IBKR Quant-Blog


1 2 3 4 5 2 1860


Futures

FX Rundown - Blue Line Futures (01.16.2019)


Euro (March)

Session close: Settled at 1.14605, down 66 ticks

Fundamentals: The Euro got run over by the one-two punch of Draghi and Brexit. The British Pound fell as much as 2 cents today through the U.K’s Parliamentary vote on Prime Minister May’s deal and potential ousting before paring all loses but left the Euro high and dry. This was because ECB President Mario Draghi left a sour taste after pointing to recent economic weakness due to the China slowdown, international trade headwinds, Brexit and the U.S tightening policy. The recent data is undeniable with Factory Orders, Industrial Production and PMIs all missing. The weakness is seen to slow down any potential tightening the ECB was considering for later this year.

On the flip side, the Dollar had a strong day but not because of Dollar strength. In fact, NY Empire State Manufacturing grew at the slowest pace since May 2017 and PPI came in soft. Furthermore, Kansas City Fed President George who is/was known as the most hawkish member of the Fed said, “it might be a good time for the Fed to pause normalizing”. All in all, the Dollar rallied today, but we do not see this move holding ground.

Technicals: Today’s session low was 1.1441, and we now have first key support at ... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels. 

 

 

Yen (March)

Session close: Settled at .92555, down 32.5 ticks

Fundamentals: The S&P reached the highest level since December 17th and major benchmarks in Asia, including the Nikkei futures gained as much as 2%. The Yen took a swift risk-on kick last night and into this morning after China announced additional stimulus measures through a large-scale tax cut. This is not a favorable environment for the Yen but additionally given the British Pound back to unchanged and Crude Oil up 3%, everything went right for risk assets today. The next 24-48 hours will be crucial for the Yen as it tests a key technical level discussed below; if risk-assets do not continue on this path, the Yen can still have a very healthy week. Tonight, Machinery Orders data and Tertiary Industrial Activity is due from Japan at 5:50 pm and 10:30 pm CT.

Technicals: We trust the process and our line in the sand major three-star support comes in at .... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels. 

 

 

Aussie (March)

Session close: Settled at .7200, down 6 ticks

Fundamentals: The Aussie is showing signs of exhaustion after a tremendous run since its January 3rd reversal. This can be seen through the failure to move higher and hold higher after favorable news from China last night. Furthermore, equity markets around the globe gained ground. The U.S Dollar strengthened but not in a broad fashion. Overall, we see today’s move in the U.S Dollar as short-lived strength. Our rhetoric from yesterday remains, we like the Aussie but from a better location. Westpac Consumer Sentiment is due tonight at 5:30 pm CT.

Technicals: We are closely watching our pivot at .... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels. 

 

 

Canadian (March)

Session close: Settled at .75405, down 8 ticks

Fundamentals: Similar to the Aussie, the Canadian is showing signs of exhaustion. The U.S Dollar was not broadly strong today, data missed and the most hawkish Fed member, a 2019 voter, called for a pause in hikes. Furthermore, Crude Oil gained 3% and the Canadian lost ground. Traders showed be patient and let this rally breathe.

Technicals: Today was a higher low and the bulls have the clear upper-hand above .... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels. 

 

 

 

Futures trading involves substantial risk of loss and may not be suitable for all investors. Trading advice is based on information taken from trade and statistical services and other sources Blue Line Futures, LLC believes are reliable. We do not guarantee that such information is accurate or complete and it should not be relied upon as such. Trading advice reflects our good faith judgment at a specific time and is subject to change without notice. There is no guarantee that the advice we give will result in profitable trades. All trading decisions will be made by the account holder. Past performance is not necessarily indicative of future results.

Visit our website at www.bluelinefutures.com to open an account and stay up to date with our research.

Bill Baruch is President and founder of Blue Line Futures. Bill has more than a decade of trading experience. Working with clients he focuses on developing trading strategies that present a clear objective for both long and short-term trading approaches. He believes that in order to properly execute a trading strategy, there must be a well-balanced approach to risk and reward.

Prior to Blue Line, Bill was the Chief Market Strategist at iiTRADER which followed running a trade desk at Lind Waldock and MF Global.

Bill is a featured expert on CNBC, Bloomberg and the Wall Street Journal as well as other top tier publications. 

Blue Line Futures is a leading futures and commodities brokerage firm located at the Chicago Board of Trade. We work with clients that range from institutional to professional to novice and from self-directed to broker-assisted. No matter what type of trader you are, our mission is simple; to put the client first. This means bringing YOU strong customer service, consistent and reliable research and state of the art technology. 

Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading futures, please read the CFTC Risk Disclosure. A copy and additional information are available at ibkr.com

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Blue Line Futures and is being posted with Blue Line Futures’ permission. The views expressed in this material are solely those of the author and/or Blue Line Futures and IBKR is not endorsing or recommending any investment or trading discussed in this material. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


22340




Macro

Interactive Brokers - The U.S. Week Ahead - Greenwich Wealth Management CIO Vahan Janjigian on Consumer Sentiment


Interactive Brokers senior market analyst Steven Levine discusses consumer sentiment with Greenwich Wealth Management CIO Vahan Janjigian. Levine also provides some highlights for what to look for in the United States in the week beginning January 14. Experience the IBKR Platform! Use our powerful trading platform to begin trading a simulated account for free and without commitment.

Click here to start your free trial today:

https://www.interactivebrokers.com/mkt/?src=youtube7&url=%2Fen%2Findex.php%3Ff%3D1286

 

Produced on January 11, 2019

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


22322




Macro

London Stock Exchange Group - FTSE 100


The UK has always been at the forefront of financial innovation, bringing UK and international companies and investors together to raise and invest capital efficiently. Firms from 100 countries are listed on London Stock Exchange and the FTSE 100 index is seen as the global benchmark for blue-chip firms listed on London Stock Exchange. An index tracks the performance of a basket of securities and is increasingly used by investors to issue investment products, such as exchange traded funds (ETFs), and to measure performance. Created by FTSE Russell over 30 years ago, the FTSE 100, as its name suggests, tracks the performance of the 100 largest eligible companies listed on London Stock Exchange ranked in order by their market capitalisation. When the FTSE 100 first launched, the combined value of companies was around £160 billion, but today this stands at over £2 trillion – a testament to the growth of our global capital markets.

--

London Stock Exchange is the world’s most international exchange. Nearly 2,500 companies from more than 90 countries are quoted across its markets, with a combined value of £4.4 trillion. London Stock Exchange’s markets include the Main Market – London’s flagship venue for equity, debt and exchange traded products, offering businesses access to Europe’s most liquid pool of capital – and AIM – the world’s leading market for small and growing companies

This publication does not constitute an offer to buy or sell, or a solicitation of an offer to sell, any securities, or the solicitation of a proxy, by any person in any jurisdiction in which such an offer or solicitation is not authorised, or in which the person making such an offer or solicitation is not qualified to do so, or to any person to whom it is unlawful to make such an offer or solicitation. London Stock Exchange has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. Therefore, please note that this publication may be updated at any time. The information contained in this publication and any other publications referred herein are for guidance purposes only. London Stock Exchange and the coat of arms device are registered trade marks of London Stock Exchange plc.

 

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from London Stock Exchange Group and is being posted with London Stock Exchange Group’s permission. The information provided in this material is from London Stock Exchange Group and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


22336




Securities Lending

Interactive Brokers - Securities Lending Report 1/8 - 1/14


Sectors vs Short Positions

 

 

SLB Update: Largest Short Values

The following chart shows the 15 largest short values on January 11, 2019.

 

SLB Update: Highest to Borrow

The following chart shows the 15 highest borrow fees on November 29, 2018.

 

 

SLB Update: Hardest to Borrow

 

The following table shows the 15 hardest to borrow securities during the week of 1/8/19-1/14/19.

 

ETF Shorts vs Non-Shorts

 

--

Options involve risk and are not suitable for all investors. For more information read the “Characteristics and Risks of Standardized Options”. For a copy call Interactive Brokers’ Client Services on 312-542-6901.

Trading on margin is only for sophisticated investors with high risk tolerance. You may lose more than your initial investment. For additional information regarding margin loan rates, see ibkr.com/interest

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


22337




Technical Analysis

Asbury Research - Chart of the Week


Overbought/Oversold: S&P 500 (SPX).

INTERMEDIATE TERM BULLISH. 

The chart below shows that SPX is retracting from October 11th near term (monthly) overbought extremes, and that previous instance of this have closely coincided with every minor broad market bottom this year.

Asbury Research subscribers can view the entire report, which includes all 10 of this week’s Keys to US market direction, by subscribing via the Interactive Brokers platform or through Asbury Research.

--

Asbury Research provides investors with a forward looking, strategic forecast of the US financial landscape 1-2 quarters out, and then defines specific tactical and actionable investment opportunities within that larger forecast via a unique and proprietary multi-layered approach that includes quantitative, technical, and behavioral analysis.  Our focus is on the US stock market and market sectors, US interest rates, the US Dollar, and economically influential commodities like gold, crude oil, and copper, but our scope is global as we integrate our database of worldwide inter-market relationships to add breadth, depth and accuracy to our investment conclusions. Interactive Brokers customers can subscribe to Asbury Research in Account Management.

This material is from Asbury Research and is being posted with Asbury Research’s permission. The views expressed in this material are solely those of the author and/or Asbury Research.

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by Interactive Brokers to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


22335




1 2 3 4 5 2 1860

Offenlegungen

Wir schätzen Ihr Feedback! Falls Sie Fragen oder Anmerkungen zum IBKR Quant-Blog haben, kontaktieren Sie uns bitte unter ibkrquant@ibkr.com.

Das im IBKR Quant-Blog bereitgestellte Material (einschließlich Artikeln und Kommentaren) wird ausschließlich zu Informationszwecken angeboten. Die veröffentlichten Informationen sind KEINE Empfehlungen von Interactive Brokers (IB) dazu, dass Sie oder Ihre Kunden die Dienste eines unabhängigen Beraters in Anspruch nehmen oder in einen Hedgefonds investieren sollten oder andere Parteien beauftragen sollten, die ggf. Inhalte im IBKR Quant-Blog veröffentlichen, noch wird die Nutzung von Beratern oder Hedgefonds für Anlagezwecke grundsätzlich hierdurch empfohlen. Die Berater, Hedgefonds und andere Analysten, die ggf. Inhalte im IBKR Quant-Blog veröffentlichen, sind von IB unabhängig und IB gewährt keinerlei Stellungnahmen oder Zusicherungen hinsichtlich der bisherigen oder zukünftigen Performance dieser Berater, Hedgefonds oder anderen Teilnehmer und auch nicht hinsichtlich der Richtigkeit der Informationen, die diese bereitstellen. Interactive Brokers führt keine „Eignungsprüfung“ durch um zu ermitteln, ob der Trading-Stil eines Beraters oder Hedgefonds oder einer anderen Partei für Ihre Umstände geeignet ist.

Wertpapiere und andere Finanzinstrumente, die in den veröffentlichten Inhalten erwähnt werden, sind nicht für alle Anleger geeignet. Die veröffentlichten Inhalte berücksichtigen nicht Ihre individuellen Anlageziele, finanziellen Umstände oder Anforderungen und sind nicht als Empfehlung konkreter Wertpapiere, Finanzinstrumente oder Strategien für Sie zu verstehen. Bevor Sie eine Anlage oder Transaktion durchführen, sollten Sie gründlich erwägen, ob diese für Ihre individuellen Umstände geeignet ist und Sie sollten bei Bedarf hierzu professionelle Beratung in Anspruch nehmen. Die Performance in der Vergangenheit ist keine Garantie für zukünftige Ergebnisse.

Sämtliche Informationen von Drittparteien wurden aus Quellen bezogen, die als verlässlich und korrekt erachtet werden. IB leistet jedoch keine Gewähr für die Richtigkeit dieser Informationen und übernimmt keine Verantwortung für mögliche Fehler oder Auslassungen.

Sämtliche Inhalte, die von Mitarbeitern von IB oder verbundenen Gesellschaften von IB veröffentlicht werden, basieren auf Informationen, die als verlässlich erachtet wurden. IB und ihre verbundenen Gesellschaften leisten jedoch keine Gewähr für die Vollständigkeit, Richtigkeit oder Angemessenheit dieser Informationen. IB gewährt keinerlei Stellungnahmen oder Zusicherungen hinsichtlich der bisherigen oder zukünftigen Performance von Finanzinstrumenten. Durch die Veröffentlichung von Inhalten im IB Quant-Blog bringt IB in keiner Weise zum Ausdruck, dass ein bestimmtes Finanzinstrument oder eine bestimmte Anlage für Sie geeignet ist.