Friday, July 20, 2012

Daily Market Commentary

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Thursday, July 19, 2012

Daily Market Commentary

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Wednesday, July 18, 2012

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Tuesday, July 17, 2012

Daily Market Commentary

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Case Study: $VIX #PutCallRatio S&P500 Emini BUY Signal Last Thursday

Case Study: $VIX #PutCallRatio S&P500 Emini BUY Signal Last ThursdaySocialTwist Tell-a-Friend
On Thursday, July 12, 2012, a little bit after 1020CT, we noticed our VIX July Dollar-weighted Put/Call Ratio began rising very rapidly. See Table 1 below.  S&P500 Sept Emini contract was trading about 1323 +/- 1 handle.


Chart 1 (below, taken at 1213 CT) gives a more robust picture.  At 1020CT timeline, we did NOT have VIX Sept Put/Call Ratio drawn when we alerted everyone via our MSA Email List Server.  

By 1213 CT (Chart below) when we added Sept to the July and August plots, it soon became very clear that we were entering a very strong bullish period.  

Notice the volume of total contracts traded on that day:  
475K (for a Summer Thursday that happens to be 2nd week of July).  

It is not in an Expiration Week nor a FOMC Day nor ahead of NFP Friday.  By the end of the day over 758K VIX Options contracts were traded with over $134 Mil in premiums changing hands.  Indeed it was a very big day for the market.


Typically, a VIX Dollar-weighted Put/Call Ratio Signal, BUY or SELL, has about one-day shelf-life. This has to do with settlement mechanism inherent in the underlying asset and its derivatives. 

That evening, we noticed a number of "hammer candlestick" formations on key market indices.  We mentioned that on @HunterKillerSub, our Market Timing Twitter Feed.  Hammer candlesticks are very poweful bullish signals.

Next day, Friday 13th, 2012, S&P500 Sept Emini Contract opened at 1332 and rallied to reach 1352 by the Close.  

That is 29 handles since our MSA Alert went out.  Indeed these two days were wonderful trading days.



 Here are the snaps for VIX Dollar-weighted Put/Call Ratio Table and Chart for Friday July 13, 2012 an hour before the Futures Close. 



Monday, July 16, 2012

Daily Market Commentary

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