So, it has all come down to the jobs report, and Jon Hilsenrath of the Wall Street Journal – the favored media mouthpiece for the Fed – offered that the November jobs report data increases the odds of December or January taper… seems most are still in the 1st quarter of 2104 for the taper commencement.
Today started with 515k ESZ and 1.5k SPZ traded on Globex, ESZ trading range was 1803.75 – 1784.25. Thursday’s regular trading hours (RTH’s), pit session trading range was 1782.50 – 1791.70 before settling at 1784.00 down 7.8 handles. The non-farm payrolls checked in stronger than expected, 203k vs 185k – the whisper number was 220k, above 230k would lead to the – Taper … drum roll – but is not tightening! Actually, the NFP data checked in right in the middle – comfort zone? What a coincidence … Also, the unemployment rate, 7.0%, checked in at the lowest level since November 2008. Roger_S (07:34) ZB 52-week lows. william_blount (07:54) SPOTS –extract them / 1787.5, 94, 99, 1802.5 , WEEKLY PIVOT 1805.1 / 1808.5 , 1812.5 THE MIRABELLA LAST FRIDAY. the 1816.75 SPOT given early LAST WEEK is the NEXT SPOT silly season is 1829 cash — ****last weeks settlement was 1804.10 and if that goes I feel comfortable with cash prices already given in your commentaries and the ideal year end price of 1868 cash.
Question of the day – Round and round they go … will the S&P future close above 1804.10 – posting the 9th straight week of profits….in front of next Thursday’s roll and the expiration the following week?
Today’s regular trading hours pit session gapped 17 handles higher to open at 1801.50 – 1802.00, traded an intraday low of 1796.50 before trading sideways to higher, printing an intraday high of 1805.50.
mts2 (08:03:47): somebody smelled sumthin good coming posted y’day > iceChat (11:34) [XLF] financial sector ETF sees another round of massive call volume. This morning a customer bought nearly 100,000 12/27 21 calls in several tranches from 41 to 43 cents to open a new position already 16 cents in-the-money. Recall on 11/26 a customer paid 13 cents for 200,000 Dec 22 calls when XLF was near 21.57, those are still open and trading near a nickel. Ranking data provided by VESEL Interactive shows NOMURA leading the recent participant list for XLF.
Today added >> optionalert (09:03:42): XLF – Financial ETF call buying theme continues this morning. Buyer paid 17.5 cents for 20,000 Jan 22 calls a moment ago as shares traded near 21.34. And yesterday’s buyer of 100,000 12/27 21 strike calls for 43 cents is up nearly 16% on their trade- or $700K on the 4.3M premium position. Fred Ruffy, Henry Schwartz [$21.34 +0.24 Ref, IV=15.7%].
elway (09:32) watch the big money center banks JPM, BAC are near flat and Goldman slightly red. After first hour a new low may be a go with on more profit taking. The USD is clearly still being sold with strong data. We have seen MOC for sale every day this week and big liquid names are not leading today either. Something to watch…
mts2 (10:26) Emerging Markets ETF sees liquidation of large recent hedge for a loss. More than 125,000 Dec 40 puts were sold this morning from 31 down to 28cents as EEM traded near 41.68. This unwinds the block bought on Tuesday for 54cents tied to a hedge of 4.8million shares at 41.13, for a loss of nearly 50% on the options, or $3.3million in 3 days. Since entry, EEM lifted more than 1% while Dec implied vol is down about a point. (Henry Schwartz (Trade Alert LLC)) [$41.91 +0.86 Ref, IV=21.4% -1.0].
At 2:00 the S&P index was trading 1804 area when (14:00) MrTopStep MiM Closing Imbalance was showing a modest to big 86%, $442M to the sell side. At (14:20) the MiM was showing a large 90%, $842M to sell while the index was quietly pulling back to the opening range, 4 handles off the daily high. At (14:40) while the MiM was showing 84%, $768M to the sell side. By 2:47 the imbalance backed off to a modest $400M. On the cash close the futures traded 1804.60 area before settling at 1805.00, up 21 handles on the day.
Sam_E the algos will stick to plan short 1799 short big 1805 short 1808.50 and win lose or draw with that hand. *** A little sumthin for the swingers out there … Sam_E posted yesterday that he thinks 1795, 1799.25, 1800.75, 1808.50 all shortable.
Coming events: http://www.investing.com/economic-calendar/
December seasonality strong: http://marketsci.wordpress.com/
December liquidity – a different view: http://bit.ly/IAKvtn
Jobs data overview: November employment data are stronger than expected. Payrolls +203k and +8k net revs; unemployment rate -0.25 pt unrounded to 7.0% (with HH survey 1wk earlier than normal). Wages & hrs jump, suggesting rising income and production. Payrolls: manufacturing +27k, construction +17k, retail +22.3k, transportation +20.5k, health +28.4k, temp +16.4k, restaurants +17.9k, government +7k (Fed -7k as Post Office and other areas cut back). Payrolls/Prior Pvt AHE Agg Hrs Index Unemployment Rate (unrounded) Nov +203k +3c 106.7 7.0% (7.0235%) Oct +200k/+204k 106.2 7.3% (7.2798%) Sep +175/+163k 106.3 7.2% (7.2352%).