Charts 13 Sep 2015

This post has a little more information than usual.

I read so much doom this weekend about the impending rate hike and the effects it will have on emerging market currencies. There are anticipated knock on effect of those countries having to sell US Treasuries to stabilize their FX markets. Some people are expecting bonds and stocks to fall together however I note that they both finished last week more or less unchanged (September vs December rate hike seems to be a foregone conclusion for most, it’s about the timing and size of potential increases).

DAX:

Going to use the same DAX level as last week:

10000 / 10200-300 area is my over/under for direction. 9914 is the HVN from Oct-Dec 2014 when price struggled to stay over 10k the first time it reached that level.

Again reduced volume and range but upside was rejected.

DAX_longterm

Weekly chart – Friday held on to make the week close green (selling from 10500 on Wed, going to watch that level closely to see if sellers continue after last weeks US indices contract roll.

DAX_Weekly

There is also a potential impact of the Eurex settlement on Friday 18th Sep (eurexchange.com):

Final Settlement Day is the third Friday of each maturity month if this is an exchange day; otherwise the exchange day immediately preceding that day.

Close of trading in the maturing futures on the Last Trading Day is at the beginning of the Xetra® intraday auction starting at 13:00 CET (for MDAX® Futures at 13:05 CET).

Daily Settlement Price
The Daily Settlement Prices for the current maturity month are derived from the volume-weighted average of the prices of all transactions during the minute before 17:30 CET, provided that more than five trades transacted within this period.

es_composite_long_term_plain

ES:

A number of areas marked on chart:

  • current value area 1898/1976
  • 1922/1957 HVNs mark most of the last 5 days OHLC levels (24 hour chart)

It was important on Friday to move up from 1922 and this causes some sellers to cover.

Ideas: breaking above 1957 leads to 1970 and NVPOC 1985. Could see some “repair work” in that zone 1963-2010 (50 DMA).
If there is a rough start to the week and price trades under 1930/40 have to start to think about another test of the 1898/1906 and potentially lower (1850/1820).

Some recent and Oct 2014 HVN areas

2011, 1963
1922, 1907, 1896

main_2013_atr

COT classic chart shows continued selling by Commercial and Non-Commercials:

ES Old

Consolidated chart (every 5 * $50 e-mini is counted as 1 contract to match the $250 big contract). Commercials are buying in here.

ES Consolidated

Using the TIFF (Traders in Financial Futures) chart (below) the levels don’t change that much between the mini and big contract… (this will take some getting used).

The Asset Manager drop more or less matches the Commercial drop in the classic chart. The Leveraged drop correlates with the Non-Commercial drop but the Commercial net long increase in the big contract and the Dealer net long increase in the TIFF have my attention.

ES Tiff

EUR:

The TIFF for FX does not differ much from the classic Categories and you can see leveraged money pulling away from the large EURUSD short position from early 2015.

EUR

USD: strengthening vs the prior week but more noticeable vs emerging market currencies (esp BRL but these are not included in the dollar index).

USD

Gold sees price weakness this week and a fall in commercial shorts and leveraged longs (presumably in advance of Interest Rate decision next week).

GC

NQ did not see the same large position changes that the S&P did with respect to Asset Managers dumping positions – Technology held up well compared to the Materials Sector (Oil and Gas).

NQ

NQ Tiff

US Ten Year:

last week 127 area important – still is with the yield hovering between 2-2.2%

USTY_LT

USTY old

USTY tiff

Bund:

last week noted: Bund: 4 days of high volume between 1.53/1.55 and sellers absorbed and squeezed

Closed on Friday at 155.25, higher than it did in 14 sessions (yield between 0.6-0.8%).

BUND_LongTerm

ETF flows, large redemption on SPY and large creations on Bio Tech (the sector that was supposed to be crumbling).

etf

Busy week on the economic calendar:

German ZEW on Tue, EZ CPI on Wed and the big Interest Rate decision on Thurs.calendar

There are some interesting charts of extremes of fear (VIX from zerohedge):

20150912_CFTC4

Sentiment from Goldman Sachs research (see their end of year price targets also)

sentiment

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