, followed by a dropm and of course a 3:30PM recovery to save the day. S&P Futures (ES) ramped to a session high/new ATH of 1860. From there, we went sideways until news broke that Russian troops have been flown into Ukraine, which sent the ES dropping super fast and on heavy volume, down -8 handles to a low of 1845.24.  Then of course, like normal, BTFD kicks in and we almost recover back to the session highs. It was an interesting night last night, as the Chinese Yuan collapsed, which also sent the USDJPY to a low of 101.54, and the EURUSD below 1.37, only for both pairs to bounce, with the Euro climbing above 1.38.

VIX, after being pushed lower by 4%, began a small climb, and then exploded to a session high of 14.79. VIX settled at 14 even, down -.28% on the day. VIX premiums were very cheap this morning. For instance 13 calls in the front month traded for 1.90, and exploded to 2.70. VIX Futures also moved higher, but are off their session highs across the curve.


ES

ES 1 MONTH

MARKET

VIX

VIX FUTURES

FOREX

USDJPY 101.85
EURUSD 1.38




Thursday, February 27, 2014

Market Wrap 2/27/2014

Just another day in the most ridiculous markets ever, where the only way we go is up up up. Overnight, S&P Futures (ES) dropped to a low of 1832.75 on the back of Ukraine news, but markets did the same BTFD dance, and ramped 21.5 handles off the lows to make session highs literally at cash close, up +12 on the day at 1854, with 1.58M minis traded. Tonight we have a lot of Japanese data, and tomorrow we have U.S. Data, including GDP, Pending Home Sales, Chi PMI, and Consumer Sentiment. Bonds also continued their climb today, with the 10Y yield at 2.642%.

VIX had an interesting day, opening strong, but then going on a roller coaster ride thereafter. VIX cash is down -2.16% at 14.04. VIX Futures are off their session highs, but ended relatively unchanged from yesterdays closing prices, despite a rip in SPX and ES.

ES

ES

MARKET

VIX

VIX FUTURES

FOREX

USDJPY 102.09
EURUSD 1.3712


Wednesday, February 26, 2014

Market Wrap 2/26/2014

Well, after ramping the S&P futures last night, they sold them off in the day session, despite a beat in the New home sales number. People cheering the new home sales beat as more signs the housing market has recovered, but just one look at the New home sales chart below begs to differ. ES ended the day down a massive (sarcasm) -4.5 handles at 1841.75, failing yet again to close above the ATH's. Despite their efforts to get back to VWAP, they failed. Bonds continued their rally, with precious metals selling off. VIX climbed back above 14, as they were slammed at cash close yesterday below the 14 line. VIX futures closed just shy off their session highs. Don't forget, tomorrow we have Janet Yellen testifying, along with a big POMO.

NEW HOME SALES

ES

GOLD

10 YEAR

MARKET

VIX

VIX FUTURES

FOREX

USDJPY 102.36
EURUSD 1.3686








Tuesday, February 25, 2014

S&P Futures Overvalued?

Back from vacation.

Just an interesting look at the S&P Futures (ES) and various JPY pairs, and the SPX/XLF. (charts are 30day-1hour)

ES-USD/JPY

ES-EUR/JPY

ES-AUD/JPY

SPX-XLF