This morning. The U.S. equity trend is "uptrend under pressure". Monday, U.S. equity markets opened lower and traded moderately lower, but rallied and reversed higher in mid-afternoon to end with moderate gains. Volumes declined. The Nasdaq closed up +0.62%, followed by the DJ Industrials (DJI), S&P 500 (SPX), and NYSE composite, which rose +0.42%, +0.41%, and +0.36%, respectively. The SPX closed higher the past 4 sessions.
Trading desks noted an "extremely quiet" holiday session, which lacked conviction despite the day's 18.90 point range and the afternoon's positive reversal. With the SPX up in each of the past 4 sessions, traders speculated that "sell the news" may be the reaction to a Federal budget, debt extension deal. Flows remain thin. Citigroup (C) reported earnings in excess of consensus, but revenues that fell slightly short.
Technicals improved, as the SPX closed well above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. Led by health care, most SPX market segments closed higher. Market breadth was positive, and up volume led down volume. Volatility fell. Treasury bond markets were closed for the Columbus Day holiday. Friday, U.S. Treasury 10-year bond yields rose +0.59 basis points (bps) to 2.6871%, from 2.6814% the prior day.
Today, U.S. equity futures suggest moderate equity gains. In Asia, equity markets were closed in Japan and Hong Kong. The Nikkei 225 (NKY) and Shanghai Composite (SHCOMP) both closed Friday near their intraday highs. Tuesday's Nikkei 225 December (NKZ3) equity futures are unchanged. In Europe, equities are modestly higher, with better strength in London. Commentary focuses on the U.S. government budget developments and associated currency and commodities developments.
This morning, bond markets reopened, and 10-year U.S. Treasury yields are up +1.13 bps to 2.7184% compared to the prior close. Spanish and Italian 10-year debt yields are 4.30% and 4.25%, respectively, compared to 4.27% and 4.26% the prior day. The U.S. dollar is stronger. U.S. options markets improved to neutral to bullish, from neutral the prior day. The CBOE skew eased to 129.14, from 130.97 the prior day, well above a neutral range and at a level that often signals a market top.
In pre-market futures trading, December SPX equity futures (SPZ3) are modestly lower, and price near the middle of a 1701-1708 trading range. After a fair value adjustment of -0.01 points, SPX equity futures price at 1703.25, down -0.99 points. The SPX opens +0.96% and +1.89% above its respective 20- and 50-day moving averages, and +2.82% and +6.64% above its respective 100- and 200-day moving averages. Initial resistance is 1716.74. Initial support is 1697.84, then 1685.53.
In Asia, in Japan, the Nikkei 225 (NKY) and in Hong Kong, the Hang Seng (HSI) reopened after Monday's holidays. The NKY rose +0.26%. The HSI rose +0.51%. The Shanghai composite (SHCOMP) fell -0.19%. The NKY and HSI are bull markets. Volumes are unavailable.
Economic reporting was light. Commentary focused on the U.S. government shutdown/budget developments and associated and currency and commodity valuations. The NKY relative strength index (RSI) rose to 56.00, from 55.10 the prior day, within a neutral 30-70 range. The index's RSI is down from an overbought 82.61 on May 22nd, up from a low of 34.42 on June 13th, and below the most recent peak of 64.16 on July 23rd. The HSI RSI ended at 59.65, up from 57.37 the prior day. The SHCOMP's RSI closed at 61.42, compared to 62.54 the prior session, but down from an overbought 80.85 on September 12th. The SHCOMP is up +14.5% since June 27th, but down -0.98% from its recent September 12th 2,255.60 high close.
This week, the NKY, HSI, and SHCOMP are up +0.24%, +0.51%, and +0.26%, respectively. Last week, the NKY rose +2.71%, the HSI rose +0.38%, and the SHCOMP rose +2.46%. The prior week, the NKY closed down -4.98%, and the HSI closed down -0.30%. The SHCOMP closed up +0.68%. In October, the NKY is down -0.10%. The HSI is up +2.09%. The SHCOMP is up +2.70%. In September, the NKY closed up +7.97%, the HSI closed up +5.19%, and SHCOMP closed up +3.64%.
In 2013, the NKY is up +38.9%. The HSI is up +3.00%. The SHCOMP is down -1.57%. In 2012, the NKY rose +1.37%. The HSI rose +22.9%. The SHCOMP rose +3.17%.
In Japan, the NKY closed Tuesday at 14,441.54, compared to 14,404.74 the prior day, and -7.59% below its recent May 22nd 15,627.26 high. The index gapped higher to open at its 14,510.37 intraday high, and trended lower through the session to a late 14,415.76 intraday low. The index rallied mildly in the final half hour. The index closed +0.39% above its 20-day moving average, and +2.82%, +3.58%, and +10.8% above its respective 50-, 100-, and 200-day moving averages. Most market segments closed higher. Leaders were consumer services, oil and gas, and utilities, which rose at least +0.97%. Laggards were technology, industrials, and financials, which fell at least -0.04%.
In China, the HSI closed Tuesday at 23,218.32, compared to 22,951.30 at the prior close. The index closed -2.50% below its recent January 30th 23,207.04 high, but +27.7% above its 18,185.59 June 4, 2012 low. The HSI set an early 23,411.21 intraday high, then eased by mid-afternoon to its 23,279.33 intraday low. The index improved to 23,330 resistance in the final hour. The index closed +0.90% and +3.49% above its respective 20- and 50-day moving averages. Most market segments closed higher. Leaders were consumer services, oil and gas, and technology, which rose at least +0.60%. Financials rose +0.49%. Laggards were basic materials, which rose +0.21%, and consumer goods, and utilities, which fell at least -0.15%.
In Shanghai, the SHCOMP closed at 2,233.41, compared to 2,237.77 at the prior close and +14.5% above the 1,950.01 June 27th closing low. The index set an early 2,240.02 intraday high, but slipped to 2,225 by late morning. The index set a mid-afternoon 2,221.14 before improving in the final 90 minutes, narrowing the day's losses. Most market segments closed lower. Leaders were health care, utilities, and consumer goods, which rose at least +0.53%. Laggards were telecommunications, financials, and consumer services, which fell at least -0.54%.
In Europe, the major equity indexes are moderately higher, with better strength in London and Frankfurt. The Euro Stoxx50 (SX5E), FTSE 100, CAC 40, and DAX are up +0.68%, +0.89%, +0.67%, and +0.84%, respectively. The Spanish IBEX 35 is up +0.55%. The Italian FTSE MIB is down -0.04%. All closed higher in September.
Economic reporting is light. Commentary focuses on U.S. budgetary news and associated currency and commodities developments.
The SX5E currently trades +0.52% above its October 14th 52-week high close, and -43.0% below its March 31, 2000, all-time closing high. European bourses have recently outperformed U.S. equity indexes. SX5E relative strength (RSI) is 68.94, compared to 66.36 at the prior close, down from an overbought 72.74 on August 14th, but again near the top of a neutral 30-70 range.
From its 2,977.69 prior day close, the SX5E gapped higher to open at 2,988 and rallied to a mid-session 2,998.74 intraday high. The index currently trades at 2,997.71. Most market segments are higher. Leaders are basic materials, telecommunications, and consumer goods, which are up at least +0.98%. Financials are up +0.93%. Laggards include oil and gas and industrials, which are up at least +0.08%, and utilities, which are down -0.30%.
This week, the Euro Stoxx 50, FTSE 100, CAC 40, and DAX are up +0.63%, +1.13%, +0.61%, and +0.70%, respectively. Last week, the Euro Stoxx 50, FTSE 100, CAC 40, and DAX closed up +1.57%, +0.52%, +1.34%, and +1.18%, respectively. The prior week, the Euro Stoxx50 closed up +0.31%, while the FTSE 100, CAC 40, and DAX closed down -0.90%, -0.54%, and -0.44%, respectively. In October, the Euro Stoxx 50, FTSE 100, CAC 40, and DAX are up +3.46%, +1.52%, +2.47%, and +2.33%, respectively. In September, the Euro Stoxx50, FTSE 100, CAC 40, and DAX closed up +6.31%, +0.77%, +5.33%, and +6.06%, respectively. In 2013, the Euro Stoxx50, FTSE 100, CAC 40, and DAX are up +13.6%, +11.2%, +16.6%, and +15.4%. In 2012, the indexes closed up +13.8%, +5.84%, +15.2%, and +29.1%, respectively.
3Q2013 SPX Earnings. Of 32 (of 499) reporting companies, 19 or 59.4% surprised positively on earnings, with a +3.82% surprise average. Of reporting companies, 17 or 53.1% reported sales or revenues in excess of estimates. The average sales/revenue surprise is +0.00%.
Valuation. The SPX trades at 16.5x 2012 earnings ($103.41), 15.5x estimated 2013 earnings ($110.68), 13.9x estimated 2014 earnings ($122.94), and 12.6x estimated 2015 earnings ($136.05). The 10-year average median price/earnings multiple is 15.9x. Analysts expect 2013, 2014, and 2015 earnings to grow +7.03% and +11.1%, and +10.5%, respectively.
Composite, index, and equity options. Options markets improved to neutral to bullish, from neutral the prior session. Composite options are bullish, index options are neutral, and equity options are neutral. The composite put/call ratio is 0.88, compared to 0.96 the prior day, and better than 5- and 10-period moving averages of 1.01 and 0.94, respectively. The index put/call ratio is 1.12, compared to 0.93 the prior day, and worse than its 5- and 10-period moving averages of 1.00 and 0.98, respectively. The equity put/call ratio closed the day at 0.82, compared to 0.88 the prior day, and better than its 5- and 10-period moving averages of 1.03 and 0.93, respectively.
NYSE Volume, Breadth Indicators. Volume fell -9.44% to 574.98, compared to 634.89 million shares the prior day, 0.76x the 752.30 million share 20-day moving average. Market breadth was positive, and up volume led down volume. Advancing stocks led by +488 (compared to -1,465 the prior day), or 1.40:1. Up volume was 2.06:1 down volume.
Distribution day count and market trend. The market trend is "uptrend under pressure", with the "uptrend" having commenced on September 8th. The distribution count is 6 for the DJI, and 4 on the SPX, Nasdaq, and NYSE Composite.
Libor, LOIS, Currencies, Treasuries, Commodities:
· USD LIBOR is 0.10480%, compared to 0.10380% the prior day. USD 3-month LIBOR is 0.24355%, up from 0.24580% the prior day, and compares to the January 4, 2013, recent peak of 0.58250%.
· The US Libor-OIS (LOIS) spread is 14.305 bps, compared to 15.330 bps the prior day, and compares to the recent June 12, 2012 46.785 bps high. Euribor-OIS is 11.900 bps, up from 12.200 bps the prior day, and down from the December 27, 2011, high of 98.80 bps. Moves in the LOIS indicate changes in intra-bank lending risk premiums.
· The 3-month Euro basis swap is -8.302 bps, compared to -9.146 bps the prior day, up from a trough of -147.00 bps on December 14, 2011, but far below a normal -10 bps and -40 bps range.
· Spanish 10-year debt yields are 4.3044%, up from 4.27% the prior day and up from the 4.039% May 3rd low. Italian 10-year debt yields are at 4.25%, down from 4.26% the prior day, but up from the 3.822% May 3rd low. German 10-year debt yields are 1.89%, compared to 1.86% the prior day. Japanese 10-year debt yields are 0.67%, compared to 0.66% the prior day.
· The U.S. government overnight repo rate is 16 bps, compared to 17 bps the prior day. The January 2, 2013, 45 bps rate was the highest since late 2008. The 0.00 bps low was on January 31, 2009.
· U.S. Treasury yields are higher, with 2- and 10-year maturities yielding 0.350% and 2.718%, respectively, compared to 0.350% and 2.687% Friday. The yield curve widened +3.110 bps, with the 2- to 10-year spread at +2.368%, compared to 2.337% the prior day. In the past year, the 2- and 10-year spread varied from a low of +1.342% on November 16, 2012, to a high of +2.498% on September 10, 2013.
· The U.S. dollar is stronger compared to the euro, Japanese yen, and British pound. The dollar trades at US$80.676, compared to a US$80.703 intraday high and US$80.263 the prior day, and worse compared to its $81.044 50-day, US$81.722 100-day, and US$81.722 200-day averages. The euro trades at US$1.3489, compared to a US$1.3480 intraday low and US$1.3561 the prior day. The euro trades better compared to its US$1.3393 50-day and US$1.3268 100-day averages, and compares to a multi-year low of US$1.1877 on June 7, 2010. In Japan, the dollar trades at ¥98.59, compared to ¥98.57 the prior day. The yen trades worse than its 50-day moving average ¥98.30, but better than its May 17th 103.21 closing low, its weakest multi-year closing low.
· Citigroup Economic Surprise Index worsened to +33.60, compared to 35.40 the prior day. The index is worse compared to its respective +38.38 and +43.05 5-day and 10-day moving averages. The index signaled exhaustion on December 20, 2012, and from 55.76 moved lower to -30.80 on January 30th. The index turned positive on February 25th and moved to a March 25th high of 30.20, but turned negative again on May 6th and fell to a low of -32.90 on June 10th. The index improved and turned positive on July 30th. After a lag, the CESIUSD correlates with EPS revisions.
· Commodities prices are mostly lower, with lower energy, lower precious metals, mixed aluminum and copper, and mostly lower agriculture prices.
Volatility, Skew:
· The CBOE SPX Volatility Index (VIX) closed at 16.07, up +2.23% from 15.72 at the prior close. The VIX is +1.36% above its 15.85 20-day moving average. Its 30-day high is 21.34. Its 30-day low is 12.52. The index's all-time closing low is 11.26 on June 30, 1993. The long-term average is 20.18.
· At mid-session, the Euro Stoxx 50 volatility index (V2X) is 18.55, down -7.99% from 20.16 at the prior day's close. The V2X index trades -0.80% below its 18.70 20-day moving average, -22.9% below the 24.04 30-day high, and +15.6% above the 16.04 30-day low.
· The Hang Seng volatility index (VHSI) closed at 16.82, up +2.06% from 16.48 the prior day. The VHSI index trades -0.30% below its 16.87 20-day moving average. Its lowest historical close was 11.72, on June 30, 2005.
· CBOE SKEW (SKEW) closed at 129.14, down -1.40% from 130.97 at the prior day's close, and well above a neutral (115-120) range for a 11th consecutive day. The recent low was 112.47 on May 25, 2013. Spikes in excess of 130 (as on October 11th, and most recently on February 15 and 18, 2013 and previously on September 21, and March 12, 15, and 16, 2012) correlate well with short-term market tops. The recent high closes were 130.46 on February 15th and 130.60 on September 21st. The index rarely falls below 110, last on July 31, 2009. The index correlates with market tail risks, the cost of buying out-of-the-money, long-dated options, i.e., options not affected by expirations. A rise suggests that investors are buying more puts than calls, a bearish signal.
U.S. Economic Reporting and News:
· At 8:30, October Empire manufacturing was 1.52, compared to 7.00 survey and 6.29 prior.
Overseas Economic Reporting and News:
· Japan - August final MoM industrial production fell -0.9%, compared to -0.7% prior. YoY industrial production fell -0.4%, compared to -0.2% prior.
· Eurozone - October ZEW survey expectations were 59.1, compared to 58.6 prior.
Company Ratings/News:
- Citigroup (C) - Reported adjusted $1.02 EPS, compared to the $1.039 survey. Revenues were $18.216 billion, less than $18.706 billion survey. The company attributed earnings and revenues weakness to disappointing fixed income operations.
Monday's Trade. On lower and below average holiday lessened volume, U.S. equity markets opened lower, but reversed higher in early afternoon to end with moderate gains. The Nasdaq rose +0.62%, followed by the DJI, SPX, and NYSE composite, which rose +0.42, +0.41%, and +0.36% respectively.
Despite the rally, indexes set no new records. The Nasdaq closed -0.07% below its recent October 1st high. Since October 3rd, the U.S. equity market trend is "uptrend under pressure". The uptrend commenced on September 8th.
Market breadth was positive, with gainers 1.40:1 losing stocks. Most SPX market segments closed higher. Leaders were basic materials, telecommunications, and consumer goods, which rose at least +0.83%. Laggards were oil and gas, which rose +0.36%, and industrials and utilities, which fell at least -0.02%.
NYSE volume fell -9.44% to 574.98 million shares, from 634.89 million shares the prior day, 0.76x the 752.30 million share 20-day moving average volume. Bond markets were closed. Friday, U.S. 10-year yields rose +0.59 bps to 2.6871%, from 2.6814% at the prior close.
SPX futures suggested a moderately lower open, and from its 1703.20 prior close, the index fell to an early 1692.13 intraday low, but found support at 1695, where it traded through late morning. Improving news from Washington lifted markets, and the SPX reversed higher by early afternoon and progressed to a final hour 1711.03 intraday high. The SPX closed at 1710.14, -0.89% below its September 18th 1725.52 record close. The index closed +59.1% above the 1074.77 October 4, 2011, intraday low.
The DJ Transportation index (TRAN) ended at 6,653.65, up 6,648.41, up +0.08% compared to the DJI's +0.42% gain. From its 6,648.41 prior close, the TRAN fell to 6,610 in early trading, and improved to breakeven in early afternoon, then traded narrowly through the close. The TRAN closed -1.09% below its record 6,726.94 September 19th record close. Volume rose +1.63% to 0.98:1 average volume. The TRAN closed +0.57% and +2.27% above its respective 20- and 50-day moving averages, and +3.55% and +7.04% above its respective 100- and 200-day moving averages.
Market volatility rose modestly. From its prior 15.72 prior close, the VIX opened above 17.00 and rose to a mid-morning 17.74 intraday high, then trended lower to a late 15.80 intraday low. The VIX ended at 16.07, up +2.23% on the day and +1.36% above its 15.69 20-day moving average. The VIX's all-time closing low was 11.26, set June 30, 1993.
The broader market's technical factors were little changed. The SPX index closed above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. SPX relative strength (RSI) rose to 56.62, from 54.47 the prior day, down from an overbought 72.13 on September 18th, when indexes closed at new records. The CBOE put/call skew fell -1.40% to 129.14, from 130.97 the prior day, above a neutral 115-120 range for a 12th consecutive day and at a level typically associated with market tops.
Last week, the SPX, DJI, and NYSE composite are up +0.75%, +1.09%, and +0.95, respectively, while the Nasdaq closed down -0.42%. The prior week, the Nasdaq gained +0.69%, while the SPX, DJI, and NYSE composite closed off -0.07%, -1.22%, and -0.09%, respectively. In October, the SPX, DJI, Nasdaq, and NYSE composite are up +1.70%, +1.13%, +1.16%, and +1.83%, respectively. In September, the SPX, DJI, Nasdaq, and NYSE composite closed up +2.97%, +2.16%, +5.06%, and +3.787%, respectively.
In 2013, the SPX, DJI, Nasdaq, and NYSE composite are up +19.9%, +16.8%, +26.4%, +16.0%, respectively. All closed at least +5.91% higher in 2012.
KBW Bank Index (BKX). On lower but above average volume, the BKX closed at 63.93, up +0.55% from 63.58 at the prior day's close. The index gapped lower to open at 63.20 and set a late morning 62.17 intraday low. With the broader market, the index rallied in early afternoon and reversed higher to a final hour 64.03 intraday high. The index traded narrowly to the close. Volume fell -23.7% to 41.106 million shares, from 53.870 million shares the prior day, 0.83:1 the 49.811 million share 15-day moving average.
Large cap banks underperformed the regional banks' performance, as the KBW regional banking index (KRX) rose +0.36%.
This week, the BKX is up +0.55%. Last week, the BKX rose +1.08%. The prior week, the BKX closed up +0.90%. In October, the BKX is up +2.70%, compared to September, when the BKX closed up +0.06%. For the year, the BKX is up +24.7%, better than the SPX's +19.9% rise. In 2012, the index rose +18.1%, compared to a +13.4% rise in the SPX.
The BKX is now +8.01% better than the June 24th 59.19 close, its worst since May 13th. The index crossed above 50 on December 17, 2012, and 60 on May 15th, 2013. The BKX closed +96.4% above the 32.56 intraday low on October 4, 2011. Large-cap bank stocks have outperformed the broader market's rebound, with the SPX up +59.1% in the same period.
The BKX index closed -47.2% below its February 20, 2007, record 121.06 high. The BKX is up +243.3% from its 18.62 March 6, 2009, closing low.
Technical indicators improved, as the BKX recaptured its 50-day moving average. For the first time since September 18th, the index closed above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. The index closed +1.69% and +0.43% above its respective 20- and 50-day moving averages. The index closed +1.03% and +7.53% above its respective 100- and 200-day moving averages. The 20-day moving average fell -2 bps. The 50-day moving average fell -6 bps. Its 100-day moving average rose +3 bps to 63.28, and the 200-day moving average rose +6 bps to 59.45. The 20-day closed (by -0.79 points) below the 50-day, and the gap narrowed -5 bps. The 50-day moving average closed (by +4.23 points) above the 200-day moving average, and the gap narrowed -13 bps. The 100-day moving average closed (by +3.82 points) above the 200-day moving average, and the gap narrowed -4 bps.
The directional movement indicator improved to +5.189, from +2.416 the prior day, its 2nd consecutive positive reading. Relative strength improved to 56.62, in a neutral range, compared to 54.46 the prior day. RSI is now equal to the recent high of 56.62 on September 18th, but up from the recent 35.75 on October 8th. The lowest most recent RSI level was 31.08 on November 14, 2012, which is also the date of the BKX's 52-week closing low. Next resistance is 64.25; next support is at 63.39.
Price and Selling Exhaustion/Trend Reversal (based on TD sequential):
S&P 500 Index (SPX) - On a monthly basis, the SPX initiated a buy setup in June 2008, with the month's 1404.05 high setting the resistance level. The setup perfected at 735.09 in February 2009. A sell setup ensued in May 2009. In September 2010, a follow-on setup began. The May 2009 setup perfected in January 2010. Its countdown completed in January 2012, closing at 1312.41 and setting a 1429.36 risk level. The follow-on setup perfected in May 2011. In March 2012, the index closed at 1408.47, above resistance, suggesting further upside. In September 2012, the index closed at 1440.67, above the 1429.36 risk level and suggesting the likelihood of further upside. In October and November, the index closed below the risk level, but above support. Also, the follow-on countdown rose to 8 in September 2012, but hasn't subsequently progressed. In August 2012, the index initiated a new sell setup, which perfected in April 2013. In May, the sell countdown stemming with the May 2011 perfection completed, setting a risk level of 1793.08, based on May's 105.90 range and 1687.18 high. In September, the index closed up +2.97% at 1681.55, compared to 1632.97 the prior month and 1630.74 four months prior. The May 2013 3 sell countdown is unchanged since June. The index closed -6.22% below the risk level.
On a weekly basis, the SPX signaled selling exhaustion the week ended June 8th, during which the SPX traded to an intraweek 1266.74 low on June 4th, and then perfected a weekly buy setup with its 1325.66 close. The next week's bullish price flip initiated a sell setup that perfected on August 10th at 1405.87. On January 4th, a bullish price flip initiated a sell setup, which perfected the week ending March 1. On January 31st, the sell countdown associated with August 10th perfection completed. On August 2nd, the March 1st sell countdown completed and set a 1737.48 risk level, based on the week's 27.81 point range and 1709.67 high. The week ending August 16th, a bearish price flip initiated a buy setup. In the week ending October 11th, the index rose +0.75% to 1703.20, compared to 1690.50 the prior week and its 1687.99 close four weeks prior. The September 13th sell setup progressed to 6. The index closed -1.57% below the 1737.48 risk level.
On a daily basis, the SPX perfected a sell setup on March 13th, with a 1552.52 close. On April 29th, the March 13th sell countdown. On May 2nd, a bullish price flip initiated a follow-on sell setup, and on May 14th, the sell setup perfected and initiated a sell countdown, which completed on July 8th. On June 26th, a bullish price flip initiated another follow-on sell setup, and this setup perfected on July 9th and initiated a sell countdown. On September 3rd, a bullish price flip initiated a sell setup, which perfected on September 13th. The associated sell countdown initiated on September 16th. Also on September 16th, the July 9th sell countdown completed and set a 1718.66 risk level, based on the day's 13.25 point range and 1704.95 intraday high. On Monday, the SPX rose +0.41% to 1710.14, compared to 1703.20 the prior day and 1655.45 4 days prior. The October 10th sell setup rose to 3. The September 16th sell countdown progressed to 8. The index closed -0.50% below the 1718.66 risk level.
KBW Bank Index (BKX) - On a monthly basis, the BKX perfected a buy setup in December 2007, but has yet to complete its associated buy countdown, which is has been a deferred 13 since April 2011. That same month, the BKX initiated a buy setup, but the setup has remained unperfected since December 2011, when the index closed at 39.38. The buy countdown would complete with a close below 28.72, the February 2009 close with an 8 buy countdown. In September 2012, the index initiated a sell setup, which perfected in May 2013. In September, the index closed up +0.06% at 62.25, compared to 62.21 at August-end and 61.41 four months prior. The May 2013 sell countdown is unchanged since August 30th.
On a weekly basis, a bullish price flip occurred on July 27, 2012, and the sell setup perfected the following September 21st. Subsequent trends were weak until December 7, when the index initiated a new sell setup, which perfected on February 1, 2013. On February 22nd, the September 21st sell countdown completed and set a 56.93 risk level. On July 19th, the February 1st sell countdown completed and set a 68.29 risk level, based on the day's 2.24 point range and 66.05 intraday high. For the week ending October 11th, the BKX closed up +0.42% at 63.58, compared to 62.98 the prior week and 63.68 four weeks prior. The bullish price flip canceled the October 4th 1 buy setup and initiated a sell setup. The index closed -6.38% below the 68.29 risk level.
On a daily basis, on December 17th, the 50.62 close above the November 1st 50.45 close and above the prior two days' close completed a sell countdown and initiated a sell setup, which perfected on February 13th. On March 14th, the sell setup closed above 57.22 and perfected. On March 19th, a bearish price flip initiated a buy setup with a 56.84 close. On April 1st, the buy setup perfected. On May 3rd, a bullish price flip initiated a sell setup. On May 15th, the sell setup perfected. On June 26th, a bullish price flip initiated a sell setup, which perfected on July 9th and initiated a sell countdown. On July 2nd, the index completed its May 15th sell countdown, which set a 64.06 risk level, based on the May 30th 1.14 point high/low range and 62.92 close. On July 24th, the July 12th sell setup perfected, but did not initiate a sell countdown. On August 8th a bearish price flip initiated a buy setup, which completed on August 19th and initiated a buy countdown. On September 16th, the September 4th sell setup perfected and initiated a sell countdown. Monday, the index rose +0.55% to 63.93, compared to 63.58, compared to 61.47 the prior day and 61.20 four days prior. The October 10th sell setup progressed to 3.
CBOE SPX Volatility Index (VIX) - On a monthly basis, the VIX perfected a sell setup in October 2007. The associated sell countdown progressed to a deferred 13 in June 2012, but is subsequently unchanged. In May a bullish flip initiated a sell countdown. The VIX ended September down -2.41% at 16.60, compared to 17.01 at the end of August and 16.30 at the end of May. The May 2013 sell setup progressed to 5.
On a weekly basis, the VIX perfected a buy setup on January 27, 2012, and a sell setup on June 8th, followed by another perfected buy setup on August 10th. On April 12th, the VIX completed the buy countdown associated with the August 10th, setup, which also established a 9.17 risk level. The week ending October 11th, the VIX fell -6.89% to 15.72, compared to 16.74 the prior week, and 14.16 4 weeks prior. The October 4th sell setup progressed to 2. The index closed +75.3% above the risk level.
On a daily basis, on May 20th a bullish flip initiated a sell setup, which perfected on May 31st and initiated a sell countdown. On June 26th, a bearish flip initiated a buy countdown, which perfected on July 9th, when a sell countdown was initiated. On September 13th, the September 4th buy setup perfected. On September 18th, a bearish flip initiated a buy setup. On September 20th, the July 9th buy countdown completed. On October 7th, the September 24th sell setup perfected, and a sell countdown initiated the following day. Monday, the VIX rose +2.23% to 16.07, compared to 15.72 the prior day and 20.34 at the 4 days' prior close. The October 10th buy setup progressed to 2. The October 7th 3 sell countdown was unchanged. The VIX closed +43.0% above the 11.24 risk level.
U.S. 10-year Bond Index (USGG10YR) - On a monthly basis, the USGG10YR began a downward trend from 5.0506% in May 2006, perfecting a sell setup in April 2008 (at 3.7295%) and completing the associated buy countdown in June 2011 (at 3.1600%), when it produced a 1.1121% risk factor. A subsequent 9 buy setup perfected in May 2012, with the rate at 1.5578%. In September 2012, a bullish price flip initiated a sell setup. The rate ended September 2013 down -17.21 bps at 2.6136%, compared to 2.7839% the prior month and 2.1282% 4 months prior. The May 2013 sell setup progressed to 5.
On a weekly basis, on December 7th, a bullish rate flip (at 1.6215%) initiated a sell setup, which perfected on February 1st. The perfection initiated a sell setup. Subsequent trends were weak until a May 3rd bullish rate flip (at 1.7382%) initiated a sell setup, which perfected on June 28th, when the rate ended at 2.4857%. For the week ended October 11th, the rate ended at 2.6871%, up +4.24 bps from 2.6447% the prior Friday and 2.8846% four weeks prior. The September 20th buy setup progressed to 3. The February 1st 12 sell countdown is unchanged since September 13th. The rate closed 157.52 bps above the 1.119% risk level.
On a daily basis, on February 20th, a bearish rate flip initiated a buy setup, which perfected on March 4th. On April 8th, the buy setup perfected. On April 15th, the buy countdown associated with the March 4th perfection completed and set a 1.6098% risk level, based on the April 5th 10.61 bps range between the intraday high and low rate and 1.7159% close. On May 15th, the May 3rd buy setup perfected. On June 24th, the May 20th sell countdown completed, setting a 2.8150% risk level, based on the June 24th 15.03 bps trading range and 2.6647% intraday high. On September 24th, the September 11th buy setup perfected and initiated a buy countdown. On Friday, the rate fell -2.53 bps to 2.6245%, compared to 2.6814% the prior day and 2.6999% four days prior. The October 8th sell setup progressed to 4. The September 24th 4 buy countdown is unchanged since October 3rd. The rate closed -12.79 bps below the 2.8150% risk level.
EURUSD Spot Exchange Rate (EURUSD Cross) - On a monthly basis, Euro Dollar cross perfected a buy setup on May 30, 2008, at 1.554. Subsequent monthly trends were weak until December 31, 2009, when a monthly decline of -4.56% brought the index to 1.4321. The downward move continued until July 2010, when from 1.2238, the index rose +7.10%, with an unperfected buy setup in August 2010. The index failed to establish much strong upward momentum, however, peaking at the end of April 2011 at 1.4807, but then trending lower to retest the July 2010 lows. In March, a bearish price initiated a buy setup. The cross ended September up +2.28% at 1.3222, compared to 1.3322 the prior month and 1.2999 4 months prior. The July 2013 sell setup progressed to 3. The 9 buy countdown progressed is unchanged since March.
On a weekly basis, the cross perfected a buy setup on January 6th, followed by another buy setup and completed countdown on June 1, 2012, when the cross closed at 1.2434. The cross completed a buy countdown on July 27th, and set a 1.1964 risk level. The index initiated an sell setup the week ended August 3rd, when it closed at 1.2387, and the setup perfected on September 28, with a 1.2860 close. On January 18th, the index completed a sell setup at 1.336. On September 20th, the April 12th sell countdown completed. The week of October 11th, the index fell -0.42% to end at 1.3544, compared to 1.3558 the prior week and 1.3294 4 weeks prior. The September 20th sell setup progressed to 4. The cross closed +12.7% above the 1.1964 risk level.
On a daily basis, on February 14th, a bearish price flip initiated a sell setup, which subsequently perfected on February 26th. On April 4th, a bullish price flip initiated a sell setup, which perfected on April 12th. On June 7th, the sell countdown associated with the April 12th perfection completed. The completion set a 1.3537 risk level, based on the June 6th 0.0231 trading range and 1.3306 intraday high. On June 11th, the May 29th sell setup perfected and initiated a sell countdown. On July 2nd, the June 20th buy setup perfected and initiated a buy countdown. On July 10th, a bullish price flip initiated a sell setup, which perfected on July 22nd. On September 16th, the July 2nd sell countdown completed. On September 19th, the September 9th sell setup perfected and initiated a sell countdown. With Monday's +0.13% higher close, the EURUSD cross ended at 1.3561, compared to 1.3544 the prior day and 1.3573 four days prior. The October 8th buy setup progressed to 5. The September 19th sell countdown progressed to 4. The cross closed +0.18% above the 1.3537 risk level.
Euro Stoxx 50 (SX5E) - On a monthly basis, the Euro Stoxx50 perfected a sell setup on May 31, 2007. It perfected a buy setup on September 30, 2008. The buy countdown completed in May 2012. A bullish price flip in August 2012 initiated a sell setup, which perfected in May 2013 and initiated a sell countdown. In September, the index closed up +6.31% at 2,893.15, compared to 2,721.37 the prior month and 2,769.64 four months prior. The July 31st sell setup progressed to 3. The May 2013 sell countdown progressed to 2, its first changed since May 2013.
On a weekly basis, a bullish price flip the week of November 23rd (2,557.03 close) initiated a sell setup that perfected on January 18th at 2,709.59, up +5.97%. The sell countdown associated with the August 10th perfection also completed on January 18th, when the index closed at 2,709.59, up +24.2% over the June 15th bullish price flip. The completion set a 2,785.45 risk level. Since January 18th, the subsequent trend was lower, until a bullish price flip in the week ending July 12th. On August 16th, the sell countdown stemming from the January 18th perfection completed and set a 2,909.37 risk level, based on the August 16th week's 53.48 range and 2,855.89 intraweek high. In the week ended October 11th, the index rose +0.63% to 2,974.28, compared to 2,928.31 the prior week and 2,867.11 at the 4 weeks' prior close. The September 13th sell setup rose to 5. The index closed +2.23% above the 2,909.37 risk level.
On a daily basis, on January 3rd, the index completed the associated countdown (with a 2,701.22 close) and set a 2,786.57 risk level, based on the prior day's 2,711.25 high and 51.46 intraday range. On March 14th, the March 4th sell setup perfected. On March 18th, a bearish price flip initiated a buy setup, which perfected on March 28th, and initiated a buy countdown. On April 23rd, a bullish price flip initiated a sell countdown, which perfected on May 3rd. On June 12th, the May 31st buy setup perfected and initiated a buy countdown. On July 8th, a bullish price flip initiated a sell setup, which perfected on July 18th and initiated a sell countdown. On August 15th, the July 18th sell countdown completed and set a 2,876.19 risk level, based on the day's 32.11 point range and 2835.86 close. On September 17th, the September 5th sell setup perfected and initiated a sell countdown. Monday, the index rose +0.11% to 2,977.69, compared to 2,974.28 the prior day and 2,923.35 at the prior 4 days' close. The October 9th sell setup progressed to 4. The September 17th 5 sell countdown progressed to 8. The index closed +3.53% above the 2,876.19 risk level.
Nikkei 225 (NKY) - On a monthly basis, the NKY perfected a buy setup on April 30, 2009 (at 8,828.26), but subsequently traded narrowly until November, 2012, when the index rose +5.80%, following an increase of +1.50% in October, and initiated a sell setup. In July 2013, the November 2012 sell setup progressed to 9, but did not perfect. In September, the index rose +7.97% to 14,455.80, compared to 13,388.86 the prior month and 13,774.54 four months prior. The bullish price flip canceled the August 31st 1 buy setup and initiated a sell setup.
On a weekly basis, the NKY perfected a sell setup on March 9th, and a subsequent buy setup on June 1st with a countdown of 8. The index initiated a sell setup on October 26th, and on December 21st, the sell setup perfected. Notably, on December 28th, the index closed at 10,395.18, +2.01% above 10,190.35 resistance (its April 4th weekly high), suggesting further upside. The sell countdown associated with the December 21st perfection completed April 5th and set a 14,645.46 risk level, based on the 1,419.84 point range on that day and 13,225.62 intraday high. For the week ending October 11th, the index closed up +2.71%, compared to 14,024.31 the prior week and 14,404.67 four weeks prior. The September 6th sell setup progressed to 6. The index closed -1.64% below the 14,645.46 risk level.
On a daily basis, on March 27th, a bearish price flip initiated a buy setup, which perfected on April 15th. On May 7th, a bullish price flip initiated a sell setup. On May 17th, the sell setup perfected; also, the sell countdown associated with the April 26th perfection completed. The completion set a 15,412.34 risk level, which is based on the May 16th 15,155.72 intraday high and 276.21 point range. On June 4th, the May 23rd buy setup perfected and initiated a buy countdown. On July 10th, the June 28th sell setup perfected, cancelled the June 4th 7 buy countdown, and initiated a sell countdown. On August 2nd, a bullish price flip initiated a sell setup. On September 4th, the July 10th sell countdown completed. The completion set a 15,493.30 risk level, based on the July 19th 540.01 point range and 14,953.29 high. On September 13th, the September 2nd sell setup perfected. Tuesday, the index rose +0.51% to 14,441.54, compared to 14,404.74 the prior day and 13,894.61 four days prior. The October 10th sell setup progressed to 3. The September 18th sell countdown progressed to 8. The index closed -6.79% below the 15,493.30 risk level.
Hang Sang Index (HSI) - On a monthly basis, the HSI perfected a buy countdown on March 31, 2009, and two subsequent perfected upward setups on December 31, 2009 and May 31, 2011. In February, the index closed at 23,020.27, completing the sell countdown stemming from the May 2011 perfection. The completed countdown set a 27,194.16 risk level. A bullish price flip in September 2012 initiated a sell setup. A bearish price flip in May 2013 initiated a buy setup. In September, the index rose +5.19% to 22,859.86, compared to 21,731.37 the prior month and 22,392.16 four months prior. The bullish price flip cancelled the May 2013 4 buy setup and initiated a sell setup. The index closed -15.9% below the risk level.
On a weekly basis, the HSI perfected a sell setup on March 2, 2012, and the associated sell countdown completed on September 21, 2012, and set a 22,357.00 risk level, based on the September 14, 2012, when it set a 22,357.00 risk level. The index perfected two sell setups on November 9th and February 1st. A buy setup initiated the following week and perfected on April 5th, initiating a sell countdown. For the week ended October 11th, the index closed up +0.34% to 23,218.32, compared to 23,138.54 the prior week and 22,915.28 four weeks prior. The September 6th sell setup progressed to 6. The April 5th 7 buy countdown is unchanged since August 30th. The index closed +3.85% above the risk level.
On a daily basis, on April 19th, a bullish price flip initiated a sell setup, which perfected on May 2nd and initiated a sell countdown. On June 4th, the May 23rd buy setup perfected and initiated a buy countdown. On June 20th, a bearish price flip initiated a buy setup. On June 25th, the June 4th buy countdown completed and set a 18,860.42 risk level, which is based on the day's 565.94 trading range and 19,426.36 intraday low. On September 12th, the September 2nd sell setup perfected and on September 16th, a sell countdown initiated. On Tuesday, the index rose +0.51% to 23,336.52, compared to 23,218.32 the prior day and 23,178.85 four days prior. The October 11th sell setup progressed to 2. The September 16th sell countdown progressed to 8. The index closed +23.7% above the 18,860.42 risk level.
Shanghai Composite Index (SHCOMP) - On a monthly basis, the SHCOMP perfected a buy setup on September 30, 2008, and subsequently rallied to an August 31, 2009, high, but without perfecting a subsequent sell setup. In May 2011, the SHCOMP assumed a downward trend and perfected a buy setup on January 31, 2012. The perfection initiated a buy setup. In April 2013, a bearish price flip initiated a buy setup. In September, the index closed up +3.64% at 2,174.67, compared to 2,098.38 the prior month and 2,300.60 four months prior. The April 30th buy setup progressed to 6. The January 2012 9 buy countdown is unchanged since July 2013.
On a weekly basis, on December 14th, a bullish price flip initiated a sell setup at 2,059.47. That setup perfected on February 8th, with a 2,432.40 close, up +18.1%. On September 20th, the July 26th sell setup perfected and initiated a sell countdown. On October 11th, the index closed the week up +2.46% at 2,228.15, compared to 2,160.03 the prior week and 2,139.99 four weeks prior. The bullish price flip initiated a sell setup. The September 20th sell countdown progressed to 2.
On a daily basis, On December 4th, a bullish price flip initiated a sell setup. On January 14th, the sell setup that began on December 25th perfected; also, the bullish price flip initiated a follow-on sell setup. On March 26th, a bearish price flip initiated a buy setup, which perfected on April 9th. On June 3rd, a bearish price flip initiated a buy setup, which perfected on June 19th, and initiated a buy countdown. On June 7th, the April 9th buy countdown completed and set a 2,142.63 buy risk level. On July 30th, the June 19th buy countdown completed and set a 1,735.74 risk level, based on the June 25th 113.91 point trading range and 1,849.65 intraday low. On August 13th, the August 1st sell setup perfected and initiated a sell countdown, which perfected on October 10th. On September 3rd a bullish price flip initiated a sell setup and initiated a sell countdown. Tuesday, the index fell -0.19% to 2,233.41, compared to 2,237.77 at the prior close and 2,198.20 4 days prior. The October 9th sell setup progressed to 5. The September 3rd sell countdown progressed to 6. The index closed +28.7% above the July 30th 1,735.74 risk level.
SPX, DJI, RTY, TRAN, CCMP, NYA, VIX, SKEW, NKY, EURUSD, USGG10YR, HSI, SHCOMP, SX5E, CAC, DAX, FTSE, JPY, GBP, EUR