State of Market , based on Aug 6 to 14 intraday market behavior
Broad Market overview
Market has been quiet on Aug 14, because the soft CPI has been priced in on Aug 13 when the Softer-than-expected PPI released pull forward market expectation of softer CPI ( accelerate pricing expectation of Aug 14 softer CPI pricing on Aug 13) so its not really a surprised that Rally of Aug 13 & 14 are compressed into 1 day on Aug 13.
Semi, Cap-weighted indices have filled both the gap down of Aug 2 and Aug 5 , while equal-weighted indices, Mid & Small cap has only managed to closed Aug 5 Gap.
Overall, Cap-weighted indices outperformed equal-weighted counterpart, mid & small cap
S&P 500 11 sectors
Among all the sectors, Technology, Communications, financial, industrials have recovered both the Aug 2 and Aug 5 Gap down. Only Energy and Discretionary has not recovered Aug 2 Gap down.
MOVE index
There seems to be 2 fail breakout on MOVE index, and seems to be forming a minor double top. This swing fail will likely result in further breakdown, and could be confirmed if break below 100 level
Move index is currently at 106.34, bond price implied volatility is expected to be around 10.63% per annum. Lower MOVE points to (implied) lower bond market volatility going forward.
Bond volatility moving lower translates into less haircut to bond, in which more liquidity can be extracted from the collateral pool.
State of the market so far
I have been more quiet lately because I have manage to solve puzzle regarding over the weekend for whether Aug 5 Yen short unwind meltdown day was a selling climax or start of something more sinister with more downside to come. The evidence and conclusion was release in the paid subscriber section of weekly market review Aug 5 – 9 as detailed below. As the view has been play out, key level defended and price has rebound. As a result we are almost very sure that the Aug 5 Low will not be revisited in the next 30 days. ( as for revisiting the low in the next 60 -70 days ? that’s a complicated topic and we will revisit this we cross the bridge later.) But if you get in now after reading the articles, do so at your own risk, because risk reward ratio is not ideal, and market may slam you with a surprise retest/retracement. In short, never chase a market.
The most recent weekly article paywall has been removed, and 4 of the 5 market bottom reason has been. ( the remaining 1 shall remain hidden ) and some of the charts has been removed. But if you join my paid subscription, the complete articles ( and the deleted sections ) will be emailed to you.
Intraday section
In future I will add in an intraday section, which focus more on the intraday price action, approach and skillset honed in Intraday trading is fully scalable to swing trading, mid and long term strategic holdings. Because Price exhibit patterns of self similarity across all time frame ( from tick charts all the way to daily, weekly and monthly chart )
Market analytical and model development framework ( intraday version )
I am using the below framework to examine, record, and internalize price behaviour in the market
This framework is originally based on Chris Lori work, and has been modified slightly for equity market , I will write an introduction of the following framework in the future intraday price section.
Journal of intraday market behavior
NDX, NQ, SPX daily range characterization
Aug 5 – Meltdown day ( Double bottom for NDX, NQ, , Head and shoulder for SPX )
Aug 6 – Range bound day ( within giant consolidation range )
Aug 7 – Range bound day ( within giant consolidation range )
Aug 8 – Range expansion day ( reversal near range bottom )
Aug 9 – Range contraction day
Aug 12 – Range contraction day
Aug 13 – Range expansion day
Aug 14 – Range contraction day
Aug 15 – Expected to be Range Expansion day, post Unemployment claim and US retail sales data – reducing probability of slowdown in growth, and unemployment worries
NQ Intraday
Establish a double bottom at New York opening
Retest consolidation low of July 11 – Aug 5 downtrend
Lower than unexpected unemployment claim, provide relief to Aug 2 NFP data
Measuring breakout point of origin and candle high of Aug 8 unemployment claim,
Price retrace up to 50% of the initial spike (immediate response to data) at New York opening
NDX intraday
On Aug 13, Asian Session Spike was entirely faded during European session, before drifting higher pre-PPI data release.
Point of origin, PPI soft data release liquidity spike, market entirely price in softer CPI of Aug 14 Session.
Price breakthrough all the option market suggested range maximum level, 1D max call resistance level. And is thought to have broken above estimated neutral Gamma exposure level for NDX
During Aug 8 – 12, worst of selling pressure from Vol control/targeting fund is thought to be over as spike of 1M volatility stop rising.
SPX intraday
Market form an inverse Head and shoulder reversal pattern on Aug 5
Swing low was generated around Aug 5 2024 8am New York time and was never look back.
On Aug 9, price retest Put support level and draft higher into PPI release on Aug 13
During Aug 8 – 12, worst of selling pressure from Vol control/targeting fund is thought to be over as spike of 1M volatility stop rising.
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