U.S. Markets closed

The ‘dry powder’ index; $VIX option volumes pick up; Pit Bull’s Thurs-Fri low

Brian Shepard
mts marketrecap 330 300x207 The dry powder index; $VIX option volumes pick up; Pit Bulls Thurs Fri low

Collective Intelligence!

China trade data beats expectations as exports checked in at 0.9% vs exp 3.0% decline (although the SHCOMP only closed up 0.26%). Bank of England and the ECB left benchmark interest rates unchanged, holds asset purchase plan. Draghi presser basically, nothing new; Ready to act swiftly if needed, FIRMLY reiterates forward guidance. Survey data consistent with continued moderate recovery proceeding as expected. EZ unemployed stabilizing – Draghi may consider unconventional measures – EUR hit fresh 2 year highs.

Snippets: Folks tend to focus only on the AAII Sentiment bull/bear spread, but I also keep an eye on neutral sentiment – think of it as a measure of the “dry powder” that will eventually go back into the market. Over the course of the last nine weeks, neutral sentiment has risen from a z-score of +0.1 (basically the mean), to +1.3 in the current week. For perspective, this week’s reading of 43% is the highest since February 2003. Implications of high neutral sentiment are bullish with above-average gains and positive expected forward performance across 1-mo, 3-mo, 6-mo and 12-mo timeframes – Oh, and dont forget … The Pitbull’s thurs/Fri low before opex – Cyrus.

Deutsche Bank: “not doing anything next month would in our view completely shatter the ECB’s credibility, and trigger a further appreciation in the euro”.

Ukraine: The separatist regions said they will move forward with Sunday, May 11, referendums, while Putin’s commitment to his troop pullback pledge has not been confirmed by allies as little movement has been detected as of yet.

Fed watch: Yellen testifies (day 2) in front of Senate budget committee on economy. Nothing new was expected. Behind the scenes, the Fed’s Plosser speaks in New York, Fed’s Evans and Tarullo are in Chicago and are considered non-events.

Match this on your chart = good insight by Chicagostock (08:47) 1866.00×1879.50 VOL WINDOW.    Chicagostock (09:06) ESM4 (5 minutes): 1866.00×1879.50 BIAS: BULLISH – REVERSAL WINDOW: 186900.    Chicagostock (09:16) ES needs to get back below upper vol window 7950 to go offered, above keeps pressure on shorts.    Chicagostock (09:36) Cash open above 1868 and recovery of 1873 squeezed shorts for the fuel through upper vol window 7950. Now they need new buyers to step in above 7950 to keep pressure on shorts. No new buyers above 7950 gives room to test open. 5 min hold below 1869 reversal window reverses bullish bias, matches with 1868 neckline to confirm failed breakout. Chicagostock (12:52) ES buyers above vol window 7950 now left holding the bag. Chicagostock (12:53) Establishes bullish bias above, lures in longs, makes a higher high as shorts get squeezed, fails to hold reverses below prior low 7800 = failed breakout. Open range down to reversal window 69 support.

OPTIONALERT (10:09) Options volumes picking up a bit in the [VIX] pit. 139k calls and 44k puts so far. The index is down .23% to 13.17 and it looks like buyers are active in the May 17 – 22 and May 18 – 22 call spreads, roughly 29k in both. It might be closing or some adjustments, as open interest is sufficient to cover in both strikes. if opening, the spreads would be expressing a concerns about an uptick in volatility next week. The next expiration for VIX options is in 12 days and therefore after next week’s expiration for equity options – Fred Ruffy.

Today started with 207k ESM traded on Globex, trading range was 1868.00 – 1876.50. Yesterday’s regular trading hours (RTH’s), pit session trading range was 1875.50 – 1855.00 before settling at 1874.20, up 9.9 handles. Jobless claims checked in at 319k vs exp of 325k, 345K prior. Chicagostock (07:41) Cash ES wants to open below 1868… Check your 60 m RTH similar setup to Monday-Tuesdayhttp://stks.co/t0IZ  Chance (07:50) Globex volumes picking up down here 1868-70 level

Today’s pit session gapped 2.5 handles lower to 1871.00 – 1871.80, traded an early low of 1870.00a before reversing to 1878.00, 10 handles off the Globex low during the first 15 minutes. Derrick (08:33) [NDX] weakest still. Chicagostock (08:47) 1866.00 x 1879.50 VOL WINDOW. william_blount (08:51) 1882.5 next spot. william_blount (9:23) bulls want to hold 1877/78, need to hold 73.5, MUST HOLD 1868 TODAY ONLY. The index topped out at 1882.50 before a sideways trade set in – as the [IWM] was testing the 200DMA while the [NDX] was retesting yesterday’s high. The S&P futures clawed out a new daily high of 1884.70, retesting the May high from 5/2. The 5/2 daily high was 1885.50 after opening at 1877.50-78.30 and settling at 1874.40 – following the premarket April job’s data. More sideways trade set in, but this time worked quietly lower leading up to the 30yr bond auction. iceChat (12:02) 30yr bond demise following auction – lowest bid to cover since Aug ’11

PivotBoss Midday Video http://bit.ly/1j7mZir ADR Targets http://bit.ly/1qj8tOg

jack_broz (12:18) ONLY bonds got soft on that auction. need to see WHO controls 136.04 NOW … (12:30) bond 04s paying. to get sector weak we need to see 10s trade some 124.22s. until then be VERY careful selling strength. Good heads-up by Jack as the bonds retraced most of their drop (before flopping late) – while the equities continued to slowly erode. Roger_S (13:04) ES -10 handles from the high and retested the opening range by 1:13. Derrick (13:41) [RUT] weakest

Following the midday sideways trade in the low 1880’s the S&P futures stepped lower, trading a new daily low of 1865.50 area at 2:10 followed by a small bounce retesting the opening range …The MiM – MrTopStep Imbalance Meter showed a small/modest $170M to the buy side and expanded slightly to $280M going into the cash close. [NDX] firmed up a bit late … The cash close traded 1871.00 before settling at 1872.30, down 1.9 handles with volume of 1.75M e-minis and the [VIX] up.3 ticks at 13.43.

Chance (15:09) i have a feeling when we break out of this damn balance … it’s going to be swift. Roger_S (15:09) Up or down, Chance? Chance (15:09) im thinking down Roger_S (15:15) [RUT] weak today … [DJIA] down about 0.5% from this year’s high. [SPX] down about 1%. [NDX] down about 5%. COMP down about 7%. [RUT] down about 9.5%.

Eco calendar: http://www.investing.com/economic-calendar/

Four big economic messages from Yellen’s testimony http://wapo.st/1fPImtH

“After the IPO, Alibaba will have billions of extra cash on hand. The company is likely to use some of those funds to shake up American commerce and Silicon Valley” http://cnnmon.ie/1g8Kbgb