IBKR Quant Blog


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Technical Analysis

VIX (VX) Breaks Daily Chart Descending Wedge Resistance


The VIX (VX)'s spot index surged more than 14% yesterday, breaking above a roughly 3 month descending wedge resistance (on the daily chart), and offsetting/invalidating the generic bear signal from the lower June low versus the January low.  Although the weekly RSI and Stochastics don't have enough history in the attached chart (with the weekly MACD not plotting any data points at all), the daily RSI, Stochastics and MACD are bottomish, rallying or consolidating recent gains.  I am flat after profitably closing a long yesterday, and am looking to re-enter long in the green zone (of the daily chart), targeting the red zone for Tuesday.  The amber/yellow zone is where I might place a stop if I was a swing trader (although in my personal account with which I seldom hold overnight I set my stops tighter).
 
VIX (CBOE VX Sep18) Weekly/Daily/4hr
 
 
Click here for today's technical analysis on Raw Sugar, Natural Gas
 

Tradable Patterns was launched to demonstrate that the patterns recurring in liquid futures and spot FX markets can be analyzed to enhance trading performance. Tradable Patterns’ daily newsletter provides technical analysis on a subset of three CME/ICE/Eurex futures (commodities, equity indices, and interest rates), spot FX and cryptocurrency markets, which it considers worth monitoring for the day/week for trend reversal or continuation. For less experienced traders, tutorials and workshops are offered online and throughout Southeast Asia.

 

This article is from Tradable Patterns and is being posted with Tradable Patterns’ permission. The views expressed in this article are solely those of the author and/or Tradable Patterns and IB is not endorsing or recommending any investment or trading discussed in the article. 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.

 

 

 


18661




Macro

The Docket Thins Out After A CB Heavy Week


Morning Briefing June 22nd 2018


Friday is a busy data day on both sides of the Atlantic, with the euro area PMIs likely to be the highlight of the day.

The European data calendar kicks off at 0600GMT, with the publication of the German construction orders and the French final Q1 GDP data at 0645GMT.

The first of the flash PMI releases comes at 0700GMT, when the French manufacturing, services and composite data. The German releases come at 0730GMT, with the amalgamated euro area release expected at 0800GMT.

Across the Atlantic, Canadian data gets the calendar underway, with the release of the CPI and retail trade data.

Back in Europe, at 1300GMT, the BNB Business Sentiment index will be released, with many watching closely as a guide to Monday's Ifo data.

The main US data release comes at 1345GMT, with the publication of the Markit services and manufacturing PMI data.

The St. Louis Fed Real GDP Nowcast will be released at 1500GMT, followed by the NY Fed GDP Nowcast at 1515GMT.

Late US data sees the release of the preliminary Treasury Allotments at 1900GMT.

Global Economic Trading Calendar


Markets


SNAPSHOT: Below gives key levels of markets in the second half of the Asia-Pac session: - Nikkei 225 down 248.64 points at 22446.14 - ASX 200 down 10.935 points at 6221.9 - Shanghai Comp. up 10.159 points at 2885.969 - JGB 10-Yr future up 4 ticks at 150.84, yield down 0.5bp at 0.035% - Aussie 10-Yr future up 2.5 ticks at 97.34, yield down 2.2bp at 2.65% - US 10-Yr future down 3 ticks at 119.24+, yield up 1.1bp at 2.9077%

US TSYS: Tsys softened a touch overnight, easing from their closing highs, although there was little in the way of news flow apparent, and activity was muted. - The Eurodollar strip last trades a touch softer, with the move being parallel across the strip.

JGBS: JGBs once again stuck to a tight range during the morning session, with the cash curve struggling for direction. - The BOJ left the size of its Rinban operations covering the 1-10 Year operations unchanged, with the only notable change in the breakdown coming in the form of an elevated offer to cover ratio in the 1-3 Year bucket, which jumped to ~5.2 from ~3.7.

BOJ: *** BOJ offers to buy total Y980bn of JGB's from the market, all sizes unchanged from the previous operation. - Y250bn worth of JGBs with 1-3 Years until maturity - Y300bn worth of JGBs with 3-5 Years until maturity - Y430bn worth of JGBs with 5-10 Years until maturity

AUSSIE BONDS: The space has edged back from the opening highs and continues to track Tsys after rallying during the SYCOM session on the back of broader risk off flows. - The domestic 3-/10-Year yield differential & AU/US 10-Year yield spread continue to operate around the recently observed levels. - The 3-Month BBSW fix edged away from the multi-year highs that were observed yesterday, fixing 1.35bp lower today. This has resulted in the Bill strip trading a touch firmer with the white and red contracts unchanged to 2 ticks higher last, as the lower fix supports. - The market digested an auction of the longest Bond on the AOFM's books, the Mar 2047 line. The cover ratio ticked higher, although the size of the auction was smaller than the prior.

STOCKS: Asia-Pacific indices were lower in the main as trade war doubts and a heavy session for Wall St weighed on the region. US stocks traded lower on Thursday owing to a combination of profit warnings and after the US Supreme Court's decision ruled that states can collect sales tax from online retailers. - The Nikkei 225 shed over 1.0% with all of the major sectors trading lower, as telecoms added the most weight. The Hang Seng lost 0.4%, although most of the sectors traded higher, it was only the energy sector that added any notable pressure. The CSI 300 was the outperformer, registering small gains after a heavy few sessions, while the Shanghai Comp hovered above bear market territory. The ASX 200 was also lower on the day, with telecoms and energy leading the declines. - US index futures were little changed.

OIL: Crude prices surged overnight on the back uncertainty heading into Friday & Saturday's OPEC+ meetings. The OPEC+ committee has recommended an increase in production of 1mn B/D, although the actual increase will likely be closer to 600K B/D. Iran protested against the decision as expected, leaving a cloud of uncertainty hanging over the upcoming proceedings. - The Baker Hughes rig count data will also provide some interest later today, but expect the Vienna meetings to dominate.

GOLD: The yellow metal stuck to a tight range, operating below $1270/oz.

FOREX: The greenback traded lower against the majors overnight. Commodity linked-FX benefitted from an uptick in oil. NZD outperformed, with AUD & CAD also higher on the session. - GBP & EUR also managed to lodge marginal gains on the aforementioned USD weakness. - USD/JPY continued to operate below Y110.00 for most of the session ignoring an in line Japanese CPI release. The broader risk tone continues to drive the pair, although it is interesting to note that the pair's correlation with US 10-Year Tsy yields has moved to the lowest level observed since February of last year.

Technical Analysis


 BUND: (U18) Bears Need Close Below 21-DMA

*RES 4: 164.52 Low Sept 1 now resistance
*RES 3: 164.19 2018 High May 29
*RES 2: 163.03 High May 30
*RES 1: 162.74 Bollinger band top

*PREVIOUS CLOSE: 162.22

*SUP 1: 161.99 Hourly support June 21
*SUP 2: 161.26 Low June 21
*SUP 3: 161.01 21-DMA
*SUP 4: 160.85 Hourly resistance June 15 now support    

*COMMENTARY: Support emerging on dips back towards the 21-DMA provided the impetus for a rally Thursday and close above 162.15 that sees immediate focus on 162.74-163.03 and overall focus on tests of 2018 highs and the weekly bear channel top (164.49). The 21-DMA is key support today. Bears now need a close below the 21-DMA to ease bullish pressure and shift initial focus back to 159.37-160.22 where the 55-DMA (159.50) is situated.

EUROSTOXX50: Below 3383.17 Targets 2018 Low

*RES 4: 3540.64 High June 15
*RES 3: 3505.02 Low June 15 now resistance
*RES 2: 3469.94 Hourly resistance June 18
*RES 1: 3410.41 Low June 19 now resistance

*PREVIOUS CLOSE: 3403.51

*SUP 1: 3397.96 Bollinger band base
*SUP 2: 3389.21 100-WMA
*SUP 3: 3383.17 Alternating daily support/resistance
*SUP 4: 3300.50 Low Apr 4

*COMMENTARY: Immediate pressure is firmly on the 3383.17 support with daily studies well placed for a fresh leg lower. In saying that, the Bollinger base is a concern and limits follow through. Bears need a close below 3383.17 to confirm a break of the channel base and 100-WMA and target 2018 lows. Bulls still need a close above 3469.94 to gain breathing room and above 3505.02 to shift focus back to 3540.03-3600.36.
 

Eurex Futures Market Close


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18660




Futures

FX Rundown


The Dollar Index reversed sharply from the highest level since July 2017. This boosted many currencies across the board. What are the key levels to watch for in the Euro, Yen, Aussie and Canadian as we look to tomorrow’s trade.

 

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. 

This video is from Blue Line Futures and is being posted with iBlue Line Futures’ permission. The views expressed in this video are solely those of the author and/or Blue Line Futures and IB is not endorsing or recommending any investment or trading discussed in the article. 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 IB 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.

 


18659




Macro

Interactive Brokers - Global Car Stocks Crash with Tariffs Expected to Take a Toll


Daimler’s Earnings Warning Spurs Casualties

Escalating trade-related battles between the U.S., its allies, and China have been spurring jitters in the global financial markets, with equity indices generally in the red Thursday amid worries in the auto industry.

German car manufacturer Daimler AG (DMLRY), for example, warned late on Wednesday it will incur “significantly” lower EBIT on its Mercedes-Benz Vans year-over-year, as well as “slightly below” the prior year in its Daimler Group and Mercedes-Benz Cars divisions.

DMLRY said fewer-than-expected SUV sales and higher-than-expected costs at Mercedes-Benz Cars - not completely passed on to the customers - must be assumed because of increased import tariffs for U.S. vehicles entering the Chinese market. The car company noted that the “effect cannot be fully compensated by the reallocation of vehicles to other markets.”

 

 

On top of the tariff-inspired earnings damage, DMLRY also anticipates a negative effect in the second half of the year in connection with the new Worldwide Harmonized Light Vehicles Test Procedure (WLTP) certification process.

WLTP replaces the dated New European Driving Cycle (NEDC) test, and is designed to use real-driving data to measure fuel consumption and CO2 emissions from passenger cars, as well as their pollutant emissions

Moreover, DMLRY expects earnings at Mercedes-Benz Vans to be adversely affected by the recall of diesel vehicles, and anticipates earnings at its Daimler Buses business to be hurt by declining demand in Latin America.

DMLRY’s stock fell nearly 4.25% in Thursday’s intraday New York trading session, along with a 2.76% plunge in Bayerische Motoren Werke (BMWYY), and a 2.34% decline in Volkswagen (VLKRAY).

The damage was felt across several global auto manufactures.

Among the casualties in Japan’s auto industry, Honda Motor Corp (HMC) was down more than 1.2%, and Toyota Motor Corp (TM) was off over 1.1%. In the U.S., Ford (F), General Motors (GM) and Tesla (TSLA) each suffered losses of between 1.4% to 2.9% intraday, with The First Trust NASDAQ Global Auto Index Fund (CARZ) and recently launched Autonomous & Electric Vehicles ETF (DRIV) down more than 3% and 1.1%, respectively.

Overall, the S&P 500 (SPX) sank 0.42% intraday to 2755.

DMLRY’s news also compounded market fears about global automakers’ finances, after the U.S. in late May decided to launch a probe into whether tariffs should be imposed on foreign imports on grounds of national security. 

The move had stirred tensions in the EU, Japan and China – and helped drive down several global carmakers’ stocks – especially among some major German manufacturers, whose shares had dropped around 3% shortly after the news broke.

Widening in some firms’ CDS levels intraday Thursday indicated the market’s perception of the industry’s creditworthiness is likely to falter after spreads generally gapped out over the past three months.

Recent quotes on 5-year CDS spreads on certain carmakers across the U.S., Germany and Japan:

Firm (Ticker)

Intraday Thursday
(bps)

Level
(bps)

Past 3-Months
(bps)

F

+4

126

-10

GM

+7

112

+4

DMLRY

+3.3

79

+27

BMWYY

+3.5

65

+24

VLKRAY

+4

93

+30

HMC

+0.1

29

-0.8

TM

+0.1

25

-1

Meanwhile, cash spreads in the consumer discretionary sector widened 2bps on the day Thursday to an OAS of about 105bps, while the IG CDX index – a gauge of investor sentiment investment-grade credit market – widened by almost 1.45bps on the day to roughly 64.5bps.

The analysis in this article 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 IB 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

 


18657




Technical Analysis

Gramza - Technical Analysis (Gold, Dollar, Oil and more) Heading into Thursday's Open with Dan Gramza


Dan Gramza takes a look at some key charts heading into today's open, including gold, oil and the dollar.

This Daily Market Studies are presented by an unaffiliated third party and Interactive Brokers LLC does not create the content of these presentations. You should review the contents of each presentation and make your own judgment as to whether the content is appropriate for you. Interactive Brokers LLC does not provide recommendations or advice. This presentation is not an advertisement or solicitation for new customers. It is intended only as an educational presentation.

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 video is from Dan Gramza and is being posted with Dan Gramza’s permission. The views expressed in this video are solely those of the author and/or Dan Gramza and IB is not endorsing or recommending any investment or trading discussed in the video. 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 IB 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.

 


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1 2 3 4 5 2 1221

Informative

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