EOD Market Update

Well I don't have the closing data from CapitalContext yet, it's still lagging 15 mins behind the close, but as I said, we wouldn't see the model flip over the SPY because the differential was too wide, but it would give some sign and it did as it was moving up for the first time in hours.

Since 11:30 the model trended down until approx. 3 pm, then it trended up. The differential stayed the same as the ROC of both the model and the SPY remained fairly constant.

As for the assets that moved it, we know what goes in to the model, Credit, Treasuries and Volatility (specifically HYG, TLT and VXX), these are where I noticed a fast change and this is one of those 'Glimpses" of the market I often talk about, if you didn't see it happen in real time, looking back at the chart afterward doesn't do it justice as this was a fast move.

 This is the SPY vs HYG (High Yield Credit which is one of the three components in the SPY Arbitrage model above). HYG gave out early as we saw the Arbitrage model give out early, but HYG held in a very tight range for a good 2 hours and you'll see why. At the very close HYG made a sharp move to the upside, it didn't last long of course, but as the SPY and ES were starting to fade, they also got a boost from this move.

 HYG 3C 1 min chart with a sharp positive divergence and price moving within minutes of the signal.

 The 2 min, slightly longer chart shows HYG was flat (most likely because of the accumulation), although this is an intraday chart so it's not heavy accumulation, it was enough to support the EOD move and I suspect they still haven't given up on SPX $1565.15, although this will make 10 days now, a full 2 trading weeks.

During those 2 trading weeks because we all feel the grass is greener on the other side once in a while...

From the Dow-30 up +0.14% to the Transports down -0.79%, everything in between is +0.04% to -0.35%. Other than transports, nothing has moved more than a half percent over the last 9 days, 1 day short of 2 trading weeks. I have a hard time believing the Eurocrat's recent and biggest blunder has nothing to do with a lot of this as well as the, well the F_O_M_C.

Honestly, that's a pretty tough market to pull +49% out of in 1 day, but a lot of us did it and some of you did even better, hats off. 

"Take what the market gives!"

 SPY vs. VXX -As the SPY gained ground through the day the VIX futures weren't losing it, that suggests they were being bid for protection, a flight to safety of sorts.

 It took a pretty big bang to knock then off that support.

 To back up the idea that VIX futures were bid for protection today, 3C applied to UVXY (leveraged Short Term Volatility Futures) wasn't only leading positive until it too was jared loose, but making perfect higher highs and lows.

If you asked me what the market was going to look like tomorrow and I was looking at this chart, it would have changed 180 degreed in a matter of about 3 minutes, at least that's what the signal would suggest, but I have a hard time accepting all those bids for protection all afternoon were instantly closed in 3 minutes.

 SPY vs. TLT (Treasuries) and again TLT should have been making lower lows, it seems to have remained bid as well, which would be a true flight to safety, this is far from the first time we've noticed it in TLT as well as the 10-year rates as well as Swiss 2 year rates, everywhere you look there's a move toward safety and away from risk.

TLT was monkey-hammered a well at the close.

 Here's what it took to knick TLT down.

For the last several days, maybe a week, I've really been noticing and pointing out two things, 1)The market's inability to make it 2 or 3 points (some days), today only $1.20 which is a fraction of a fraction of the SPX, to that new high and this has been going on for what will easily be 2 weeks, maybe longer depending on where you look at momentum.

The second thing has been overwhelming information, not usually in plain site, but it's there if you look, that shows there's a nearly constant flow to safe haven assets both here and abroad, this in addition to some already very strong signals of such having already occurred in bulk.

I suppose thirdly we might consider the market using levers and still not getting it done.

I think it unwise to not at least consider the connection between sentiment toward the F_O-M_C and the market's action or lack of it. It seems no one wants to be the first to take on a tiny bit more risk and instead the great rotation is more of a stealth rotation in to safe haven assets.

Right now ES doesn't look too good...