Daily Wrap

This week has seen more than 1 lever deployed, yesterday I showed the SPY Arbitrage that depicts the 3 most common levers, VXX, TLT and HYG. However in addition to that, the Most Shorted Index has been active this week, MCP is actually one of the components of the MSI, although it has a real fundamental reason behind its move. the MSI had it's biggest 4-day move since Sept. 2013, although it was difficult to tell today looking at the intraday NYSE TICK Index which was uncharacteristically flat most of the day. The price action didn't look much like a short squeeze either, but we are talking about the Most Shorted Index, not just a short squeeze broadly.

The major averages achieved today what Draghi stripped from them yesterday, they finally went green on the year to date. However HY Credit dislocated with the SPX around 2:30, perhaps concerns over tomorrow's Non-Farm Payroll data at 8:30 a.m. We also have a typical options expiration Friday, we usually see an open and pin somewhere around Thursday close until about 2 p.m.

I made reference numerous times today to some strange looking charts, TICK looked odd, several 3C charts had some sudden and rather big moves vs the normal progression of a mini cycle which is for the most part within a large choppy range for 2015 (and even half of December).

The 2015 range, very unlike the normal Q1 over the last several years that has seen seasonal adjustments and the January effect send them higher for the first quarter- we also missed the December Santa Rally. The range above looks very tempting for a head fake / false breakout which would be a nice put/option set up.

One big difference today was the internals and a solid overbought condition, this usually ends up seeing the next day close red, but I suspect Non-Farm Payrolls will be the pivotal data tomorrow.

In any case, the Dominant Price/Volume Relationship was across all 4 major averages and it was  Close Up/Volume Down, the most bearish of the 4 possibilities with 26 Dow stocks, 67 NDX-100, 871 Russell 2000 and 311 S&P 500 component stocks.

In addition 9 of 9 S&P sectors closed green with materials leading at +2.42 and Consumer Staples lagging at +.51.

In addition to that, a very overbought reading in the Morningstar Industry/Sub-Industry groups with 215 of 238 closing green, all in all a very overbought (1-day) condition that would usually see the next day close red.


VXX and TLT (two of the 3 main ramping levers both saw some interesting moves today, TLT quite a bit stronger.

 I suppose the VXX (short term VIX futures) could be related to hedging in front of tomorrow's NFP, but the divegrence in TLT looks like something different altogether.

This is a 15 min leading positive divegrence in TLT, beyond the lever being deactivated, a move higher in TLT means a move lower in Yields which tend to attract equities like a magnet.


Beyond what I've already posted through the day today, some of the post-cash market Index Futures are looking interesting , at least this early on...I'll check them later before turning in and post anything that stands out, but right now, this is standing out...

This intraday NQ/NASDAQ Futures chart was pretty much in line most of the day, then after the cash close, something went south quick. Remember earlier in the day the Tech/XLK and QQQ charts seeing fast moves in 2 min charts leading negative...

As I said, I'll check them out before I turn in and I'll see what the Index futures look like after the Non-Farm Payrolls. The last NFP data wasn't taken well by the market on January 9th.