EOD Signals

Since we had some really choppy volatility (which was high considering the day which is kind of sad...) toward the close, I figured I'd put out 1 more update with anything that may have changed as the last 5 mins accounted for a sizable portion of most of the gains.

As I said in the Leading Indicators post, they were mixed on an intraday basis, this really contributed to that "muddy" feel in the market and indicators today. The market was set to close pretty dull (toward the 3:30 area) if it weren't for the last 5 minutes of the day in which there was an obvious ramp to leave most of the averages closing up about 0.50% except the NASDAQ 100 at +0.09%. The Euro was not responsible, it had not moved up or offered any support since 12:30, the $USD lost some ground from 11:30-1:30 which appears to have helped the market on that 1:30-ish p.m. push which seems to be tied to Boehner's P.C.


HY Corp. Credit and Junk Credit both moved higher end of day with the market, High Yield itself was unimpressed and didn't make a single higher tick higher since 10:45 a.m. through the rest of the day. Commodities were another risk asset that didn't seem to share equities enthusiasm as they really didn't move above the 10:30 area the rest of the day, so interestingly commodities didn't even move on a weaker dollar in the afternoon. In the end, the closing indications for Leading Indicators are exactly the same as the afternoon post. 

 DIA intraday was losing underlying support until someone pushed the green button around 3:55.

 The IWM lost significant intraday support as 3C made a new low on the day, interestingly about the same time the rest of the market was showing 3C deterioration on this timeframe.

 The IWM 2 min shows clearly that the IWM wasn't seeing supportive underlying 3C flows at all as it not only failed to move to the same relative area where 3C was when price was at the same level on yesterday, but it didn't even move in confirmation of the higher high from this morning to this afternoon.

 The 3 min chart for everything else it is, added a new leading negative low in to today's move.

 I thought this 30 min chart was interesting, I didn't bother to mark every small divergence up and down, but just point out the broad 3C trend of rough confirmation up and then down and leading negative since the move up off the 11/16 lows. It's a pretty simple chart actually and pretty simple implications.

 The QQQ I think was interesting intraday in that it put in a fairly strong leading positive divergence at least an hour before price followed.

 The 2 min chart is the next step and it saw deterioration  with a leading negative divergence in to the close.

 This is confirmed by the 3 min chart as well, notice too that all of them show the earlier leading positive move so I don't think there's any coincidence here, these are real signals.

 On a longer term 5 min chart, since we saw accumulation in to the 11/16 lows the QQQ has seen a sharp leading negative divergence at the level in which we expected it to break above resistance as it did this Tuesday. The expectation was that this would be a head fake move and eventually a failed move and interestingly this is the lowest leading negative divergence since 11/16 right at the point in which the Q's broke out according to Technical Analysis, something that should be a positive right?

There weren't any interesting changes since I posted the SPY charts.

As far as CONTEXT, ES was above the risk asset model, in fact had ES not been pushed around and stuck with it's risk asset implied correlation, I don't think ES would have moved off the 9:00 levels and the S&P would have closed right about where it did yesterday.

The model in green wasn't much higher than approximately the 9 a.m. level, ES in red ramped away from CONTEXT and you can see to what extent on the histogram.

Definitely a muddy market, I'm guessing this is either to gauge the vote in the House on "Plan B" or is simply Op-Ex related.

More coming...