Proactive Market Timing Archive

Sunday Night, October 11, 2015, 2300CT
Market Bias Review, Issue #114

Most recent S&P-500 Cash Index (SPX): 2014.89 up +63.53 (up +3.26%) for the week ending on Friday, October 9th, 2015, which closed at its +1.5 sigma.

SPX ALL TIME INTRADAY HIGH = 2134.72 (reached on Wednesday, May 20th, 2015)
SPX ALL TIME CLOSING HIGH = 2130.82 (reached on Thursday, May 21st, 2015)

Current DAILY +2 Sigma SPX = 2032 with WEEKLY +2 Sigma = 2178
Current DAILY 0 Sigma (20 day MA) SPX = 1957 with WEEKLY 0 Sigma = 2042
Current DAILY -2 Sigma SPX = 1882 with WEEKLY -2 Sigma = 1905
50-Day MA SPX =1993 or +1.1% below SPX (max observed in last 5 yrs = +8.6%, min = -9.3% )
200-Day MA SPX = 2061 or -2.3% above SPX (max observed in last 5 yrs = 15.2%, min = -14%)
VIX = 17.08 which closed Friday at its -2 sigma (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))
NYSE McClellan Oscillator = +275 (-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 = 65.02 (40 is considered as oversold and 65 as overbought)
WEEKLY Timing Model = on a SELL Signal since Friday 8/7/15 CLOSE (first time in 32 months)
DAILY Timing Model = on a BUY Signal since Tuesday 10/6/15 CLOSE
Max SPX 52wk-highs reading last week = 22 (over 120-140, the local maxima is in)
Max SPX 52wk-Lows reading last week = 1 (over 40-60, the local minima is in)
HA_SP1 = at +2 Sigma
HA_Momo = +8.39 (reversals most likely occur above +10 or below -10)
HA_SP2 = 80.5 (Buy signal <= 20, Sell Signal >= 80)
3-mo. VX Futures Spread (long OCT short JAN) = -1.75 (-3 to -2.5 SELL signal, 0 BUY Signal)
SPX SKEW (Tail Risk) = 135 (normal = 120-125, range 100-150)

Our current SPX Bias with Timer Digest: SHORT SPX as of Tuesday, October 6th, 2015 Close at 1979.92
Our previous Bias: FLAT SPX (since Monday, October 5th, 2015 Close at 1987.05)

This WEEK�s Bias = Cautiously SHORT SPX Complex this next week via long Put Spreads. we expect management guidance in the Earnings Season to be key pressure on equities.

SPX Profit Target = 1955-1950
SPX Money Management Stop = 2025

BOTTOM LINE: Our Markets have entered a high vol, tough trading period ahead�.better carefully watch your bet size, sailors.

NOTE: All LEVELS mentioned here have been, are, and will be, based on the S&P-500 SPX Cash Index, and not the ES Futures. Tomorrow after the first hour is complete, we will post here a companion chart showing critical short-term WEEKLY levels to watch for possible �retest failures.�

Fari Hamzei

Sunday October 11, 2015 6:00pm CT
Market Timing Charts & Comments

Timer Chart of S&P-500 Cash Index (SPX)

The move up this week, up to 50-day MA (~1996) was expected, but beyond that, came in as a surprise.
On Friday NYSE McClellan Osc closed +275 -- clearly it is short-term overbought.
NYSE Breadth Thrust came in at 65 also overbought.

Canaries [in the Coal Mine] Chart for DJ TRAN & RUT Indices Chart

Beautiful run-up by DJ TRAN (Forward Economy looks more promising) and RUT says RISK is coming back in but we do expect some resistance at its 200 bar (~1220 on RUT).

DeTrenders Charts for SPX, NDX, TRAN & RUT Indices

50DTs are positive for all four indices covered here SPX, NDX, DJ TRAN & RUT while all 200DTs are still negative.

HA_SP1_momo Chart for SPX

We are on SELL (WEEKLY Timing Model) & BUY (DAILY Timing Model) as of last Tuesday. Look at HA_momo, at +8.39 now, is pulling back from resistance at +10. Also note we had a 22 52wkhigh for SPX on Friday.

HA_SP2 Chart for SPX

This is a new chart. We have called out this indicator in last three webinars. At 80.3, this indicator also says we are very short-term overbought.

Vol of the Vols Chart

No signal till we get another shockwave (volatility spike).

5-day TRIN & TRINQ Charts

NASDAQ's is on a SELL and NYSE's is right behind it.

Components of SPX above their respective 200day MA Chart

We punched thru 50 day, this chart says we may be starting a move up.

SPX SKEW (Tail Risk) Chart

SPX SKEW (Tail Risk) went down and came back up hard and its 0 sigma is now heading up (yellow line turned up). The SPX Tail Risk is not going away soon. What the market, collectively knows (& is pricing in) here, is of concern to us.

3-month VIX Futures Spread(VX) Chart

This 3-month VIX Futures Spread here is still too high, ioho. We interpret that as our markets have some worries, even though SPX has rallied for 8 out of last 9 sessions.
Notice we have added an OTF Chart for Front Month VX Contract which just had a CI Cross and it is on a SELL as of now.

SPX 2011 Time-Shifted Analog for SPX 2015

A few have questioned whether this time-shifted 2011 Analog has ran it course. A few days out of synch is never an issue. But, there is an old saying: "Analogs shall work until they don't." We shall find out the answer to their question only in our rear-view mirror.

Good luck this week,
Fari Hamzei