My futures trading blog

[PerErik]

Trading recap 7th of July

ECB out of the way and they decided to raise rates by 25 bps and ECB have suspended collateral rules for Portugal until further notice.
http://www.ft.com/intl/cms/s/0/a7743bec-a87c-11e0-8a97-00144feabdc0.html

It seems like the ECB is desperately kicking the debt crisis further down the road, which at this point seem logical. But at some point the real problem have to be dealt with.
Trading wise I closed out the Euro options structure that I put on yesterday for 300 USD profit.
Did further adjustment in the S&P structure after the S&P just pushed right through another resistance level at 1340.25. Actually it gapped above it on the open and never looked back. Next key resistance is the yearly high at 1361 now. My problem with this rally is that it is going up a bit too quick to be healthy and suspect we are getting a correction in the next few sessions. Another reason for my thinking of a correction lower before new highs is the fact that the volume on the last few sessions have been falling. This is certainly not a good sign for a break out. To take out a major resistance level you want to see increasing volume to punch through the prior top. Of course nothing is guaranteed here, so one had to be careful.

In crude I sold Aug 100 calls for expiration 15 July and I bought 1x mini futures at 98.50. There has been a nice bounce from 90 level up to 99.40 high today following the Crude oil inventories. We are now well back into the old range from 96 to 104 that we saw from start of May to mid June. I think we see a correction back towards the 96.50 level next, there for I put on the options position. If we break higher I will contiune to hedge the delta. So it leaves me with a bit more flexbility and given that we have only 1 week left until expiration, the time value is dropping off fast.

Full trading log here

Good luck

 

[PerErik]

Market report 18th of July

see full version here:http://avantagefinancial.ch/images_up/avantagefinancial.ch/pdfs/daily18jul11.pdf


The European stress test has been analyzed over the weekend and the verdict seems to be that risk off modus is back. Italian vs. German bonds widens to 320 bps. USD is stronger this morning, gold at record highs and equities down. S&P 500 futures gap lower on the open and is down by 19 points or 1.4% as the time of writing (about 1 hour and 50 minutes into the session). It seems like market players are very short term in their trading views at the moment and more playing news as we continue to swing up and down the 1250 – 1350 range. No real directional conviction to spot and the volume in the S&P 500 emini futures (ES) have also been rather low recently. One thing I would like to point out is that the rally to make new highs clearly failed at 1352, which is actually quite negative in price action terms and makes me think we could see a rather aggressive down leg next below the 1250 support. For a break lower to materialize we need to see increasing volume on the down bars as we head lower and preferably the close to be at the very low or lower end of the daily ranges. This clearly indicates sellers taking over. We have a key support level in the S&P 500 emini futures (ES) at 1293.75, which was the former break out level. A daily close below 1293.75 is certainly bearish and opens for a test of 1250 support.
See S&P 500 Emini futures (ES) daily chart below:


Gold is making record high, trading 1606 in the spot at the moment. It seems that Gold is tracking US 10 year Treasury pretty tight over the last weeks, which makes sense. The risk for gold is clearly if we get higher rates in the US in my opinion. That might take some time though as the latest economic data have been far from good. More money printing is also of course bullish for gold and seems to be the major factor behind the latest rally.


The Euro is lower across the board as it seems the market see little positive for the Euro in the near term at least. EURCHF below 1.15 level, very rich in my opinion, but I am not looking to put on any position yet. EURGBP is back below 0.88 and we have the Bank of England minutes out on Wednesday, which is quite open in my opinion. Seen comments from Ernst and Young ITEM club that they are looking for rate hikes around November, but they did cut their 2011 UK growth forecast. See article below:
http://www.telegraph.co.uk/finance/...rise-in-November-as-recovery-strengthens.html

Today’s calendar (CET):
12.00 Bundesbank monthly report
14.30 Canada motor vehicle sales
15.00 US TICS data
16.00 US NAHB housing market index
03.30 RBA Minutes

Looking at a few interesting points in the markets trading wise:
- Key level in the S&P 500 emini futures at 1293.75 that will decide the next directional move in my opinion.
- Looking for a move back lower in Corn to fill the gap at 669. Chart can be seen here: http://chart.ly/5y9bfyv
- Crude has key support at 94.50 and key resistance at 97.74, watch those levels for the next directional move.
- Looks attractive to sell US 10 year Treasury futures above 125, will update on Twitter if I open any positions.


Technical’s and comments

Euro: Euro looks weak below the 100 day moving average at 1.4293. I prefer selling rallies for a move down to the 200 day moving average at 1.3913 near term.
Cable: Sell on rallies towards 1.61 is my favored strategy today. I expect the 1.5900 support to hold, so possibly down there as well should work.
USDJPY: More up and down in the Yen, with lack of direction and focus this pair seems to be on the sideline for now. I remain longer term bearish on the JPY as the fundamental factors in Japan looks ugly, with huge public debt and unfavorable demographics going forward. I am looking for a break out to the upside of the 2 months range, which is 78.44 to 81.78.
Swissy: I am not looking to chase this pair lower at this stage. To me it looks actually more interesting to look at buying some calls. Will update on twitter if I do anything.
AUDUSD: Risk off and we are down towards the 1.0550 level again(, which has worked well as a long entry in the past, worth another try if we see 1.0550?
USDCAD: I prefer selling rallies below 0.98 for a move back to 0.9500.
S&P Future (ES): Key level at 1293.75, which is the former break out level of the move 1252 to 1352. We also have 61.80% Fibonacci retracement of the 1252 – 1352 move coming at 1290. Key resistance today is Friday’s high at 1315.50.
Gold: 1606 high so far, the sky is the limit. The most important I reckon is the US 10 year rate, so keep an eye on that.
Crude oil: Looks like plenty of selling towards 99.50 last week and I expect a move down to test the key support at 94.50 near term. Minor resistance at 97.74.



________________________________________
Risk Warning: Any information in this report is based on data considered to be reliable, but no representations or guarantees are made by Avantage Financial GmbH with regard to the accuracy of the data. This information is provided on condition that we accept no responsibility, legal or other for its contents. We, including our directors, officers, employees or publishers, disclaim all liabilities. Any statement constitutes only current opinions, which are subject to change. Neither the information nor any opinion expressed shall be construed to be, or constitute an offer to sell or a solicitation of an offer to buy any investments mentioned herein. Regardless of the account type you choose, there are risks inherent in trading, including the risk of loss greater than the original investment. The opportunity for profit creates a corresponding risk of loss. Anyone wishing to invest in any of the products mentioned should seek their own financial or professional advice. Prices can go down as well as up. Past performance is no guarantee of future results.

 

[PerErik]

Trading recap 18th of July

See the full trading log here

I did close the 6x short ES (S&P 500 Emini futures) position that I had from Friday at 1307.25 in the Globex session. I was quite heavy short in the ES following the Friday's excersise of the 1300 calls and give that I plenty of short calls it made sense to get a bit more delta neutral. I did one long trade in the ES at 1293.75 for 1.25 points gain. That was it for today.

That being said the ES did go down and test the 1293.75 key level that was the break out level on the run higher from 1252 to 1352 move. That break out level held yesterday, ok the low 1291.25, but that I count as a false break as we closed well above the 1293.75 key support. Technically it is bullish above this 1291.25 level for Tuesday I reckon. We have Friday's high at 1315.50 as the key resistance now.

See chart below

I will look to add to the ES structure Tuesday, most likely by selling short term puts to hedge the short calls at 1340.

I still look for a move lower in Corn and Crude looks heavy below 97.80.

Good Luck

 

[PerErik]

Market report 19th of July

See the full pdf version here

Follow our live trades for free at: http://twitter.com/AFtrading
Make sure to check out our blog as well: http://avantagefinancial.blogspot.com/
I outlined that 1293.75 level as key in yesterday’s report and in fact we had a successful test of that level yesterday, which put a bid into the market towards the close and overnight. The S&P 500 Emini futures (ES) gapped higher at the open today by 8.25 points and traded to a high of 1316.25 so far. The high from Friday is at 1315.50 in the ES and acting as major resistance at the moment and it is natural to see sellers coming in at that level. However a daily close above 1316 today in the ES could open for a stronger rally. News wise it is more of the same really, the European debt crisis and US debt ceiling talks are the major focal points. The EU summit on Thursday is probably the next big event on the calendar. Also watch out for any developments in US debt ceiling talks. It seems like everybody expects an agreement to be reached on the US debt ceiling, but time is running out quick and Obama said it had to be done this week.
The Euro is higher so far today, but I still reckon it is a sell on rallies below 1.4300 for the moment. RBA minutes out overnight were less hawkish than expected as the RBA dropped their view that policy would need to be tightened at some point. However I think it is the risk on/off mode that is the major driver for AUD, meaning the equity markets will dictate the direction. At least until we see interest rates going up in the US or RBA start cutting rates of course.
I see a trader friend of mine in London looking for upside in the NZD as we have the RBNZ rate announcement next week. The market is looking for 50bps hike by January, but some are looking for a move already next week. More likely is a signal that rates will be raised on the next meeting, which is in September. There are only 4 more RBNZ meetings until January (including next week’s meeting), so if the market is correct we should see some rate hike signals soon. I was also reminded by my friend that RBNZ was more hawkish than expected at the last meeting (June).
Canadian dollar is stronger across the board following the Bank of Canada left rates unchanged today, but signaled that borrowing costs will rise as the economy recovers.
http://www.bloomberg.com/news/2011-...rest-rate-will-rise-dropping-eventually-.html
Just one thought on the Gold rally. We have seen a major move higher from the 1478 low (August futures) on the 1st of July, to the high of 1607 today. The move higher has been on the scare that we might see a US default and basically a run for safe heaven. So, if we see an agreement on the US debt ceiling, gold should trade lower and the risk is for sell stops to go off if it drops below 1580 or so I reckon.
Looking at a few interesting points in the markets trading wise:
- Successful test of the key 1293.75 level in the S&P 500 futures yesterday and the close well off the lows signals buying interest. We have key resistance at 1315.50 now, the Friday high.
- Looking for a move back lower in Corn to fill the gap at 669. Chart can be seen here: http://chart.ly/5y9bfyv
- Crude has key support at 94.50 and key resistance at 97.74, watch those levels for the next directional move.
- Looks attractive to sell US 10 year Treasury futures above 125, will update on Twitter if I open any positions.


Technical’s and comments

Euro: Euro looks weak below the 100 day moving average at 1.4293. I prefer selling rallies for a move down to the 200 day moving average at 1.3913 near term.
Cable: EURGBP lower, helping GBP higher and we have key resistance at 1.6194 (14/7 high) that should be though to run through unless the Euro really blasts higher, which I think is unlikely going into the EU summit Thursday.
USDJPY: More up and down in the Yen, with lack of direction and focus this pair seems to be on the sideline for now. I remain longer term bearish on the JPY as the fundamental factors in Japan looks ugly, with huge public debt and unfavorable demographics going forward. I am looking for a break out to the upside of the 2 months range, which is 78.44 to 81.78.
Swissy: I am not looking to chase this pair lower at this stage. To me it looks actually more interesting to look at buying some calls. Will update on twitter if I do anything.
AUDUSD: Amazing the 1.0550 support level once again holds. Strong resistance up at 1.0750.
USDCAD: I prefer selling rallies below 0.98 for a move back to 0.9500. My 0.9500 target hit following the BOC statement. I would not chase the price lower at this level, but rather wait for an retracement to get short again.
S&P Future (ES): Key level at 1293.75 held and buyers stepped in. Looks like higher is the most likely near term direction. Key resistance at 1315.50 that needs to be taken out to open for a move to test last week’s high at 1327.75. We also have a gaps up at 1329.50 and 1344.25. Support at 1291.25 (yesterday’s low) and we also have 61.80% Fibonacci retracement of the 1252 – 1352 move coming at 1290.
Gold: 1606 high so far, the sky is the limit. The most important I reckon is the US 10 year rate, so keep an eye on that.
Crude oil: Looks like plenty of selling towards 99.50 last week and I expect a move down to test the key support at 94.50 near term. Minor resistance at 97.74 and a close above this level would make me more uncertain about a down move to be honest.



________________________________________
Risk Warning: Any information in this report is based on data considered to be reliable, but no representations or guarantees are made by Avantage Financial GmbH with regard to the accuracy of the data. This information is provided on condition that we accept no responsibility, legal or other for its contents. We, including our directors, officers, employees or publishers, disclaim all liabilities. Any statement constitutes only current opinions, which are subject to change. Neither the information nor any opinion expressed shall be construed to be, or constitute an offer to sell or a solicitation of an offer to buy any investments mentioned herein. Regardless of the account type you choose, there are risks inherent in trading, including the risk of loss greater than the original investment. The opportunity for profit creates a corresponding risk of loss. Anyone wishing to invest in any of the products mentioned should seek their own financial or professional advice. Prices can go down as well as up. Past performance is no guarantee of future results.

 

[PerErik]

Trading recap 19th of July

The trading log has been updated, please click here to see

I am now up 16% in 6 weeks, not bad.

Made 2 trades intra day, long ES and long Corn for 212,50 USD profit.
I also sold some 1295 puts exp Friday 22 July, early on in the session. Then I added 2X short 1320 calls for Aug and 2x 1320 calls for 22 July. I also hedged these calls by buying ES at 1319, 1322.50 and 1324.

The S&P 500 futures moved higher as I expect following the successful test of 1293.75 key support yesterday. It gapped higher on the open by 8.25 points and broke above the Friday high of 1315.50, extending to a high of 1324.25.
What is next? We have a resistance up at 1327.75, which is last week's high.
Then we have gaps at 1329.50 and 1344.25.
To the downside we have support at yesterday's high of 1308, actually open gap as well, followed by the low at 1291.25.

Crude broke above the 97.74 resistance level and my short bias is a bit dangerous now. I am in fact not much short though as the delta on my Crude structure is on short 0,3 contract at the moment. Ref Crude at 98.30

Corn had a wild session. It gapped higher 23.25 points and basically just traded lower for the rest of the session, ending up only 3 1/2 points at 699 3/4. Given the volume also increase this price action is quite bearish in my view. I am still looking for the gap fill at 669, meaning a down move. See chart below

Good Luck

 

[PerErik]

Market report 20th of July

See the full pdf version here

Follow our live trades for free at: http://twitter.com/AFtrading
Make sure to check out our blog as well: http://avantagefinancial.blogspot.com/

Risk appetite rising over the last two sessions and S&P 500 futures are up 4 points in Globex at 1325.25, following strong earnings from Apple last night. Nasdaq 100 Emini futures are outperforming and up 0.70% at 2405.75 on the back of the Apple earnings. If trading intraday in equity indices, it makes sense to buy Nasdaq 100 futures on dips rather than Dow Jones or S&P 500 as I expect the Nasdaq 100 futures to outperform following the Apple earnings.
More on the Apple earnings can be found in the link below:
http://www.bloomberg.com/news/2011-0...el-profit.html
The Euro is more or less flat at the moment, trading 1.4182 in the spot market. I am not sure what to expect out of the EU summit tomorrow. However, it seems like the market is pricing in that a solution will be reached. I am not so convinced it will be that easy, therefore I still prefer to sell rallies below 1.4300 at the moment. However as we have seen the last few weeks, these event risks can play out both ways and I see it pretty high risk to play Euro going into the EU summit as we can see quite a bit of noise. Maybe a better idea is to wait and see the outcome of the summit or at least play with small positions.
The deficit reduction plan from the “Gang of Six/Seven” seems to be on the right direction, although the details of the plan remain unclear. The main point to take from this is that it looks like Republicans and Democrats can agree if it really matters and it looks like a agreement will be made within the 2nd of August deadline. Although “the more realistic deadline” set by Obama is only two days away now. The key issue is how the rating agencies will view this plan.
Minutes from the last Bank of England meeting on 6-7 July, showed BoE voted 7-2 to keep UK rates on hold and looks like rates will remain low for some time. I have seen some comments over the last days that the phone-hacking scandal in the UK could force the coalition government to fall, leading to general election. This could again have impact on the austerity plans, which would be negative for the GBP. This sounds a bit extreme to me, but who knows…
http://www.bloomberg.com/news/2011-0...-increase.html
I repeat a comment from yesterday’s report, as NZD continues to strengthen, high of 0.8566 so far today:
“I see a trader friend of mine in London looking for upside in the NZD as we have the RBNZ rate announcement next week. The market is looking for 50bps hike by January, but some are looking for a move already next week. More likely is a signal that rates will be raised on the next meeting, which is in September. There are only 4 more RBNZ meetings until January (including next week’s meeting), so if the market is correct we should see some rate hike signals soon. I was also reminded by my friend that RBNZ was more hawkish than expected at the last meeting (June). “
Canadian dollar is stronger across the board following the Bank of Canada left rates unchanged yesterday, but signaled that borrowing costs will rise as the economy recovers.
http://www.bloomberg.com/news/2011-0...entually-.html
I also repeat my comment from yesterday on Gold: “Just one thought on the Gold rally. We have seen a major move higher from the 1478 low (August futures) on the 1st of July, to the high of 1607 today. The move higher has been on the scare that we might see a US default and basically a run for safe heaven. So, if we see an agreement on the US debt ceiling, gold should trade lower and the risk is for sell stops to go off if it drops below 1580 or so I reckon.”
Looking at a few interesting points in the markets trading wise:
- S&P 500 Emini futures broke above the 1315.50 level (the Friday’s high) and the next key level last week’ s high at 1327.75. We then have gaps at 1329.50 and 1344.25.
- Looking for a move back lower in Corn to fill the gap at 669. Chart can be seen here: http://chart.ly/5y9bfyv
- Crude broke above 97.74 minor resistance, looking for a test of the 99.50 key resistance next, where we saw solid selling last week.
- Selling the US 10 year Treasury above 125 should work well as I expect the yield to rise again when the US debt plan goes through. Should at least see a move back below 124 near term.
- Surprised to see Yen performing this well given the recent rise in risk appetite, looks interesting to try and go long below 79 in USDJPY for a move back to 80.50

Today’s calendar (Central European Time):
16.00 US Existing home sales
16.30 Bank of Canada monetary policy report
16.30 DOE Crude oil inventories

Technical’s and comments

Euro: Euro looks weak below the 100 day moving average at 1.4293. I prefer selling rallies for a move down to the 200 day moving average at 1.3913 near term.
Cable: EURGBP lower, helping GBP higher and we have key resistance at 1.6194 (14/7 high) that should be though to run through unless the Euro really blasts higher, which I think is unlikely going into the EU summit Thursday.
USDJPY: More up and down in the Yen, with lack of direction and focus this pair seems to be on the sideline for now. I remain longer term bearish on the JPY as the fundamental factors in Japan looks ugly, with huge public debt and unfavorable demographics going forward. I am looking for a break out to the upside of the 2 months range, which is 78.44 to 81.78. I favor going long below the 79 level for a move back to 80.50 or higher.
Swissy: I am not looking to chase this pair lower at this stage. To me it looks actually more interesting to look at buying some calls. Will update on twitter if I do anything.
AUDUSD: Amazing the 1.0550 support level once again holds. Strong resistance up at 1.0750.
USDCAD: I prefer selling rallies below 0.98 for a move back to 0.9500. My 0.9500 target hit following the BOC statement. I would not chase the price lower at this level, but rather wait for an retracement to get short again. The yearly low is at 0.9446. Minor resistance at 0.9540 today that can be used as a level to sell at.
S&P Future (ES): Key level at 1293.75 held and buyers stepped in. Looks like higher is the most likely near term direction. Key resistance at 1315.50 that needs to be taken out to open for a move to test last week’s high at 1327.75. We also have a gaps up at 1329.50 and 1344.25. Support at 1291.25 (yesterday’s low) and we also have 61.80% Fibonacci retracement of the 1252 – 1352 move coming at 1290.
Gold: 1606 high yesterday, the sky is the limit. The most important I reckon is the US 10 year rate, so keep an eye on that. Watch out if we break below 1580 support, could see sell stops go off.
Crude oil: Broke above the 97.74 minor resistance yesterday and now looks like we will test the 99.50 key resistance, where we saw lots of selling last week. A break above 99.50 will likely see buys stops triggered and we could easily pop 1 point or more higher. So make sure to use stops if short.



________________________________________
Risk Warning: Any information in this report is based on data considered to be reliable, but no representations or guarantees are made by Avantage Financial GmbH with regard to the accuracy of the data. This information is provided on condition that we accept no responsibility, legal or other for its contents. We, including our directors, officers, employees or publishers, disclaim all liabilities. Any statement constitutes only current opinions, which are subject to change. Neither the information nor any opinion expressed shall be construed to be, or constitute an offer to sell or a solicitation of an offer to buy any investments mentioned herein. Regardless of the account type you choose, there are risks inherent in trading, including the risk of loss greater than the original investment. The opportunity for profit creates a corresponding risk of loss. Anyone wishing to invest in any of the products mentioned should seek their own financial or professional advice. Prices can go down as well as up. Past performance is no guarantee of future results.

 

[PerErik]

Trading recap 20th of July

The trading log has been updated.
click here to see the log

S&P 500 futures could not hold onto the early gains, but volume was very low and looks like a possible no supply bar = bullish.
No supply bar is a narrow bar, closing on the lows with volume less than previous two sessions and preferable as low relative volume as possible compared to recent weeks.
This signals that the smart money is positioned for an upmove already and not participating in the selling, therefore the narrow bar and low volume.
If this is correct we should see a wide up bar in the next few sessions and increading volume.

 

[PerErik]

Market report 25th of July

See the full pdf version here

Follow our live trades for free at: http://twitter.com/AFtrading

The inability to reach a debt ceiling agreement in the US before the weekend is weighing on risk this morning and gold made a new record high at 1620.84. S&P 500 futures are down 10.75 points (-0.75%) in Globex at the time of writing. The Swiss franc is outperforming big time and down below 1.16 again. In general, the well known correlations in risk off mode moving as expected this morning. The longer the US politicians use to get to an agreement the more nervous the market will get. Last week my feeling was the market was pricing in a solution in the US. I still think they will reach a conclusion, but the longer it takes the higher the risk is for an ugly scenario. My thinking is that Euro zone is far from saved. Since Greece cannot go to market and lend, they have to come back for more support at some stage. You also have potential debt problems in Span and Italy along with already support Ireland and Portugal. It becomes harder for Germany to accept these bail outs every time they happen, how many more can they take? Or do they actually have any other option?
The economic calendar this week is fairly light in the Euro zone. We have GDP from US and UK this week and inflation data from Australia (CPI Wednesday). The Reserve Bank of New Zealand meets on Thursday.
The S&P 500 future was not able to close the 1344.25 gap Friday and I think it will be very important technically what happens this week. We have failed in this region (1340 to 1362) three times already this year. We want to see increasing volume towards the key levels to be able to push through. An approach on decline volume is bearish in an up move and bullish in a down move.
EURUSD is trapped in debt literally, with problems on both sides of the Atlantic. Difficult to really point out a winner between EUR vs. USD in the short and medium term. However I think it becomes more and more clear that the debt problems will remain for a very long time. Euro traded up to 1.4444 high Friday. I am looking for a test of the falling resistance at 1.4467 on the up move, but maybe we saw the high Friday? If we break below the 1.43 support, I will give up the bullish bias.
Aussie failed to break that 1.0880 key resistance as expected on the first attempt. I am a bit careful up here as we are on the top of the recent range and I am unclear if it is wise to chase prices higher up here.
Today’s calendar:
14.30 US Chicago national activity index
00.45 NZ trade balance
Looking at a few interesting points in the markets trading wise:
- Next key resistance levels in the S&P 500 Emini futures are 1344.25 gap from 8/7 and the 7/7 high at 1352.75. We failed at 1352 last up run and we really need to see increased volume and a break higher this time. Another failure would be very bearish in my view.
- Corn bouncing higher after the test of the 670 target. Also hearing some traders buying bunch of puts for December with 500 strikes as cheap downside protection. I expect the upside to be limited for now.
- Crude still struggling to break above the 100 level and seems to be plenty of sellers above 100.
- Yen continues to be strong across the board no matter what the equity markets are doing, seems like the correlation between equities and JPY is out of the window for the time being. I still have a bias that JPY should sell off, but at the moment not happening. I think we could see BoJ on the bid it goes towards 77, so keep an eye on that. The best way to play potential JPY I reckon is to buy some calls, I see that 9th Sep at the money options are only at 9,84% volatility. That looks interesting in my opinion as I think the volatility will rise from that level.
- GBPUSD has broken the recent downtrend and looking for a test of the key resistance at 1.6444 next, as long as 1.62 holds.

Interesting articles:
China's growth 'unsustainable', say analysts - The Australian -
http://www.theaustralian.com.au/bus...ble-say-analysts/story-e6frg926-1226100929751

Cable appeals for new dose of easing - The FT -
http://www.ft.com/intl/cms/s/0/f7a00fc4-b5fb-11e0-8bed-00144feabdc0.html#axzz1T4MyiD1P

Spain Will Require Regions to Curb Deficits, Its Finance Minister Says - The WSJ -
http://online.wsj.com/article/SB100...918406.html?mod=WSJEUROPE_hps_LEFTTopWhatNews

El-Erian Says U.S. Vulnerable to Debt-Rating Downgrade, May Avoid Default - Bloomberg -
http://www.bloomberg.com/news/2011-07-24/u-s-vulnerable-to-downgrade-el-erian.html

A Proposal to Impose a Federal Revenue Ceiling - The WSJ -
http://blogs.wsj.com/washwire/2011/...eral-revenue-ceiling/?mod=WSJ_latestheadlines

A Summer of Rest, Not Rise, for Euro - The WSJ -
http://online.wsj.com/article/SB100...745588.html?mod=WSJEUROPE_hps_LEFTTopWhatNews

Wall Street Set to Act on Default, But How? - The WSJ -
http://online.wsj.com/article/SB100...7538638.html?mod=WSJEurope_hpp_LEFTTopStories
Europe's ideologues took the whole world to the brink of disaster - The Telegraph -
http://www.telegraph.co.uk/finance/...the-whole-world-to-the-brink-of-disaster.html
Avoiding default is the easy part for America. It's mapping out the economic future that's hard - The Telegraph -
http://blogs.telegraph.co.uk/financ...s-mapping-out-the-economic-future-thats-hard/
Tim Geithner joins warnings of market meltdown as deal goes to the wire - The Telegraph -
http://www.telegraph.co.uk/finance/...market-meltdown-as-deal-goes-to-the-wire.html
Angela Merkel faces revolt in Germany over rescue deal - The Telegraph -
http://www.telegraph.co.uk/finance/...faces-revolt-in-Germany-over-rescue-deal.html
Bank of Spain to Take Over CAM - The WSJ -
http://online.wsj.com/article/SB100...062690.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Euro Rally Isn't Convincing - The WSJ -
http://online.wsj.com/article/SB100...246506.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Why Euro May Keep Defying Gravity - The WSJ -
http://online.wsj.com/article/SB100...76308.html?mod=WSJEUROPE_hps_sections_markets
Greek Deal Facilitates Worsening Relations - The WSJ -
http://online.wsj.com/article/SB10001424053111903591104576465782128982822.html
Washington is drowning America - The FT -
http://www.ft.com/intl/cms/s/0/d27ba852-b619-11e0-8bed-00144feabdc0.html#axzz1T4MyiD1P
The eurozone crisis is on pause, not over - By Wolfgang Münchau - The FT -
http://www.ft.com/intl/cms/s/0/d2818128-b619-11e0-8bed-00144feabdc0.html#axzz1T4MyiD1P

Reid Working on Backup Plan to Lift Ceiling, Cut Spending - The WSJ -
http://online.wsj.com/article/SB100...7302660.html?mod=WSJEurope_hpp_LEFTTopStories

Bernanke, Geithner, Dudley Are Said to Meet on Debt Limit - Bloomberg -
http://www.bloomberg.com/news/2011-...udley-to-discuss-consuquences-of-default.html

Republicans Back Short-Term Debt-Limit Agreement, Risking Veto From Obama - Bloomberg -
http://www.bloomberg.com/news/2011-...way-from-fair-deal-in-debt-ceiling-talks.html






Technical’s and comments

Euro: Broke above 1.43, which opens for a test of 1.4472 (falling resistance from the May high). Support is former resistance at 1.43 now.
Cable: Next big resistance level is 1.64, followed by 1.6441. The interim falling resistance has now been taken out and buy on dips is my favorite as long as 1.62 support holds.
USDJPY: JPY is performing strongly no matter what the equity markets are doing at the moment and no sell off of the JPY to really spot at the moment. I still think JPY is very overvalued, but maybe not so much against EUR and USD. Alternative plays are AUD, CAD and NOK I think.
Swissy: Big down trend in this pair and no telling when it will end. My guess is that we will not seen any major reversal until the Fed starts tightening monetary policy. Risk off mode again this morning benefitting CHF and trading down to 0.8025 low so far. Minor resistance at 0.8092 that can be used to sell. Otherwise difficult to outline any levels other than the 0.80 as a key level in the current price region.
AUDUSD: Strong resistance up at 1.0880 that Aussie failed to overcome on the first test of this level Friday, as I mentioned in Friday’s report was a likely scenario. Would like to see a dip towards 1.07 before looking long now.
USDCAD: CAD performing strongly on the prospects of rising rates in Canada. However it has moved a fair deal to the downside and at this point I would like to see a pullback before looking to buy CAD.
S&P Future (ES): Tested the upper end of the recent range end of last week. Key resistance levels are 1344.25 and 1352.75. The volume on the approach is a bit low, but still better than the last few times we have failed in this area. Still a bit worrying in regards to potential upside. If we fail in this region once more I think we have a deeper down leg coming up.
Gold: 1620 high so far, the sky is the limit. The most important I reckon is the US 10 year rate, so keep an eye on that. Looks like buy on dips above 1580 for now. The big risk is if we get a debt ceiling deal in the US, could see strong profit taking.
Crude oil: Struggling to get above 100 level. I thought we would see a clean break higher if 99.50 was taken out. Another failure up in the 99.50 to 100 resistance zone would be big trouble for bulls I think. Need to hold key support at 98.50 today to avoid a move lower.



________________________________________
Risk Warning: Any information in this report is based on data considered to be reliable, but no representations or guarantees are made by Avantage Financial GmbH with regard to the accuracy of the data. This information is provided on condition that we accept no responsibility, legal or other for its contents. We, including our directors, officers, employees or publishers, disclaim all liabilities. Any statement constitutes only current opinions, which are subject to change. Neither the information nor any opinion expressed shall be construed to be, or constitute an offer to sell or a solicitation of an offer to buy any investments mentioned herein. Regardless of the account type you choose, there are risks inherent in trading, including the risk of loss greater than the original investment. The opportunity for profit creates a corresponding risk of loss. Anyone wishing to invest in any of the products mentioned should seek their own financial or professional advice. Prices can go down as well as up. Past performance is no guarantee of future results.

 

[PerErik]

Trading recap 25th of July

See the full trading log here

Lower open in the S&P500 futures following the inability to reach an agreement on US deficit plan, but recovered a bit during the session to close at 1333, 7.5 points lower than Friday's close. We did however hold the key support at 1325, which is key support for now. Closing below 1335 is bearish in my opinion and I see risk for a move back down to 1317 support this week.

Made only one trade, sold 2x1335 29 Jul calls in the S&P500 futures.
My feeling is that we will go lower in the S&P500 until any agreement on the US deficit is reached.

Good luck

 

[PerErik]

Market report 26th of July

Daily Market Report for Tuesday 26th of July 2011

see full pdf version here

Follow our live trades for free at: http://twitter.com/AFtrading

Still no solution on the US deficit talks and this is keeping the pressure on S&P 500 futures and we continues to see safe heaven flows into gold, CHF and JPY. The main focus is definitely on the US deficit talks and I would not be surprised to see a reversal of the last days movement if such an agreement it reached. The recent delays by Washington seem to be a political game and my feeling is that the markets still assume everything will work out in the end. So I see the biggest risk is for sure a no solution outcome. I see this as quite unlikely. However the US deficit problem will not go away overnight and the market might look for more problems down the line, which might make the rally short-lived.
S&P 500 futures have a gap open at 1344.25 and key resistance at 1352.75 and 1361.75. I think it will be very important technically what happens this week. We have failed in this region (1340 to 1362) three times already this year. We want to see increasing volume towards the key levels to be able to push through. An approach on decline volume is bearish in an up move and bullish in a down move.
Euro has broken through the falling resistance at 1.4462 and next key resistance is 1.4578, the July high. We have minor resistance at 1.4520. Looks like the market prefers to sell USD for now, at least until any US deficit plan has been agreed upon. EURGBP is also helping Euro higher at the moment, which week UK data putting a bid into the EUR.
Aussie higher on less than expected comments from the RBA Governor and more talk about players adding AUD to their reserves is certainly supportive as well. We do have key CPI data out overnight at 03:30 CET, which is a major event risk. Market consensus is 0.7% and any upside surprise will have people looking for a rate hike at the August 2nd meeting. Biggest potential in price movement I reckon is a lower than expected reading.
Crude is looking interesting as we are trapped inside the 97.50 to 100.20 and we need to see a daily close outside of this range to get something directional going. Next big levels are 104 to the upside and 94.76 support.
Today’s calendar:
16.00 US S&P/CaseShiller home price index
16.00 US new home sales
16.00 US consumer confidence
03.00 NZ busines confidence
03.30 Aussie CPI




Looking at the VIX index chart, we have a clear range last 3 months and it has worked very well to buy below 15.50 and sell towards 22. I still favor buying dips and I think we will see another spike towards 25 to 30 in the next 4 to 6 weeks. See chart below.



Looking at a few interesting points in the markets trading wise:
- Next key resistance levels in the S&P 500 Emini futures are 1344.25 gap from 8/7 and the 7/7 high at 1352.75. We failed at 1352 last up run and we really need to see increased volume and a break higher this time. Another failure would be very bearish in my view.
- Corn bouncing higher after the test of the 670 target. Also hearing some traders buying bunch of puts for December with 500 strikes as cheap downside protection. I expect the upside to be limited for now.
- Crude key levels for a break out are 100.20 and 97.50, but we have seen plenty of false breaks, so might be sensible to wait until we close outside of this range before we get really excited about a break out?
- Yen continues to be strong across the board no matter what the equity markets are doing, seems like the correlation between equities and JPY is out of the window for the time being. I still have a bias that JPY should sell off, but at the moment not happening. I think we could see BoJ on the bid it goes towards 77, so keep an eye on that. The best way to play potential JPY I reckon is to buy some calls, I see that 9th Sep at the money options are only at 10.07% volatility. That looks interesting in my opinion as I think the volatility will rise from that level.
- GBPUSD has broken the recent downtrend and looking for a test of the key resistance at 1.6444 next, as long as 1.62 holds.

Interesting articles:
Obama Warns U.S. Debt Threatens ‘Serious’ Damage - Bloomberg -
http://www.bloomberg.com/news/2011-0...s-economy.html

Obama Warns of Default Risk - The WSJ -
http://online.wsj.com/article/SB1000..._MIDDLETopNews

Greece Says It’s Working With IMF, Hasn’t Requested for More Financial Aid - Bloomberg -
http://www.bloomberg.com/news/2011-0...ncial-aid.html
US parties no closer to debt deal as default fears grow - The Telegraph -
http://www.telegraph.co.uk/finance/f...ears-grow.html
Eurozone bonds 'creep' upwards over bailout uncertainty - The Telegraph -
http://www.telegraph.co.uk/finance/f...certainty.html
Europe Rates Resume Climb - The WSJ -
http://online.wsj.com/article/SB1000...LEFTTopStories
Business as Usual For Bond Markets? - The WSJ-
http://online.wsj.com/article/SB1000...LEFTTopStories
U.S. Debt Negotiators Should Look to Britain - The WSJ -
http://online.wsj.com/article/SB1000...IDDLESixthNews
Swiss Franc Gives Shelter in Storm - The WSJ -
http://online.wsj.com/article/SB1000...ctions_markets
Irish Finance Minister Is Right to Cheer, But Banks Continue to Struggle - The WSJ -
http://blogs.wsj.com/source/2011/07/...e-to-struggle/
Greece needs a new political culture - The FT -
http://www.ft.com/intl/cms/s/0/12eed...#axzz1T4MyiD1P
How to move beyond a short-term fix - The FT -
http://www.ft.com/intl/cms/s/0/11b94...#axzz1T4MyiD1P
No money left to boost growth, says PM - The Times -
http://www.thetimes.co.uk/tto/busine...cle3105071.ece
Obama ready to go to the wire in showdown over debt - The Times -
http://www.thetimes.co.uk/tto/busine...cle3105129.ece
Aussie Joining Reserve Currencies as Central Bankers Seek Commodity Havens - Bloomberg -
http://www.bloomberg.com/news/2011-0...ty-havens.html


Technical’s and comments

Euro: Break above 1.4462 falling resistance and next key resistance is July high at 1.4578. We have minor resistance at 1.4520
Cable: Next big resistance level is 1.64, followed by 1.6441. The interim falling resistance has now been taken out and buy on dips is my favorite as long as 1.62 support holds.
USDJPY: JPY is performing strongly no matter what the equity markets are doing at the moment and no sell off of the JPY to really spot at the moment. I still think JPY is very overvalued, but maybe not so much against EUR and USD. Alternative plays are AUD, CAD and NOK I think.
Swissy: Big down trend in this pair and no telling when it will end. My guess is that we will not seen any major reversal until the Fed starts tightening monetary policy. Risk off mode again this morning benefitting CHF and trading down to 0.8025 low so far. Minor resistance at 0.8092 that can be used to sell. Otherwise difficult to outline any levels other than the 0.80 as a key level in the current price region.
AUDUSD: Above 1.09 and 1.10 is the next resistance level now. CPI data out in Asian session can be a major market mover.
USDCAD: CAD performing strongly on the prospects of rising rates in Canada. However it has moved a fair deal to the downside and at this point I would like to see a pullback before looking to buy CAD.
S&P Future (ES): Tested the upper end of the recent range end of last week. Key resistance levels are 1344.25 and 1352.75. The volume on the approach is a bit low, but still better than the last few times we have failed in this area. Still a bit worrying in regards to potential upside. If we fail in this region once more I think we have a deeper down leg coming up.
Gold: 1620 high so far, the sky is the limit. The most important I reckon is the US 10 year rate, so keep an eye on that. Looks like buy on dips above 1580 for now. The big risk is if we get a debt ceiling deal in the US, could see strong profit taking.
Crude oil: Struggling to get above 100 level. I thought we would see a clean break higher if 99.50 was taken out. Another failure up in the 99.50 to 100 resistance zone would be big trouble for bulls I think. Need to hold key support at 97.50 today to avoid a move lower.



________________________________________
Risk Warning: Any information in this report is based on data considered to be reliable, but no representations or guarantees are made by Avantage Financial GmbH with regard to the accuracy of the data. This information is provided on condition that we accept no responsibility, legal or other for its contents. We, including our directors, officers, employees or publishers, disclaim all liabilities. Any statement constitutes only current opinions, which are subject to change. Neither the information nor any opinion expressed shall be construed to be, or constitute an offer to sell or a solicitation of an offer to buy any investments mentioned herein. Regardless of the account type you choose, there are risks inherent in trading, including the risk of loss greater than the original investment. The opportunity for profit creates a corresponding risk of loss. Anyone wishing to invest in any of the products mentioned should seek their own financial or professional advice. Prices can go down as well as up. Past performance is no guarantee of future results.

 

[PerErik]

Trading recap 26th of July

See full trading log here (with chart images)

The S&P 500 futures failed to make any recovery above the 1335 resistance level and closed in the lower end of the range on slighly increasing volume compared to previous session. Volume was 1.406m contracts traded in the S&P 500 Emini futures, fairly low volume I would say.
See chart below:



What's next? Below 1335 the bias is down. I see this 1325 support as a key level near term and basically above 1325 there is still recovery potential, below 1325 we target 1315, which has been a pivot level over the last months. Minor resistance is at 1335 now.
The feelling is that we will drift lower to 1315, but things can change very quickly in this market, so probably best to just follow the technicals.

Trading wise I sold more 1330 calls for expiration on Friday (29 Jul), so total short of 7 contracts now. Reason for selling these is that I have expect prices to drift down and since I have short a bunch of calls and long 6x futures, I actually wanted to be more negative delta as we go lower.

On the crude side I bought futures, looking for a move higher, but that once again stopped short of 101 and fell back late in the sessions as the API inventory data showed a larger than expected build.
Crude is trading inside this 97.50 to 101.70 range and contiunes to making false break outs and returns back into the range. Tricky to trade at the moment. I still think the upside is somewhat limited near term due to the release of the strategic oil reserves, but longer term demand looks decent, so I don't expect and big move down. I expect the 90 level to hold for quite some time. Crude daily chart below:




Good luck

 

[PerErik]

Trading recap 27th of July

See the trading recap at this link

 

[PerErik]

Trading recap 28th of July

See the trading recap at this link

 

[PerErik]

Trading recap 29th of July

see full trading log with chart images here

Wow, what a day, big swings in both directions and lots of news.
It is amazing how the politicians are once again able to mess things up. Instead of getting things done in time, they wait to the last minutes and play their games, so actually things fall out of hand. Seems like they like the drama and attention that they just cannot miss that by doing things uncomplicated.
It is not strange the approval rating of Obama is at an all time low.
http://www.businessinsider.com/barac...ime-low-2011-7

Back to the markets. We gapped lower by 13 point at the open in the S&P 500 futures, but we saw a solid reversal after breaking below 1280 support to a low of 1278,50.
Buyers stepped in and we saw a rally to 1300,75. One thing I like to point out, we often see reversals when the daily bar reaches more than 500k contracts traded in the S&P500 Emini futures (ES) and the 2nd hourly bar of the day had 580k traded contracts. We should now have potential for a bounce up to 1311 or so at least at the start of next week. All the short calls for expiration today expired out of the money and I kept the premium received, very nice!!!!


I did buy EURCHF as we are at the bottom of the playing field and should see support down here. Another point is that the CHF has outperformed vs ES, see chart below and there is a clear disconnect, something has to give. My bet is that CHF is overvalued at this point and should drift back towards 1.20 where we have the 55 day exponential moving average. Another point is that I am short ES at the moment with the negative delta, meaning it also serves as a hedge trade.


Added a small VIX trade, sold 20 Aug puts and bot 22,50 Sep puts. My thinking is that VIX will drift back below 20 in a few weeks, meaning that we want to be around 20 level when it expires 16th of August. Then the 22,50 would be in solid profit.

Closed the gold futures and sold some more puts and only short 1550 puts, will keep that bias unless we break below 1580.

Also sold October 600 puts in the Corn (ZC) contract at 11 per contractm meaning break even is 589. That means we have to break that key low of 602 to lose money. Good volume down there, so expect that to hold well.




Have a nice weekend