Sunday, October 1, 2017, 1445ET
Market Timing Charts, Analysis & Commentary for Issue #211
Timer Charts of S&P-500 Cash Index (SPX) + NASDAQ-100 Cash Index (NDX)
Most recent S&P-500 Cash Index (SPX): 2502.22 up +1.99 (up +0.08%) for the week ending on Friday, September 29, 2017, which closed just about its +1 sigma.
SPX ALL TIME INTRADAY HIGH = 2519.44 (reached on Friday, Sep 29, 2017)
SPX ALL TIME CLOSING HIGH = 2519.36 (reached on Friday, Sep 29, 2017)
Current DAILY +2 Sigma SPX = 2528 with WEEKLY +2 Sigma = 2517
Current DAILY 0 Sigma (20 day MA) SPX = 2493 with WEEKLY 0 Sigma = 2452
Current DAILY -2 Sigma SPX = 2458 with WEEKLY -2 Sigma = 2387
NYSE McClellan Oscillator = +73 (-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 = 55.9 (40 is considered as oversold and 65 as overbought)
First low vol September in many years is behind us. Earnings Season starts next week. GOT GAMMA, our beloved @Capt_Tiko asks.
Canaries [in the Coal Mine] Chart for DJ TRAN & RUT Indices
200-Day MA DJ TRAN = 9279 or 6.8% above DJ TRAN (max observed in last 7 yrs = 20.2%, min = -20.3%)
200-Day MA RUT = 1392 or 7.1% above RUT (max observed in last 7 yrs = 21.3%, min = -22.6%)
DJ Transportation Index (proxy for economic conditions 6 to 9 months hence) was on a roar again, making another ATH.
Russell 2000 Small Caps Index (proxy for Risk ON/OFF) continued its moonshot.... RISK is back ON big time.
DeTrenders Charts for SPX, NDX, TRAN & RUT Indices
50-Day MA SPX = 2473 or 1.9% above SPX (max observed in last 7 yrs = +8.6%, min = -9.3%)
200-Day MA SPX = 2389 or 5.5% below SPX (max observed in last 7 yrs = 15.2%, min = -14%)
Again, all of our EIGHT DeTrenders are POSITIVE while 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 BUY Signal since Friday 9/29/17 CLOSE at 2519
Max SPX 52wk-highs reading last week = 47 (over 120-140, the local maxima is in)
Max SPX 52wk-Lows reading last week = 6 (over 40-60, the local minima is in)
HA_SP1 closed near its +1.5 sigma channels
HA_Momo = +2.4 (reversals most likely occur above +10 or below -10)
Vol of the Vols Chart
VIX currently stands at 9.5, right at its -1 sigma (remember it's the VIX volatility pattern ( its sigma channels) that matters, and not the level of VIX itself (this is per Dr. Robert Whaley, a great mentor and inventor of original VIX, now called VXO ). VIX usually peaks around a test of its +4 sigma).
Last week, VIX managed to trade in 9 handle. One more sigma will put VIX in high-8 handle.
5-day TRIN & TRINQ Charts
Both NYSE & NASDAQ 5-day TRINs are in NEUTRAL Zone. No Signal here.
Components of SPX above their respective 200day MA Chart
During the past week, this scoring indicator rallied further but could not test 75% level. We continue to remind you so you are aware of multiple divergences during CY2017.
SPX SKEW (Tail Risk) Chart
Last week SPX SKEW (Tail Risk) went down and then came back up to close at 137.5, or its zero sigma (normal = 120-125, range 100-150).
Is all quiet on the Eastern & Mid-Western Fronts? Smart Money thinks so.
3-month VIX Futures Spread(VX) Chart
The Long OCT17, Short JAN18 Spread went sideways for most of the week and then sank hard on Thursday & most of Friday. The market regained its bid.
HA_SP2 = 81.85 (Buy signal <= 25, Sell Signal >= 75)
Our favorite prop indicator sank on Tuesday to 48 and then ralled hard for balance of the week.
US Treasury T-Notes & T-Bonds Yields Chart
Our Treasury Market sold off as YTMs for Notes & Bonds rose more this past week. The front end of the Yield Curve remained flat.