F-Forex, Diary of a quant forex trader

Fed’s on the Ready

Both U.S. Fed and Euro Zone Fed ( ECB ) have verbalized and taken measures to stem market sell off. But is it to little to late: ECB in retrospect , on their tightening decisions, months and Weeks back, wrong approach. On the table: Economic weakness in U.S. Downgrades in Europe and U.S. Erosion in confidence. Risk off trade by long term investors. Enormous amount of increase in short-side open- interest in ESU’s-SPU’s. Trend line Macro: 3/6/09/ = 665.00 downside violation 8/5/11 = 1261.00 Near term recent bottoms = 1002.75 (7/9/10) and 1037.50 (9/3/10) U.S. 30 year bond 3.50 %, yield not seen since 8/26/10 equivalent futures levels 138′10-15 area.

Tags: ecb, euro zone fed, nko group, rich canlione, us fed

Earnings Strong, Market Still on the Fence

Good earnings giving U.S. Markets support from different sectors as well helping abate Euro-Zone.
Debt concerns and U.S. debt ceiling concerns .

AAPL
ABT
JP
C
GooG

Still in a range no breakouts yet : Looking for Weekly closes over 8 day Avg. in SP’s looking to by short term breaks;

F.V. = (-4.16)

ESU : 50 Day Avg. = 1311 8 = 1316 100 = 1316 200 = 1279

USU still in range trade : 6/30/11 122′05 / 4.45% 7/12/11 127′15 / 4.125%

DXY: 50 Day Avg. = 75.01 8 = 75.37 100 = 75.13 200 = 76.90

Tags: mr topstep, nko group, rich canlione

All Eyes on Bernanke

Bernanke speaker at Semi-annual House of Representatives in front of House of Representatives, will he talk about “risk to growth” hinting QE 3.
Europe out of lime light for today , no factor for U.S. today .
China no hard landing , strongest industrial production since since 5 / 2010, also adding buy side momentum.
Bill Gross from Pimco , hinting QE 3 as well.
Fair Value: -4.37 under cash S&P:
SPX 8 Day Avg. = 1333 50Day = 1314 100Day = 1316
Settlement Gap : 5/8/2011 1341.75 , re-open 5/11/2011 1339.50 = 2.25 settlement gap.
USU 125 and 1/2 area (125′16 / 125′19) is a 4.36/.39 yield area which is where “yield” break started (6/29/2011)

Tags: bernake, mr toptep, nko group, rich canlione

Bernanke has the Ball

Rich “RAC” Canlione, The NKO Group – Economic releases as of late still soft and some what weak , Bernanke’s talk (Q&A press conference has been adopted by US Fed in last several FOMC meeting
as they do in Euro-zone) after “FOMC” meeting likely to state FED belief that
slowing will be transitory(this morning Home price index strength lends an “ear” to that
thinking) as is there belief in inflation. Additionally Mr Bernanke is expected to say
that continued growth is expected to resurface in Q3 and Q4 of this year . Interesting enough
there is a strategy piece by Goldman and Citigroup floating around that supports just
that….

SPX 200Day Avg. = 1257.13 , was retested Yst. in Futures, low was 1256.25 and
was retested in Cash last week during expiration.Negative open interest was seen coming off
from that area based on how Lg. a Tech. level it is. 200 Day Avg. is used by day traders ,
professional money Mgrs, hedge funds and the like .

SP objective =1308.00 as target resistance
SP Q2 close =1325.83, heading for outside Qtr close , last time outside Qtr
close was 6/30/10

US (30Yr) has inside day Vs. Yst. 126′02 125′13 125′07
DXY good support , 50 Day Avg. 74.64

Tags: ben bernake, bernake, fed meeting, fomc, FOMC meeting, mr topstep, rich canlione

Fade the New Highs and Stops

George Cavaligos, MF Global -The rally in the TYU1 over the last day and half reached a crescendo this morning before the pit open. The rally to new highs in the TYU1 took out a bunch of buy stops above the recent highs at 124.00 and 124.04. The frenzied rally took the TYU1 up to 124.16 where big dealer put buying and futures selling came flying in and the market has backed off since then with the settlement price at 123.22 and the old highs at 124.04 have bracketed the market into a quiet consolidation. There are some small sell stops building up just below the 123.22 (Wednesdays settlement price) and the 123.17+ ( last nights low) area. The tendency for the market to seek out and hit those small stops has got us out of longs and a little short looking to cover and then get small long into those sell stops over the next day and a half.

Tags: george cavaligos, mf global, mr topstep, tyu1

Looking for the s&p

Tim “Top Notch” Haefke, Top Notch Trading – Looking for the s&p to find a downside target price area of 1201.80-1205.60 on a major fib play.

Upside objective to day for the s&p between the 1285.00-1287.00 area.

Bonds keep flip flopping making its way lower today to find tests of 124.02 and 123.24.

Tags: fibonacci, mr toptep, sp, sp-500, tim hefkie, top notch

Equities Orderly Decline

Brian “SHPS” Shepard – So far, the decline in the equities over the last few weeks has lacked capitulaion. The oderly price action continues to point to a possibility of rallies along and has which has given the bears nice reentry points. Crude is soft today and is closing in on some minor and major support. This is a slow news week, but the S&P futures rollover and June expiration is running its course. Historicaaly, the expo has been slightly bullish.

Tags: brian shepard, cme floor, cme group, mr topstep, shps, sp, sp500

ASSET ALLOCATION

Danny Rileys Mr Top Step talks about how all the markets are moving on the floor of the CME. That the bonds are trading in the 127 handle and the S&P is trading under 1270.00. Riley explains how the SPM took out this weeks low at 1274.20 and made new low. He also pointed out how the SPU opened at the 1278 level and sold off to 1269.30 rallied and failed again. Riley points out the there is a big asset allocation going on. Sell stocks / buy bonds.

Tags: cme group, danny riley, mr topstep, sp, sp futures, sp500

1250 THEN 1185 IN THE S&P ON TAP

Mr Top Steps Danny Riley talks about the 16% unemployment in Greece and how further debt concerns continue to way in on the S&P 500. Riley also talks about HL Camp (the program trading school) how the firms work show a larger sell off going into the end of June /July. Riley points out how the SPM and tghe ESM got down to Top NOTCHs 1276.25 weekly fib in GLOBEX , bounced up after the 8:30vopen to Top Notchs 128520 pound number and faild the first time up. Riley says Tim from Top Notch said “Bernanke’s comments threw cold water on the markets yesterday” and that the SPM is going to retend the 1274.30 level and if it fails there , all bets are off. Mr Top Steps Riley says the next area on the down side in the S&P is 1250 then 1185.

Learn Online Trading

Tags: dannt riley, greece, mr topstep, sp-500, top notch, unemployment

Agree To Disagree

Tim Haefke, Top Notch Trading – The sky is not falling. Secondly, the switch is in full swing. The end of the 2nd quarter is in sight as the futures roll from June to September contracts. Down side target in the SP futures 1274.20 and the upside objective 1312.50. Bonds stuck in a upper end trading range and streamlining in a tight range.

Sp 500 Technical Analysis

Tags: mr topstep, sp future, technical analysis, tim hefkie, top notch