This morning. U.S. equity markets open this morning with the S&P 500 (SPX) and DJ Transportation (TRAN) indexes again at record highs and the Nasdaq at another new post-2008 closing high. Volumes rose on October options expiration. The Nasdaq rose +1.32%, followed by the SPX, NYSE composite, and DJ Industrials (DJI), which gained +0.66%, +0.50%, and +0.18%, respectively.
Trading desks report continued skepticism regarding the past days' "painful" upward move, as reflected in the CBOE skew ratio, which tracks the purchase of out-of-the-money, long-dated options, i.e., options not affected by expirations. The skew ended at 131.35, indicating an extraordinarily high ratio of put purchases compared to call purchases, a bearish signal that correlates well with short-term market tops. On the other hand, the Fed debt limit non-catastrophe, combined with the Fed's taper delay, leaves relative few macro impediments to a further upward market push. With equities trading at relatively full earnings multiples, attention focuses on 3Q2013 earnings and valuations (15.8 times survey $122.86 2014 SPX earnings suggest a 1900 SPX level next year).
Technicals were little changed, as the SPX closed above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. Led by telecommunications, most SPX market segments closed higher. By large margins, market breadth was positive, and up volume led down volume. For a 2nd consecutive session, volatility fell sharply. Treasury bond markets strengthened. U.S. Treasury 10-year bond yields fell -7.39 basis points (bps) to 2.5894%, from 2.6633% the prior day.
Today, U.S. equity futures suggest modest losses. In Asia, equity markets closed higher, with particular strength in China. Tuesday's Nikkei 225 December (NKZ3) equity futures -0.068% lower. In Europe, equities are mixed, with the DAX -0.08% off Friday's record close. Commentary focuses on 3Q2013 earnings reports and an expected announcement of a $13 billion civil settlement of U.S. Justice Department claims against JP Morgan (JPM)
This morning, 10-year U.S. Treasury yields are up +1.27 bps to 2.5904%, compared to 2.5777% at the prior close. Spanish and Italian 10-year debt yields are 4.27% and 4.18%, respectively, compared to 4.26% and 4.17% the prior day. The U.S. dollar is mixed. U.S. options markets are unchanged at neutral to bullish compared to the prior day. The CBOE skew rose to 131.35, compared to 126.68 the prior day, well above a neutral range, and above levels (above 130) that correlate well with short-term market tops.
In pre-market futures trading, December SPX equity futures (SPZ3) are modestly lower, and price near the middle of a 1728-1734 trading range. After a fair value adjustment of +2.40 points, SPX equity futures price at 1738.50, down -0.40 points. The SPX opens +2.88% and +3.81% above its respective 20- and 50-day moving averages, and +4.71% and +8.40% above its respective 100- and 200-day moving averages. Initial resistance is 1747.96. Initial support is 1738.39, then 1732.28.
In Asia, equity markets closed higher. In Japan, the Nikkei 225 (NKY) rose +0.91%. In Hong Kong, the Hang Seng (HSI) gained +0.42%. The Shanghai composite (SHCOMP) rose +1.62%. The NKY and HSI are bull markets. Volumes are unavailable.
Economic reporting was light. Commentary focused on 3Q2013 earnings optimism and in China, governmental comments that its economic policy implementation will be "unrelenting", including increasing domestic consumption.
The NKY relative strength index (RSI) rose to 61.89, from 58.64 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 58.84, up from 58.28 the prior day. The SHCOMP's RSI closed at 58.84, compared to 52.30 the prior session, but down from an overbought 80.85 on September 12th. The SHCOMP is up +12.5% since June 27th, but down -2.74% from its recent September 12th 2,255.60 high close.
Last week, the NKY closed up +1.09%, the HSI closed up +0.52%, but the SHCOMP closed off -1.54%. 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 up +1.64%. The HSI is up +2.53%. The SHCOMP is up +2.51%. 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 +41.4%. The HSI is up +3.45%. The SHCOMP is down -1.76%. In 2012, the NKY rose +1.37%. The HSI rose +22.9%. The SHCOMP rose +3.17%.
In Japan, the NKY closed at 14,693.57, compared to 14,561.54 the prior day, and -5.97% below its recent May 22nd 15,627.26 high. The index rallied to an early 14,727.85 intraday high, then eased through mid-day. In early afternoon, the index tested resistance at 14,625, then rallied through the session's remainder. The index closed +1.98%, +4.48%, +5.45%, and +11.9% above its respective 20-, 50-, 100-, and 200-day moving averages. All market segments closed at least +0.21% higher. Leaders were telecommunications, technology, and financials, which rose at least +1.12%. Laggards were consumer goods, utilities, and oil and gas.
In China, the HSI closed at 23,438.15, compared to 23,340.10 at the prior close. The index closed -1.72% below its recent January 30th 23,822.06 high, but +28.9% above its 18,185.59 June 4, 2012 low. The index gapped higher and rose to an early session 23,534.67, then traded narrowly through mid-afternoon, finding support at 23,450. In the final hour, the index weakened to its 23,356.79 intraday low, but rallied in the final 45 minutes. Market segments closed mixed. Leaders were technology, consumer services, and telecommunications, which rose at least +0.54%. Financials fell -0.04%. Laggards were consumer goods, industrials, and oil and gas, which fell at least -0.07%.
In Shanghai, the SHCOMP closed at 2,229.24, compared to 2,193.78 at the prior close and +14.3% above the 1,950.01 June 27th closing low. The index traded narrowly through the morning session, but rallied into and through the afternoon to end just short of its 2,230.16 intraday high. All market segments closed at least +0.77% higher. Leaders were technology, consumer goods, and consumer services, which rose at least +2.70%. Laggards were basic materials, financials, and oil and gas.
In Europe, the major equity indexes are mixed. The FTSE 100 is up +0.16%, while the Euro Stoxx50 (SX5E), CAC 40, and DAX are down -0.30%, -0.32%, and -0.14%, respectively. The Spanish IBEX 35 is down -0.14%. The Italian FTSE MIB is down -0.21%. All are higher in October, and closed higher in September. Friday, the DAX closed at a record high, while the CAC 40 closed at a post-2008 high.
Economic reporting is light. Commentary focuses on 3Q2013 earnings and currency and commodities developments.
Today, the SX5E currently trades -0.31% below its 3,033.31 October 16th post-2008 high close, but -42.4% below its 5,249.55 March 31, 2000, all-time closing high. European bourses have recently outperformed U.S. equity indexes. SX5E relative strength (RSI) is 69.64, compared to 72.52 at the prior close, down from an overbought 72.74 on August 14th, but near the top of a neutral 30-70 range.
From its 3,033.31 prior day close, the SX5E opened at 3,026 and eased to a mid-session 3,019.64 intraday low. The index currently trades at 3,023.33. Most market segments are lower. Leaders are technology, health care, and industrials, which are up at least +0.12%. Laggards include consumer goods, financials, and basic materials, which are off at least -0.75%.
Last week, the Euro Stoxx 50, FTSE 100, CAC 40, and DAX closed up +1.98%, +2.09%, +1.57%, and +1.61%, 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 +4.52%, +2.71%, +3.16%, and +3.04%, 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 +14.7%, +12.5%, +17.4%, and +16.3%. In 2012, the indexes closed up +13.8%, +5.84%, +15.2%, and +29.1%, respectively.
3Q2013 SPX Earnings. Of 100 (of 499) reporting companies, 70 or 70.0% surprised positively on earnings, with a +4.43% surprise average. Of reporting companies, 55 or 55.0% reported sales or revenues in excess of estimates. The average sales/revenue surprise is -0.28%.
Valuation. The SPX trades at 16.9x 2012 earnings ($103.41), 15.8x estimated 2013 earnings ($110.54), 14.2x estimated 2014 earnings ($122.78), and 12.8x estimated 2015 earnings ($135.88). The 10-year average median price/earnings multiple is 15.9x. Analysts expect 2013, 2014, and 2015 earnings to grow +6.92% and +11.1%, and +10.6%, respectively.
Composite, index, and equity options. Options markets are neutral to bullish, unchanged from neutral to bullish the prior session. Composite options are bullish, index options are bullish, and equity options are neutral. The composite put/call ratio is 0.90, compared to 2.00 the prior day, and better than 5- and 10-period moving averages of 0.87 and 0.94, respectively. The index put/call ratio is 0.87, compared to 0.99 the prior day, and better than its 5- and 10-period moving averages of 0.98 and 0.99, respectively. The equity put/call ratio closed the day at 0.60, compared to 0.80 the prior day, and better than its 5- and 10-period moving averages of 0.83 and 0.93, respectively.
NYSE Volume, Breadth Indicators. With October options expirations, volume rose +17.3% to 892.07 million shares, compared to 752.58 million shares the prior day, 1.28x the 697.27 million shares 20-day moving average. Market breadth was positive, and up volume led down volume. Advancing stocks lagged by +1,308 (compared to +1,803 the prior day), or 2.51:1. Up volume was 2.03:1 down volume.
Distribution day count and market trend. The market trend is "confirmed uptrend". The uptrend commended on September 9th, when the SPX opened at 1655.17. The distribution count is 7 for the DJI, and 5 on the SPX, Nasdaq, and NYSE Composite.
Libor, LOIS, Currencies, Treasuries, Commodities:
· USD LIBOR is 0.10660%, compared to 0.10900% the prior day. USD 3-month LIBOR is 0.238601%, down from 0.24055% the prior day, and compares to the January 4, 2013, recent peak of 0.58250%.
· The US Libor-OIS (LOIS) spread is 14.670 bps, compared to 15.055 bps the prior day, and compares to the recent June 12, 2012 46.785 bps high. Euribor-OIS is 11.500 bps, down from 11.900 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 -6.495 bps, compared to -6.553 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 4.27%, up from 4.26% the prior day and up from the 4.039% May 3rd low. Italian 10-year debt yields are at 4.18%, up from 4.17% the prior day, but up from the 3.822% May 3rd low. German 10-year debt yields are 1.83%, compared to 1.83% the prior day. Japanese 10-year debt yields are 0.63%, compared to 0.62% the prior day.
· The U.S. government overnight repo rate is 5 bps, compared to 16 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 0.311% and 2.587%, respectively, compared to 0.311% and 2.578% Friday. The yield curve widened +0.910 bps, with the 2- to 10-year spread at +2.276%, compared to 2.267% 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 mixed, stronger compared to the euro and Japanese yen, but weaker compared to the British pound. The dollar trades at US$79.686, compared to a US$79.443 intraday high and US$79.654 the prior day, and worse compared to its $80.935 50-day, US$81.587 100-day, and US$81.776 200-day averages. The euro trades at US$1.3677, compared to a US$1.3666 intraday low and US$1.3687 the prior day. The euro trades better compared to its US$1.3418 50-day and US$1.3294 100-day averages, and compares to a multi-year low of US$1.1877 on June 7, 2010. In Japan, the dollar trades at ¥98.09, compared to ¥98.72 the prior day. The yen trades worse than its 50-day moving average ¥98.42, but better than its May 17th 103.21 closing low, its weakest multi-year closing low.
· Citigroup Economic Surprise Index is unchanged at +23.20, compared to 24.00 the prior day. The index is worse compared to its respective +27.70 5-day and 34.08 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 and rose to a recent high of 53.30 on October 1st. After a lag, the CESIUSD correlates with EPS revisions.
· Commodities prices are mixed, with lower energy, mixed precious metals, mixed aluminum and copper, and higher agriculture prices.
Volatility, Skew:
· The CBOE SPX Volatility Index (VIX) closed at 13.04, down -3.26% from 13.48 at the prior close. The VIX is -19.15% below its 16.13 20-day moving average. Its 30-day high is 21.34. Its 30-day low is 12.34. 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 16.34, down -12.3% from 18.63 at the prior day's close. The V2X index trades -12.3% below its 18.63 20-day moving average, -30.5% below the 23.49 30-day high, and +6.43% above the 15.37 30-day low.
· The Hang Seng volatility index (VHSI) closed at 14.93, down -1.97% from 15.23 the prior day. The VHSI index trades -11.3% below its 16.83 20-day moving average. Its lowest historical close was 11.72, on June 30, 2005.
· CBOE SKEW (SKEW) closed at 131.35, up +3.69% from 126.68 at the prior day's close, above a neutral (115-120) range for a 17th consecutive day, again above 130 for the 3rd time in the past 5 sessions. The recent low was 112.47 on May 25, 2013. The 52-week high was 131.35 on October 18th. Spikes in excess of 130 (as on October 11th and 15th, and 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:
· September MoM existing home sales fell %, compared to -3.3% survey and +1.7% revised prior.
· The September employment report will be released on October 22nd.
Overseas Economic Reporting and News:
· Japan - September YoY exports were 11.5, compared to 15.6 survey and 14.6 revised prior. YoY imports were 16.5, compared to 19.9 survey and 16.0 prior.
· Eurozone - 2012 government debt/GDP was 90.6%, compared to 90.6% prior.
· Germany - September MoM PPI rose +0.3%, compared to +0.1% survey and -0.1% prior.
· Italy - August MoM industrial orders rose +2.0%, compared to +0.5% survey and -0.5% prior. MoM industrial sales rose +1.0%, compared to -0.8% prior.
· United Kingdom - October MoM Rightmove house prices rose +2.8%, compared to -1.5% prior.
Company Ratings/News:
- JPM - May announce a $13 billion settlement of Fed civil claims pertaining to its 2007 and 2008 purchases of Bear Sterns and Washington Mutual.
Friday's Trade. On higher and above average volume, U.S. equity markets rallied again, with the SPX and DJ Transports again closing at a record high, while the Nasdaq closed at another post-2008 high. The Nasdaq surged +1.32%, while the SPX, NYSE composite, and DJI rose +0.65%, +0.50%, and +0.18%, respectively.
The U.S. equity market trend is "confirmed uptrend". The uptrend commenced on September 8th.
Market breadth was positive, with gainers 2.51:1 losing stocks. Most SPX market segments closed higher. Leaders were technology, industrials, and telecommunications which rose at least +0.99%. Financials rose +0.325. Laggards were consumer goods and utilities, which rose at least +0.30%, and health care, which fell -0.37%.
Spurred by October options expirations, NYSE volume rose +17.3% to 892.07 million shares, from 760.51 million shares the prior day, 1.28x the 697.27 million share 20-day moving average volume. Bond markets strengthened. U.S. 10-year yields fell -1.17 bps to 2.5777%, compared to 2.5894% at the prior close.
From its prior day 1733.15 close, SPX futures suggested modest additional gains. The index opened above 1736 which proved support through mid-morning, when the index began an upward trend that extended through mid-afternoon, when the SPX reached its 1745.31 intraday high. In the final hour, the index fell back to 1742, but then rallied in the final half hour. The SPX closed at 1744.50, its 2nd consecutive record close. The index closed +62.3% above the 1074.77 October 4, 2011, intraday low.
The DJ Transportation index (TRAN) ended at 6,830.45, up +1.23% compared to the DJI's +0.18% gain. From its 6,747.61 prior close, the TRAN rallied to 6,820 in early trading, fell back to 6,780 by mid-morning, then rallied through the close to end at the intraday high. For a 3rd consecutive session, the TRAN set a new closing high record. Volume fell 1.54% to 1.15 average volume. The TRAN closed +3.06% and +4.72% above its respective 20- and 50-day moving averages, and +6.07% and +9.40% above its respective 100- and 200-day moving averages.
Market volatility declined. From its prior 13.48 prior close, the VIX opened at 12.80 and fell to a late morning 12.34 intraday low. In early afternoon, the index rose back to 13.00 and reached a late 13.53 intraday high. The VIX closed at 13.04, down -3.26% on the day and -19.2% below its 16.13 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 again closed above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. SPX relative strength (RSI) rose to 65.89, from 63.36 the prior day, still in a neutral range, down from an overbought 72.13 on September 18th, when the SPX closed at a record, but up from 39.19 on October 9th. The CBOE put/call skew rose +3.69% to 131.35, from 126.68 the prior day, above a neutral 115-120 range for a 16th consecutive day and above the key 130 level, which correlates well with short-term market tops.
Last week, the SPX, DJI, Nasdaq, and NYSE composite closed up +2.42%, +1.07%, +3.23%, and +3.00%, respectively. The prior week, the SPX, DJI, and NYSE composite closed up +0.75%, +1.09%, and +0.95, respectively, while the Nasdaq closed down -0.42%. In October, the SPX, DJI, Nasdaq, and NYSE composite are up +3.74%, +1.78%, +3.79%, and +3.78%, 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 +22.3%, +17.5%, +29.6%, +18.3%, respectively. All closed at least +5.91% higher in 2012.
KBW Bank Index (BKX). On higher options expiration and above average volume, the BKX closed at 65.52, up +0.37% from 65.28 at the prior day's close. The index fell to a mid-morning 64.83, then rallied and reversed higher by early afternoon and rose to a mid-afternoon 65.65 intraday high. Volume rose +15.4% to 71.470 million shares, compared to 60.591 million shares the prior day, 1.35:1 the 52.845 million share 15-day moving average.
Large cap banks underperformed the regional banks' performance, as the KBW regional banking index (KRX) rose +0.70%.
Last week, the BKX rose +3.05%, compared to +0.95% the prior week. In October, the BKX is up +5.25%, compared to September, when the BKX closed up +0.06%. For the year, the BKX is up +27.8%, better than the SPX's +22.3% rise. In 2012, the index rose +18.1%, compared to a +13.4% rise in the SPX.
The BKX is now +10.7% 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 +101.2% 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 +62.3% in the same period.
The BKX index closed -45.9% below its February 20, 2007, record 121.06 high. The BKX is up +251.9% from its 18.62 March 6, 2009, closing low.
Technical indicators were little changed. The index closed above its 5-, 10-, 20-, 50-, 100-, and 200-day moving averages. The index closed +4.04% and +3.08% above its respective 20- and 50-day moving averages. The index closed +3.32% and +9.73% above its respective 100- and 200-day moving averages. The 20-day moving average rose +10 bps to 62.98. The 63.56 50-day moving average was unchanged. Its 100-day moving average rose +3 bps to 63.41, and the 200-day moving average rose +6 bps to 59.71. The 20-day closed (by -0.58 points) below the 50-day, and the gap narrowed -10 bps. The 50-day moving average closed (by +3.85 points) above the 200-day moving average, and the gap narrowed -6 bps. The 100-day moving average closed (by +3.70 points) above the 200-day moving average, and the gap narrowed -3 bps.
The directional movement indicator improved to +14.945, from +13.336 the prior day, its 6th consecutive positive reading. Relative strength improved to 64.00, compared to 62.87 the prior day, but up from 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 65.84; next support is at 65.02.
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 18th, the index rose +2.42% to 1744.50, compared to 1703.20 the prior week and its 1709.91 close four weeks prior. The September 13th sell setup progressed to 6. The index closed +0.40% above 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 Friday, the SPX rose +0.65% to 1744.50, compared to 1733.15 the prior day and 1710.14 4 days prior. The October 10th sell setup progressed to 7. The September 16th sell countdown progressed to 11. The index closed +1.50% above 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 18th, the BKX closed up +2.92% at 65.52, compared to 63.58 the prior week and 63.59 four weeks prior. The bullish price flip initiated a sell setup. The index closed -4.06% 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. Friday, the index rose +0.37% to 65.52, compared to 65.28 the prior day and 63.93 four days prior. The October 10th sell setup progressed to 7.
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 18th, the VIX fell -17.1% to 13.04, compared to 15.72 the prior week, and 13.12 4 weeks prior. The bearish flip canceled the October 4th 2 sell setup and initiated a buy setup. The index closed +42.2% above the 9.17 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. Friday, the VIX fell -3.26% to 13.04, compared to 13.48 the prior day and 16.07 at the 4 days' prior close. The October 10th buy setup progressed to 7. The October 7th 4 sell countdown is unchanged since October 15th. The VIX closed +16.0% 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 18th, the rate ended at 2.5777, down -10.93 bps compared to 2.6871% the prior Friday and 2.7337% four weeks prior. The September 20th buy setup progressed to 5. The February 1st 12 sell countdown completed. The rate closed 147.85 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 -1.17 bps to 2.5777%, compared to 2.5894% the prior day and 2.7276% four days prior. The October 17th buy setup progressed to 2. The September 24th buy countdown progressed to 6. The rate closed -22.5 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 18th, the index rose +1.06% to end at 1.3687, compared to 1.3544 the prior week and 1.3524 4 weeks prior. The September 20th sell setup progressed to 5. The cross closed +14.4% 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 Friday's +0.09% higher close, the EURUSD cross ended at 1.3687, compared to 1.3575 the prior day and 1.3561 four days prior. The October 16th sell setup progressed to 2. The September 19th sell countdown progressed to 6. The cross closed +1.02% above the 1.3580 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 18th, the index rose +1.98% to 3,033.31, compared to 2,974.28 the prior week and 2,927.19 at the 4 weeks' prior close. The September 13th sell setup rose to 6. The index closed +4.67% 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. Friday, the index rose 0.76% to 3,033.31, compared to 3,010.39 the prior day and 2,977.69 at the prior 4 days' close. The October 9th sell setup progressed to 8. The September 17th 5 sell countdown progressed to 12. The index closed +4.67% 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 18th, the index closed up +1.09% at 14,561.54, compared to 14,404.74 the prior week and 14,742.42 four weeks prior. The bearish price flip canceled the September 6th 6 sell setup and initiated a buy setup. The index closed -0.57% 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. Friday, the index fell -0.17% to 14,561.54, compared to 14,586.51 the prior day and 14,404.74 four days prior. The October 10th sell setup progressed to 6. The September 18th sell countdown progressed to 11. The index closed -6.01% 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 18th, the index closed up +0.52% to 223,340.10, compared to 23,218.32 the prior week and 23,502.51 four weeks prior. The bearish price flip canceled the September 6th 6 sell setup and initiated a buy setup. The April 5th 7 buy countdown is unchanged since August 30th. The index closed +4.40% 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 Friday, the index rose +1.06% to 23,340.10, compared to 23,094.88 the prior day and 23,218.32 four days prior. The October 11th sell setup progressed to 5. The September 16th 8 sell countdown is unchanged since October 15th. The index closed +23.8% 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 18th, the index closed the week up +0.88% at 2,193.78, compared to 2,228.15 the prior week and 2,191.85 four weeks prior. The bullish price flip initiated a sell setup. The September 20th sell countdown progressed to 3.
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. Friday, the index rpse +0.24% to 2,193.78, compared to 2,188.54 at the prior close and 2,237.77 4 days prior. The October 17th buy setup progressed to 2. The September 3rd 6 sell countdown is unchanged since October 15th. The index closed +26.4% 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