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Market Commentary

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U.S. Stock Futures Base In Bullish Manner

On Tuesday the S&P futures closed a significant gap, a technical “incomplete” that had been lingering since 5/14. Once that gap was filled, the ignition event in the S&P triggered a parallel reaction in the Nasdaq futures, even though the Nasdaq was left with an unfilled gap. About 75% of the Nasdaq 100 is in the S&P 500, which explains the mirroring.

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The S&P futures are basing in a bullish manner, as are the Nasdaq futures. As the most recent correction only lasted 5.5 hours, and dramatical...

May 29, 2015
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Options: Roll The Dice With Las Vegas Sands

When you can have something, you don’t want it.  When you want something, you can’t have it. 

That is often the case with option spreads, especially those from the credit side.  The proposition of selling option premium is great.  Sell it, forget about it and collect your check at expiration.

Here's the catch

The problem tends to be that when it makes sense to sell premium , IV is so slow that the odds that you have to lay makes it prohibitive.  When you want to buy premium , IV is so high yo...

May 29, 2015
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The Case For Smaller Rate Hikes More Often

You would be foolish to believe the Fed is going to stand at zero interest rates forever.  The policy seems to have been the right move to avoid another Great Depression, though there are always the 'Monday am quarterbacks' who seem to know more than the Committee .

The Fedspeak of late has been not about if but when rate hikes could/should occur.  The pause in the argument is always about the data, the Fed's interpretation about growth, inflation and employment.  The Fed will not just raise ...

May 29, 2015
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Big Data Could Rock S&P 500 E-Mini

The S&P 500 mini-futures made a second inside day on Thursday, and closed at 2121.75, almost exactly on the previous day's close. The market dropped sharply as soon as the day session opened, then worked its way back to the high of the day just before the close, aided by what has become a regular feature of the mini-futures: a price and volume spike in the last hour of trading.

The daily range is getting more and more narrow, and the volume decreased from the previous day. This feels like a m...

May 29, 2015
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Back To The Future – I Don’t Get it

“Back To The Future” – I am not sure I understand that movie title. Does it mean that going back to what once was will take you to what will be? If so, and I am making a leap here, can this “concept” be applied to the market?  

The market has been showing signs of going back to the days of rising high, falling hard, rising high, and, well, falling hard again. Supposedly, this behavior is happening because the market is afraid of a “Grexit,” you know, Greece leaving the EU because it cannot ma...

May 28, 2015
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Featured Stories

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Don't Get Burned: Watch Yield Curve For Fed Clues

Interesting quote from Lawrence Lindsey at last week’s Peterson Foundation Fiscal Summit: “We’re at the point of absurdity. Maybe it made sense [ZIRP] when you had a crisis. It does not make sense now. At some point what is going to happen – and this gets to my eight or nine cataclysmic number [on a scale of 1 to 10] – is that we’re going to get a series of bad numbers – a little higher inflation, higher average hourly earnings or whatever – and the market is suddenly going to say, “Oh my God...

May 27, 2015
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Chart Warns S&P 500 Could Be Near Short-Term Top

The S&P 500 had a pretty interesting week in the run-up to the Memorial Day holiday. It made a new all-time high at 2134.72, and it closed Friday at 2126.06, the first time it has managed to close above the high set in April. That’s the good news.

The bad news is that the range for the week was extremely narrow — roughly 14 points, which is hardly a decent range for a single day — the momentum was very weak, and the volume was very low, as it has been for most of this month.

We got up there,...

May 26, 2015
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US Labor Market Coming To A Boil

Despite a recent host of weak and weaker than expected economic data the employment picture remains robust. Aside from one month of poor non-farm payrolls data the sector remains strong with positive expectations into the future. One proof of that is the rebound in NFP we saw for April. The number jumped back above 200,000 and into the range commonly agreed to represent health, if not strength, in job creation. Further evidence can be found in the Kansas City Federal Reserve's Index of Labo...

May 21, 2015
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Wheat Reality

Last Thursday’s weekly export sales report for wheat showed 115 thousand metric tons. That was old crop numbers with new crop numbers coming in at 142 thousand.  Clearly demand is not a driving force and for months hasn’t been in wheat.  Demand looks to remain weak until the new crop in the field shows its strength.  The Monday’s crop condition report showed 45% of the crop in good to excellent condition. We need over 60% good to excellent condition to make us a primary port of origin for hig...

May 20, 2015
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5000 Years of Data

Systematic futures traders are invariably plagued by the small set of available daily data upon which to develop and test strategies. The last data revolution was the introduction of 24 hour electronic contracts starting in 2000.  Only a few symbols go back that far and many of them start much later.   Although some futures have a longer history, it is not helpful to back-test prior to 2000 because markets changed radically with the introduction of electronic futures. Consequently systematic ...

May 13, 2015
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