Tuesday, January 3, 2017, 0045ET
Market Timing Charts, Analysis & Commentary for Issue #174
Timer Charts of S&P-500 Cash Index (SPX) + NASDAQ-100 Cash Index (NDX)
Most recent S&P-500 Cash Index (SPX): 2238.83 down -24.96 (down -1.1%) for the week ending Friday, December 30th, 2016, which closed near its -0.5 sigma.
SPX ALL TIME INTRADAY HIGH = 2277.53 (reached on Tuesday, December 13, 2016)
SPX ALL TIME CLOSING HIGH = 2271.72 (reached on Tuesday, December 13, 2016)
Current DAILY +2 Sigma SPX = 2293 with WEEKLY +2 Sigma = 2273
Current DAILY 0 Sigma (20 day MA) SPX = 2249 with WEEKLY 0 Sigma = 2174
Current DAILY -2 Sigma SPX = 2206 with WEEKLY -2 Sigma = 2082
NYSE McClellan Oscillator = -31 (-150 is start of the O/S area; around -275 to -300 area or lower, we go into the “launch-pad” mode, over +150, we are in O/B area)
NYSE Breadth Thrust = 51.8 (40 is considered as oversold and 65 as overbought)
Last week SPX dropped a tad over 1%, mainly in 2 sessions.
Canaries [in the Coal Mine] Chart for DJ TRAN & RUT Indices
200-Day MA DJ TRAN = 8069 or 12.1% below DJ TRAN (max observed in last 5 yrs = 20.2%, min = -20.3%)
200-Day MA RUT = 1208 or 12.4% below RUT (max observed in last 5 yrs = 21.3%, min = -22.6%)
DJ Transports (proxy for economic conditions 6 to 9 months hence) started to drop at a steep rate last week.
Russell 2000 small caps (proxy for Risk ON/OFF) continued its gradual drop. RISK is slowing getting repriced.
DeTrenders Charts for SPX, NDX, TRAN & RUT Indices
50-Day MA SPX = 2194 or 2% below SPX closed on Friday (max observed in last 5 yrs = +8.6%, min = -9.3%)
200-Day MA SPX = 2136 or 4.8% below SPX (max observed in last 5 yrs = 15.2%, min = -14%)
NONE of our eight DeTrenders are negative. The DeTrenders for DJ TRAN & RUT will continue to be harbingers of future price behavior in broad indices.
WEEKLY Timing Model = on a BUY Signal since Friday 12/16/16 CLOSE at 2258
DAILY Timing Model = on a SELL Signal since Thursday 12/29/16 CLOSE at 2249
Max SPX 52wk-highs reading last week = 22 (over 120-140, the local maxima is in)
Max SPX 52wk-Lows reading last week = 4 (over 40-60, the local minima is in)
HA_SP1 at its -1 sigma channels
HA_Momo = -5.7 (reversals most likely occur above +10 or below -10)
Vol of the Vols Chart
VIX is currently at its +2 sigma level at 14 (remember it’s the VIX’s vol pattern (its sigma channels) that matters, and not the level of VIX itself (this is per Dr. Robert Whaley, a great mentor and the inventor of original VIX, now called VXO). VIX usually peaks around a test of its +4 sigma).
VIX Complex rose modestly this past week and touched its +3 sigma on Friday.
5-day TRIN & TRINQ Charts
Both NYSE & NASDAQ 5-day TRINs are again NEUTRAL right now.
Components of SPX above their respective 200day MA Chart
This scoring indicator retreated to 67% which shows very little change from last week.
SPX SKEW (Tail Risk) Chart
Last week SPX SKEW (Tail Risk) rose gradually last week and finally closed just above its +1 sigma at 127. (normal = 120-125, range 100-150).
All remain quiet on the Eastern & Mid-Western Fronts as SKEW sigma channels are very tightly spaced.
3-month VIX Futures Spread(VX) Chart
Our 3-month VIX Futures Spread (LONG JAN17 & SHORT APR17) rose for moset of last week and then closed at -3.29 on Friday.
HA_SP2 = 26.7 (Buy signal <= 25, Sell Signal >= 75)
SP2 dropped every day last week.
US Treasury T-Notes & T-Bonds Yields Chart
The YTMs on Treasury Complex dropped a tad this past week.