$ES_F, $6E_F, $6B_F – 15 March 2013

Deutsche’s Jim Reid:

For US equities at least, it’s been a case of another day, another grind higher. Indeed yesterday the S&P 500 (+0.56%) inched another 8.7pts nearer to its record close of 1565.15 – finishing the day just 1.9pts away from the milestone. The Dow Jones, meanwhile, extended its streak to 11 straight days of gains. We should note however, that although the major US indices are above or close to the record highs, daily trading volumes have been steadily trending lower. Indeed the moving 15-day average volume for the S&P500 and the Dow are now the lowest since mid-January.

1565 is the SPX cash price – I had issues validating this but it seems this is the accepted record.

It is very difficult to trade the ES with small volume, low volatility and low daily ATR. Large volume and ranges only seem to come in on pullbacks:

last year in May was Greece 2, November was Obama 2, March was Spain/Italy 2 - next up is Fiscal Cliff 2 ? - I am sick of boring sequels.

last year in May was Greece 2, November was Obama 2, March was Spain/Italy 2 – next up is Fiscal Cliff 2 ? – I am sick of boring sequels.

The action on Euro has been very choppy – up a day then down a day but at least it moves more than 4 points in a session 🙂 – it’s daily range is 120 pips. It has been stuck in a range and looked to break lower yesterday but re-entered the range again. It is managing just about to hold the important HVN 1.2976 – it needs to get above 1.31 for me to have any conviction long.

euro_composite_trend

Hedge funds have been piling into GBP on the short side. The trade was crowded and it looks like there was almost nobody left to sell. Price reached key weekly levels and price was outside 6 month VWAP 3rd standard deviation (orange line). A vicious squeeze started yesterday and continued this morning to the HVN/MCPOC area where it found support 2 weeks ago. Similar to euro this retrace is key to future direction.

gbp_composite

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