Sunday, January 7, 2018, 1145ET
Market Timing Charts, Analysis & Commentary for Issue #223
Timer Charts of S&P-500 Cash Index (SPX) + NASDAQ-100 Cash Index (NDX)
Most recent S&P-500 Cash Index (SPX): 2743.15 up +69.54 (up 2.6%) for the week ending on Friday, January 5, 2018, which closed above its +2.5 sigma.
SPX ALL TIME INTRADAY HIGH = 2743.45 (reached on Friday, Jan 5, 2018)
SPX ALL TIME CLOSING HIGH = 2743.15 (reached on Monday, Jan 5, 2018)
Current DAILY +2 Sigma SPX = 2730 with WEEKLY +2 Sigma = 2735
Current DAILY 0 Sigma (20 day MA) SPX = 2681 with WEEKLY 0 Sigma = 2579
Current DAILY -2 Sigma SPX = 2632 with WEEKLY -2 Sigma = 2420
NYSE McClellan Oscillator = +75.9 (-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 = 57.1(40 is considered as oversold and 65 as overbought)
First week of Jan and SPX went up 2.6%.... BIG OUCH for the shorts (including yours truly). We will stay short one more day (the day after a strong move due to NFP, we get a pullback) and then we need re-calibrate.
Canaries [in the Coal Mine] Chart for DJ TRAN & RUT Indices
200-Day MA DJ TRAN = 9546 or 14.3% above DJ TRAN (max observed in last 7 yrs = 20.2%, min = -20.3%)
200-Day MA RUT = 1439 or 8.4% 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) rallied hard and we saw several new ATHs as we had discussed here before.
Russell 2000 Small Caps Index (proxy for Risk ON/OFF) also had a strong weeek and put in a new ATH. RISK is definitely ON.
DeTrenders Charts for SPX, NDX, TRAN & RUT Indices
50-Day MA SPX = 2629 or 4.3% below SPX (max observed in last 7 yrs = +8.6%, min = -9.3%)
200-Day MA SPX = 2489 or 10.2% below SPX (max observed in last 7 yrs = 15.2%, min = -14%)
All of our EIGHT DeTrenders are in POSITIVE territory. 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 Wednesday 1/3/18 CLOSE at 2713
Max SPX 52wk-highs reading last week = 98 (over 120-140, the local maxima is in)
Max SPX 52wk-Lows reading last week = 5 (over 40-60, the local minima is in)
HA_SP1 closed over its +2 sigma channels
HA_Momo = +3.4 (reversals most likely occur above +10 or below -10)
Vol of the Vols Chart
VIX currently stands at 9.22, at about its -1 sigma (remember it's the VIX volatility pattern aka "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).
5-day TRIN & TRINQ Charts
Both NYSE 5-day TRIN & TRINQ are in the NEUTRAL zones. NO SIGNAL HERE.
Components of SPX above their respective 200day MA Chart
This scoring indicator rose a tad to close at 79.8. We are a bit surprised here by the early divergence here with price (SPX).
SPX SKEW (Tail Risk) Chart
Last week SPX SKEW (Tail Risk) closed at ~127, or about its -3 sigma (normal = 120-125, range 100-150).
Is all quiet on the Eastern & Mid-Western Fronts? Smart Money says 'YES.'
How to interpret the value of SPX SKEW? (from CBOE white paper on SKEW)
3-month VIX Futures Spread(VX) Chart
This popular timing indicator closed at -2.8. Equity markets are in overbought zones again.
HA_SP2 = 87.3 (Buy signal <= 25, Sell Signal >= 75)
This coveted timing indicator now says we are back in overbought zone (but we can stay in OB for a while).
US Treasury T-Notes & T-Bonds Yields Chart
During this past week, Treasury Bills rallied but rest of T-Curve sold off as thier YTMs rose modestly. NO SIGNAL HERE.