Equity Futures Fall As The 10Yr Yield Rises Further; Resetting Unfilled Short Equity Orders, And Adding NQ Scalper Shorts
SEPTEMBER 28, 2021
EUROPE SESSION BRIEF:
The message from the model of liquidity factors illustrating the same results for equity futures -- we may have already seen the top of the trading cycle on Friday (NY close basis).
all Please modify -- PAM SELLS 2007 RTYZ1 CONTRACTS AT 2278 (FROM 2288), LIMIT OR BETTER OR AT DOWNWARD BREACH OF 2264, OCO -- GTC -- AS HEDGE FOR LONG RTYZ1 UNDERLYING, ALL FUNDS
The Corr Coef model confirms that the top of the trading cycle has already been seen on Friday, September 24. Declines are being indicated until at least October 1 (effective limit of the forecast horizon):
This is what we were expecting in ESZ1 to create Friday's top of the trading cycle.
Providentially, it did actually happen, and so we are now seeing the follow-through sell-off.
If we are to project what our liquidity/corr coef models are suggesting, we could be seeing 4300 by end of the month.
We have output from the models which suggest Octobber 12/14 could be a trough period for the current sell-off. If the models are not lying, we could see this monstrosity of an irregular pattern.
What bolsters the chances of this monster irregular pattern is the fact that we have just embarked on a slippery slope of historical, seasonal liquidity drought -- with recent changes in risk assets prices, showing great affinity for the historical, seasonal liquidity and asset profile.
The torrid rally in the 10Yr yield is starting to show loss of momentum.
The Num Decomp model applied to the 10Yr yield shows falling yields until October 11/12.
all Please lower the upper SELL level for 2007 contracts of RTYZ1 to 2275.80 (from 2278), for all funds - GTC
all Please modify -- PAM SELLS 576 CONTRACTS NQZ1 SCALPERS AT 15,005 (from 15,250) LIMIT OR BETTER, OR AT DOWNWARD BREACH OF 14,928, OCO, GTC -- FOR ALL FUNDS
This order was filled.
NQZ1 -- DONE AT 15,006 SOLD 576 CONTRACTS NQZ1 SCALPERS FOR ALL FUNDS
PAM SELLS 2007 RTYZ1 CONTRACTS AT 2275.8 (from 2278) , LIMIT OR BETTER OR AT DOWNWARD BREACH OF 2264, OCO -- GTC -- AS HEDGE FOR LONG RTYZ1 UNDERLYING, ALL FUNDS
This order was filled.
RTYZ1 -- DONE AT 2263.10 -- SOLD 2007 CONTRACTS RTYZ1 AS HEDGE FOR LONG RTYZ1 UNDERLYING, ALL FUNDS
We will do an update going into NY close later in the day.
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