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Trading recap Monday 1st of August

2011-08-02T06:32:00.000-07:00

See the full trading log here

Risk off again and what a reversal in the S&P500 futures after the gap open!!!
It was a more or less one way trading after the gap higher following the news out of the US that Washington had finally reached an agreement on debt bill to avoid a US default. I guess it was more or less expected and the focus shifted to the weak US ISM Manufacturing PMI that came in much lower than expected at 50.9 vs the 55 expected. We had a range of 34.50 points yesterday and the volume picked up 2.6m contracts traded in the S&P500 Emini futures.
We now have support at 1261.75, 1257 and key support at 1252.25 (June low).
Resistance at 1291 and 1304.75.
Given the size of the recent move I think we will see a bounce higher Tuesday.

Crude was all over the place yesterday, but to keep it simple it failed at 98.60 and broke below the key support at 94.65, which opens for a move toward the key support at 90.

Closed the Euro 1,42 puts for 1650 USD profit. Made several adjustments on the ES and Crude oil. The focus shifts to the downside in the Crude, so will look for a move down to 90 now, meaning I will sell puts and trade short in the Crude oil futures.

Good luck

update trading log 12 CET Monday 1st of August

2011-08-01T03:13:00.000-07:00

Hi,
I have updated the trading log with the latest trades done this morning.
Bot ES at 1300
Bot Crude (CL) at 96.95
Bot back the 2x Euro 1,42 puts for 30 pips, profit = 1650 USD

full trading log here

Trading recap Friday 29th of July

2011-07-29T15:30:00.000-07:00

see full trading log 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/barack-obamas-approval-rating-just-hit-an-all-time-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

Trading recap Thursday 28th of July

2011-07-28T16:13:00.000-07:00

See full trading log here

Another weak session by S&P500 futures and it could not hold above 1311 resistance and closed once again at the very low end of the daily range.
Volume was at 1,9m contracts in the S&P500 emini futures (ES), which is much higher than we have seen on recent up bars. So there is clearly some serious selling going on in the S&P. Today's down bar also confirms the wide down day on very high volume yesterday as selling. The reason for that is if it had been buying in yesterday's bar, today should have been up.

Chart image of S&P 500 emini below:

Trading wise it was more selling of calls for expiration tomorrow, both in the 1310 strike and 1300 strike. As I mentioned yesterday, the next stop is for a test of 1290 I reckon. US deficit deal is the major focus of the markets now. Time for the people in Washington to get moving, only 101 hours left to default.

I bought some EURCHF (1 lot) at 1,1494, because the CHF looks very expensive here and I think we will be back at 1,18 fairly soon as the US debt plan is passed.
This should also send Gold lower, key support in gold at 1580 at the moment.

I closed the crude structure for a loss of 3650 and opened a new one, strangle ratio position where I sold 5 x Sep 95 puts and sold 3 x Sep 99 calls.
Reason was that 101 strike is getting a bit far away from current price 97 and it is rangebounde. This structure leaves me with a slightly bullish bias and we need to see some decent directional moves before I lose money. The zig zag up and down the recent range has been dificult to trade, so wanted to get out of that situation.

Good Luck

Trading recap Wednesday 27th of July

2011-07-28T15:45:00.000-07:00

See full trading log here

Nothing but down for the S&P 500 futures and it closed the day down 26.75 points. VIX spiked through the key 22 resistance level and Crude broke lower through the 97.50 key support (recent range low).
All risk off basically.
Trading wise I kept on selling ES calls throughout the day and trading mostly S&P500 Emini futures. I was expecting lower prices when it gapped below the key level of 1325 and I was looking for move to at least 1315 and possibly 1311. But not 1299, wow the people that were buying on dips just got whacked as the rebounds were mostly just 1 to 2 points. The high volume and strong sell off into the close signals we have more to come.
I also did some adjustments in Crude, but the volatility has dropped in the short calls at 99.50 and 101 strikes that I have on. Will probably change the structure in the next few sessions.

I also added a bearish bet on the JPY, bought December put in the futures options and it corresponds to basically buying 79,36 calls for 234 pips. Will likely add something more to this spread as we go, but at the moment the volatility is rather low at 10%, so not too keen to sell too much until that at least go above 13%

Good luck

Market report 28th of July

2011-07-28T04:48:00.001-07:00

See full pdf version here

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Markets are now looking at a downgrade of the US and evaluating the impact. Risk off was the big theme yesterday as the market is getting nervous about a possible US default as we still have no solution on the US deficit plan. What will happen if indeed a deficit plan is not agreed upon by the 2nd of August deadline? A week back everybody seemed to be taking for granted that a plan would be reached and we were testing the upper end of the recent range in the S&P500 futures at 1343. One week later we are at the opposite side of the table, testing the lower end of the last weeks’ range. This has pretty much been the story the last few months, swinging rapidly between hope and disaster. I just reiterate the comments I have made many times over the last months, the debt crisis will be with us for a long time, there is no quick fix. Even though we might solve the problem today, we are likely to have more problems down the road as countries like Greece, Portugal, Ireland and possibly more have to restructure their debt down the road as they cannot get funded in the regular market. It seems like the next on the list of failed states will be Cyprus, where the government resigned and seems like they need a bailout in the next weeks. Of course Cyprus is such a small state that the market impact will be very little I reckon.
S&P500 futures took a big hit and closing down by 26.75 points yesterday. The fact that we closed at the very lows on high volume indicates that we had a lot of selling yesterday and I think we go lower and at least test the 1290 now and a big risk that we will break even lower. Yesterday’s move lower confirms that we had another failure in the 1340 to 1362 resistance zone. That also indicates that we are likely to have more work to do on the downside. I mentioned last week that I was a bit concerned for more potential upside because of the lack of volume on the approach towards that 1340 to 1362 resistance zone. I said we need increasing volume on the up bars to be able to push through the resistance. In an up move, declining volume is bearish, in down move, is declining volume bullish.

Euro back down below 1.43 today after trading up to 1.4536 high yesterday. Aussie continues to do well as the market is looking for a possible rate hike in the RBA meeting next week, following high inflation data this week. I don’t think RBA will hike rates next week, but rather wait a bit. However it seems pretty certain the next move will be up and that is enough to support AUD as most other G-10 counterparts are not doing much on the interest rate side for the foreseeable future. That upside idea in NZD that I mentioned last week going into the RBNZ meeting worked out rather well as we have moved about 164 pips higher since I publish the idea on the 19th of July.

Crude broke below that 98.50 support yesterday following the DOE data, confirming a likely reversal lower. Indeed a bit later in the day, we took out the 97.50 support as well. That means the interim rising support from the June lows have now been broken. Next target to the down side is now 94.74, which is a key support level.

VIX broke above that key 22 resistance level and closing at 22.85, +2.62 points. That is a new 1 month high and also interim down trend from the March high is broken, which opens for a move to 25 level and higher. I view this is another confirmation that we are likely to continue the risk off mode.
My comment on the VIX from Tuesday: “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.”

However, I will keep a close eye on the news ticker as positive news out of US deficit negotiations can swing things around rather quickly. Especially given that we probably have quite a bit of shorts in the S&P 500 futures following yesterday’s heavy selling, meaning a short squeeze could make a rally even stronger.

Today’s calendar:
14.30 US initial jobless claims
16.00 US pending home sales
00.45 NZ building consents
01.01 UK GfK survey
01.15 Japan Manufacturing PMI
01.30 Japan CPI, unemployment
01.50 Japan industrial production

Looking at a few interesting points in the markets trading wise:
- S&P500 futures, I am looking for a test of 1290 support and likely break lower, following strong selling yesterday and another failure up in that 1340 to 1362.
- Corn bouncing higher after reaching my downside 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 and bearish below 696.
- Crude false break higher earlier in the week and breaking lower yesterday, looking for a test of 94.74
- 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 if 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.
- Comment from earlier this week, spot on: 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.

Technical’s and comments

Euro: Could not really get up to the 1.4577 resistance and stopped short at 1.4536 yesterday and back down below 1.43 at the time of writing (1.4290). Very choppy price action as the two currencies compete for the “least wanted spot among G-10”. Next key support is 1.4140.

Cable: It tested my upside target of 1.6440 to the pip basically reaching a high of 1.6440. Still bullish potential above 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 0.7992 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: Up and away, trading higher on CPI data yesterday and testing the 1.11 resistance, reaching high of 1.1080. Buy on dips for now, but would like to see a test of 1.08 before going long.

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): Big volume sell off yesterday, closing on the lows = bearish and I expect the bounces to be short lived until we have a solution on the US deficit negotiations. I mentioned last week and this week that a another failure in that 1340-1362 region should send us much lower. Next support is 1290.
Gold: 1628 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: False break above 100 level followed by a break down through the recent support at 97.50=bearish. Looking for a move lower towards 94.74 key support. Minor support at 96.96 and resistance at 98.98

________________________________________
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.

Trading recap Tuesday 26th of July

2011-07-27T01:42:00.000-07:00

See full trading log here

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

Market report 26th of July

2011-07-26T14:00:00.000-07:00

Daily Market Report for Tuesday 26th of July 2011

see full pdf version here

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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/2011-07-26/obama-urges-compromise-as-debt-may-cause-serious-damage-to-u-s-economy.html

Obama Warns of Default Risk - The WSJ -
http://online.wsj.com/article/SB10001424053111903999904576468012930792134.html?mod=WSJEUROPE_hps_MIDDLETopNews

Greece Says It’s Working With IMF, Hasn’t Requested for More Financial Aid - Bloomberg -
http://www.bloomberg.com/news/2011-07-26/greece-says-it-s-working-with-imf-hasn-t-requested-for-more-financial-aid.html
US parties no closer to debt deal as default fears grow - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8660880/US-parties-no-closer-to-debt-deal-as-default-fears-grow.html
Eurozone bonds 'creep' upwards over bailout uncertainty - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8659207/Eurozone-bonds-creep-upwards-over-bailout-uncertainty.html
Europe Rates Resume Climb - The WSJ -
http://online.wsj.com/article/SB10001424053111904772304576468263801544734.html?mod=WSJEurope_hpp_LEFTTopStories
Business as Usual For Bond Markets? - The WSJ-
http://online.wsj.com/article/SB10001424053111903591104576467840104475006.html?mod=WSJEurope_hpp_LEFTTopStories
U.S. Debt Negotiators Should Look to Britain - The WSJ -
http://online.wsj.com/article/SB10001424053111903999904576467943082839426.html?mod=WSJEUROPE_hps_MIDDLESixthNews
Swiss Franc Gives Shelter in Storm - The WSJ -
http://online.wsj.com/article/SB10001424053111904772304576468370366953928.html?mod=WSJEUROPE_hps_sections_markets
Irish Finance Minister Is Right to Cheer, But Banks Continue to Struggle - The WSJ -
http://blogs.wsj.com/source/2011/07/25/irish-finance-minister-is-right-to-cheer-but-banks-continue-to-struggle/
Greece needs a new political culture - The FT -
http://www.ft.com/intl/cms/s/0/12eed040-b6f0-11e0-a8b8-00144feabdc0.html#axzz1T4MyiD1P
How to move beyond a short-term fix - The FT -
http://www.ft.com/intl/cms/s/0/11b94aac-b6f0-11e0-a8b8-00144feabdc0.html#axzz1T4MyiD1P
No money left to boost growth, says PM - The Times -
http://www.thetimes.co.uk/tto/business/economics/article3105071.ece
Obama ready to go to the wire in showdown over debt - The Times -
http://www.thetimes.co.uk/tto/business/economics/article3105129.ece
Aussie Joining Reserve Currencies as Central Bankers Seek Commodity Havens - Bloomberg -
http://www.bloomberg.com/news/2011-07-25/aussie-joining-reserve-currencies-as-central-bankers-seek-commodity-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.

Trading recap Monday 25th of July

2011-07-26T13:56:00.000-07:00

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

Trading recap Friday 22th of July

2011-07-25T13:02:00.000-07:00

Ended the week up 2,15% and now in total up 17,97% over 7 weeks.
See the full trading log here

The S&P 500 Emini futures (ES) was not able to close the gap at 1344.25, but recovered from early weakness to close at 1334. The 1327 level that was a prior resistance level is now support going forward. In general it looks heavy towards 1350 for the moment and volume is not really at the level I want to see it to break higher. Will be very interesting to see what happens next, I think we are at a very key level right here and I reckon we could see a pretty large move in either direction. The near term trigger levels are 1345 to the upside and 1326 to the downside. The on the next frame we have 1352 and 1317. The big range is 1252 to 1361.
I have attached the chart below in the ES

Trading wise I closed the long Corn futures early in the session and the total gain for the Corn structure turned out to be 1700 USD, pretty good.

Looking at ES, the 22 July strikes expired today and I bought back all except the 1330 calls that were exercised into shorts at 1330. Since I have bought ES on the way up the sells at 1330 were netted against open longs.
I am net long 6 ES futures. I also sold some 1345 calls for expiration next Friday as I saw that the 1345 could not be taken hike. Made sense to sell some calls in the upper end of the range in case we drop back down.

I also sold some 1550 puts in the Sep Gold (GC)for 10 per contract.
Good Luck

Market report 25th of July

2011-07-25T04:20:00.000-07:00

See the full pdf version here

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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/business/economics/chinas-growth-unsustainable-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/SB10001424053111903591104576466192518918406.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/2011/07/24/a-proposal-to-impose-a-federal-revenue-ceiling/?mod=WSJ_latestheadlines

A Summer of Rest, Not Rise, for Euro - The WSJ -
http://online.wsj.com/article/SB10001424053111903461104576461672647745588.html?mod=WSJEUROPE_hps_LEFTTopWhatNews

Wall Street Set to Act on Default, But How? - The WSJ -
http://online.wsj.com/article/SB10001424053111904772304576466373207538638.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/comment/ambroseevans_pritchard/8658334/Europes-ideologues-took-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/finance/richardblackden/100011034/avoiding-default-is-the-easy-part-for-america-its-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/financialcrisis/8658500/Tim-Geithner-joins-warnings-of-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/financialcrisis/8658331/Angela-Merkel-faces-revolt-in-Germany-over-rescue-deal.html
Bank of Spain to Take Over CAM - The WSJ -
http://online.wsj.com/article/SB10001424053111904233404576462403813062690.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Euro Rally Isn't Convincing - The WSJ -
http://online.wsj.com/article/SB10001424053111903591104576465793120246506.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Why Euro May Keep Defying Gravity - The WSJ -
http://online.wsj.com/article/SB10001424053111904233404576462470995976308.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/SB10001424053111903591104576466502257302660.html?mod=WSJEurope_hpp_LEFTTopStories

Bernanke, Geithner, Dudley Are Said to Meet on Debt Limit - Bloomberg -
http://www.bloomberg.com/news/2011-07-22/geithner-said-to-meet-bernanke-dudley-to-discuss-consuquences-of-default.html

Republicans Back Short-Term Debt-Limit Agreement, Risking Veto From Obama - Bloomberg -
http://www.bloomberg.com/news/2011-07-22/obama-says-republicans-walking-away-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.

Market report 22nd of July

2011-07-22T13:56:00.000-07:00

Tragic day for Norway today. My thoughts go out to the victims and relatives of the Oslo bombing and the massacre at “Utøya”. RIP
The markets liked the Euro zone summit agreement and risk was bid all yesterday. I think we are not passed the problems though, as we still have potential crisis down the road with Italy and Spain. Lets face it Greece will not be able to access the credit markets and at some point the debt probably have to be restructured. But for now it looks to be in the background. The US deficit plan is another major thing we need to get out of the way. More delays there can potentially see the market get nervous…
We still have some key resistance levels in the S&P500 futures that needs to be taken out to really celebrate, because we have failed in this region (1340 to 1362) three times already this year. The approach this time is looking a bit better with volume picking up on the up days as we move into the 1340-1362 resistance zone. Last time we tested this area the volume actually declined as we moved higher. 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 traded up to 1.4444 high earlier this morning, but since fallen back a bit to 1.4368. I we looking for a test of the falling resistance at 1.4472 on the up move, but maybe we saw the high this morning?
Following a set of good numbers from Canada recently, it looks like we will see a rate hike from Bank of Canada later this year. I think December is the most likely month. This is certainly supportive for CAD and if we can get a Crude rally as well, it could see CAD outperform G-10 in 2nd half of the year.
Aussie has not able to break above the key resistance at 1.0880. That could be though to knock out on the first attempt.
US 10 Year Treasury futures not able to hold below 124 level and back up to 124’10 at the time of writing with 2 hours to go of the Friday session.
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.
- Crude broke above the 99.50 key resistance and I was think it would fly, but so far it just it up to 100.06. Will we fail in this 99.40 to 100 zone again?
- Yen is just not moving to the upside, very 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 next weeks. Might actually be better to buy some calls, I see that 9th Sep at the money options are only at 10,06% 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.

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: 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): Moving up and testing the upper end of the recent range. Next 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. Are we looking at a case of buy the rumor and sell the fact?
Gold: 1610 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. Watch out if we break below 1580 support, could see sell stops go off.
Crude oil: The break of 99.50 was only good for 56 cents so far today and I am a bit surprised it didn’t get more power into the up move. 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 bull 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.

Trading recap Thursday 21th of June

2011-07-22T06:20:00.000-07:00

See the updated trading log here

More up action in the S&P 500 futures and we came within striking distance of filling the gap at 1344.25, high today was 1343.50.
The no supply bar from Wednesday was also confirmed with the wide up bar on increased volume yesterday = bullish
The increased voluyme is key if we are going to break above the 1352.75 July high.
We need a strong approach and blast above that level to contiune the rally. If we would have another failure in this area (1340 to 1365)it would be very bearish in my view.

See chart below of S&P 500 Emini Sep Futures (ES):

Trading wise it was all about buying ES as I had to hedge the short calls when the S&P was surging. Bought in total 15 contracts during the day and I am net long 13 contracts now. I have a bunch of weekly options expiring on Friday. Short Calls: 5x1325 and 3x1330. Short Puts 4x1295.
The puts will expire worthless, unless we have a total collapse Friday, which is less likely.
I will most likley buy back the short calls that expires today early in the session as the time value left is very little, since we are quite some way about the strikes. No point risking that a drop lower would make the time value rise considerably and maybe have to trade against the strikes. To put it this way, risk to reward keeping them to expiration is very high.

I closed the short 4x 760 Sep calls in corn for 9 1/2 per contract, making 2200 USD on the position ex commissions. My target of 669 was more or less reached as we hit low of 670. I still have one long futures open in the Corn complex.

In crude I was looking for more upside when it broke 99,50 key resistance, but only trading up to 100,06. Seems like there is still plenty of selling towards 100. Have to be careful now and keep and eye on the downside as there is a risk for stops going through if we break 98.50 support. I also sold one more 101 Sep calls for 2.36 as it failed to break higher.

Good luck

Market report 21st of July

2011-07-21T12:25:00.000-07:00

Risk appetite is rising further today as the stock market is flying high. It seems like there will be a solution to the Greek debt problem and US might also be moving closer to an agreement on the deficit plan. It looks like the market is currently pricing in that everything will work out ok, so maybe not that much additional upside when we actually reach agreements on those issues. However the market remains a news driven market and any form of disappointment or bad news can swing the market in the total opposite direction rather quickly, so be careful and use stops.
S&500 Emini futures have traded up to 1343.50 high so far today with about 2 hours to go n the session. Currently at 1340, up 18,75 points or 1,42%.
Euro traded up to 1,4402 high earlier, but since fallen back a bit to 1,4372. Since we have taken out 1,43 resistance, I think we will see a move higher to test the falling resistance (from May high through July high) at 1,4476 next.
Aussies really enjoys the risk on mode and is trading above 1.08 now, we have key resistance at 1.0880 that could be though to knock out on the first attempt.
US 10 Year Treasury is below 124 level, right in line with my comments last previous days.
Since I am running a bit late on the report today, I will jump right to the interesting levels section.
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 made a low of 670 ¾ today and reached my downside target, I also closed the 4x short 760 September calls for 2200 USD profit (ex commission)
- Crude broke above the 99.50 key resistance and I was think it would fly, but so far it just it up to 100.06. Will we fail in this 99.40 to 100 zone again?
- From last few days, spot on: “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.” Trading 123’31 now.
- Yen is just not moving to the upside, very 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

Technical’s and comments

Euro: Broke above 1.43, which opens for a test of 1.4476 (falling resistance from the May high). Support is former resistance at 1.43 now.
Cable: After it broke 1.62 resistance it has been one way traffic today and has kept pace with the Euro rally. 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: 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): Moving up and testing the upper end of the recent range. Next key resistance levels are 1344.25 and 1352.75. The volume on the approach is a bit low and that worries me a bit in regards to potential upside. Are we looking at a case of buy the rumor and sell the fact?
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: The break of 99.50 was only good for 56 cents so far today and I am a bit surprised it didn’t get more power into the up move. 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 bull I think.

________________________________________
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.

Trading recap Wednesday 20th of June

2011-07-21T12:20:00.000-07:00

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.

Crude oil chart

2011-07-20T09:01:00.000-07:00

Just a quite note on Crude oil:

The EIA expects the US and world wide consumption of Crude to rise in 2011 and 2012.
See link here

However I am trading the market and these projections is good knowledge to have, but the price action is always king.

Looking at the chart we see that it is trading within a 94.65 to 99.87 last week.
These are the trigger levels for the next move. The August contract expires today.

Market report 20th of July

2011-07-20T04:12:00.000-07:00

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/2011-07-20/apple-shares-jump-after-record-iphone-ipad-sales-fuel-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/2011-07-20/boe-voted-to-keep-rate-steady-as-dale-weale-sought-quarter-point-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/2011-07-19/bank-of-canada-says-policy-interest-rate-will-rise-dropping-eventually-.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.

Trading recap Tuesday 19th of July

2011-07-19T14:59:00.000-07:00

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

Market report 19th of July

2011-07-19T14:21:00.000-07:00

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/2011-07-19/bank-of-canada-says-policy-interest-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.

Trading recap Monday 18th of July

2011-07-19T02:56:00.000-07:00

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

Market Report 18th of July

2011-07-18T10:03:00.000-07:00

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/economics/8643256/Interest-rates-to-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.

Trading Recap Friday 15 Jul

2011-07-16T03:36:00.000-07:00

Please see the updated trading log here for full list of today's trades.

We had a bounce of expirations in the S&P 500 emini (ES) options today and basically it left us with 6 positions short at 1300. I will sell some puts against these futures on Monday, so see twitter for live update on that.

I also did one adjustment to the Crude oil and added 2 more short 101 Sep calls for 1,91.
One new trade as well, sold 4X 760 Sep calls in Corn, looking at the chart the recent bull run really looks overdone. The supply of Corn still loooks good and even though the weather outlook have been a bit bearish last week, it still does not warrant this latest bull run in my opinion. The reason for picking 760 as the strike is that it we have a series of resistance around 730 to 764 and it gives me a break even of 780, which means it has to make a new yearly high to lose money. Another point is that the option is trading above 42% volatility, which is in the upper end of the range. I am looking for a move back down to fill the gap at 669 in the near term.
See daily Corn chart below:

Trading recap Thursday 7th of July

2011-07-07T15:28:00.000-07:00

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

Market Report Thu 7th of July

2011-07-07T07:26:00.000-07:00

See full version here with links

Bank of England just held interest rates at 0.5% to aid the economic recovery and they held its bond-purchase program at 200bln pounds. This was in line with market expectations. http://www.bloomberg.com/news/2011-07-06/king-diverges-further-from-europe-as-boe-set-to-maintain-record-low-rate.html
ECB interest rate announcement is the major event today and the market expectation is for a 25 bps increase to 1.50%. We just saw The Portuguese bond yields widened to 17.8% yesterday and the CDS market has upped the chances for sovereign default across the board basically. I expect to see a decent move following the ECB press conference today. I think the largest potential move in the Euro will be if Trichet is more dovish than anticipated in the press conference at 14:30.This will flatten the interest rate path and hit the Euro. If Trichet is more hawkish, I expect to see a short squeeze higher. However the latest scenario is less likely, given the recent news on the European debt crisis. Trichet is not expected to use the strong vigilance word today. If he does it would indicate a rate hike next month as well, which I see very unlikely.
Short dated option volatility is up in the Euro ahead of the ECB and NFP payrolls and overnight is trading at 21%, up 2% from yesterday and 1 week is at 13.3%, up 1% from yesterday.
We had a mixed equity market in Asia, with Shanghai down 0.58% and the S&P 500 futures are trading above the 1340.25 key resistance in Globex. I think a daily close above 1340.25 level in the S&P 500 emini futures would open for a test of the yearly high at 1361.
We have both US ADP employment data and US initial jobless claims out today, which can both move the market substantially and shape expectations for tomorrow’s US nonfarm payrolls. So keep an
I still think CHF looks rich and I favor going long below 1.2050 for a move back to 1.2250.
I am still looking to add some type of position in Corn following the huge sell off week, but I have not made up my mind what the position will be yet. I will come back on that during the next few sessions.
I will keep an eye on the US debt ceiling talks going forward, some talk of a possible of a new Homeland Investment Act that would allow repatriation of overseas earnings at a lower tax rate. This happened last in 2005, which saw the USD strengthen by about 15% vs. Euro and 20% vs. Yen. This make it interesting to look at the Yen, which has been range bound for a few months, with high at 81.78 and low of 79.70. I am longer term bearish on the Yen and I think we could see a break out higher in the next week or so. A trigger could be a strong than expected NFP report. See chart next page.

Today’s calendar (CET):
13.45 ECB rate announcement
14.15 US ADP employment data
14.30 ECB/Trichet press conference
14.30 US initial claims
16:30 DOE Crude oil inventory
18:30 Feds Hoenig speaks in Oklahoma
Looking at a few interesting points in the markets trading wise:
- A daily close in the S&P 500 futures above the high from 31st of May at 1340.25 would open for a test of the yearly high at 1361. Break out level of 1317 is now key support.
- Crude punching through the 96.00 resistance yesterday, next key level is 98.35.
- Silver bouncing off the lower end of the last month’s range of 32.75 to 38.76. Can we head back up towards the upper end of the range?
- Gold got up to 1534 and I now expect it to trade back down to at least 1520 support.
- 100 day moving average coming in at 1.4256 in the Euro today, so expect bids ahead of that. Watch out for noise during the ECB press conference.

Interesting news stories:
Exclusive: Treasury secretly weighs options to avert default - Reuter -
http://www.reuters.com/article/2011/07/07/us-usa-debt-exclusive-idUSTRE7660GE20110707
Movement in Budget Impasse - The WSJ -
http://online.wsj.com/article/SB10001424052702304793504576430301748287970.html?KEYWORDS=Movement+in+Budget+Impasse
The Only Reform That Will Restrain Spending - The WSJ -
http://online.wsj.com/article/SB10001424052702304760604576428273248743348.html?KEYWORDS=demint
How the private sector could rescue Greece - The Telegraph -
http://www.telegraph.co.uk/finance/economics/gilts/8621006/How-the-private-sector-could-rescue-Greece.html
Europe declares war on rating agencies - The Telegraph -
http://www.telegraph.co.uk/finance/economics/8621520/Europe-declares-war-on-rating-agencies.html
US will enter second recession if debt limit is not raised, warns President Barack Obama - the Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8621582/US-will-enter-second-recession-if-debt-limit-is-not-raised-warns-President-Barack-Obama.html
Germany Revisits Greek Debt Plan - The WSJ -
http://online.wsj.com/article/SB10001424052702303544604576429754231439240.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Moody's: Stress Tests Set to Fail 26 Banks - The WSJ -
http://online.wsj.com/article/SB10001424052702303544604576429713440829554.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
What to Expect From Trichet’s Press Conference - the WSJ -
http://blogs.wsj.com/economics/2011/07/06/what-to-expect-from-trichets-press-conference/
‘Good Ship Dollarpop’ Is About to Sail Again - the WSJ -
http://blogs.wsj.com/source/2011/07/06/good-ship-dollarpop-is-about-to-sail-again/?mod=WSJBlog&mod=thesource
Basel on wrong path to tackle systemic risk - The FT -
http://www.ft.com/intl/cms/s/0/d063596c-a268-11e0-9760-00144feabdc0.html#axzz1RNAE222R
Inflation fears spark rate rise in China - The FT -
http://www.ft.com/intl/cms/s/0/d077fe34-a7be-11e0-a312-00144feabdc0.html#axzz1RNAE222R
Investors overreact to the blindingly obvious - The FT -
http://www.ft.com/intl/cms/s/0/70a3e368-a801-11e0-afc2-00144feabdc0.html#axzz1RNAE222R
Downgrade blow knocks wind out of Portugal - The FT -
http://www.ft.com/intl/cms/s/0/90ef90b4-a800-11e0-afc2-00144feabdc0.html#axzz1RNAE222R
Doubts over banks’ role in Greek bailout - the Times -
http://www.thetimes.co.uk/tto/business/economics/article3085717.ece
China May Limit Rates on ’Controllable’ Inflation - Bloomberg -
http://www.bloomberg.com/news/2011-07-06/china-may-pause-after-third-rate-move-as-wen-bets-inflation-controllable-.html

Technical’s and comments

Euro: We are back below 1.4350 after the Portugal downgrade yesterday. The resistance levels today are the low from 7th of June at 1.4564 and the high from the same day at 1.4695. We have a series of support levels from 1.4320 down to 1.4237.
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 79.70 to 81.78.
Swissy: Have resistance at 0.85 at the moment, which is the pivot level in this pair for now I think. Bearish below this level and bullish above.
AUDUSD: Stronger than expected Aussie Jobs data overnight supporting the AUD. We have strong resistance around the 1.0770 level, so would not chase the price action above that level. The buy in level of 1.0550 or so is the place I would look to try long again.
USDCAD: Rapid move lower and I think it makes sense to wait for a rally back up towards 0.9730 or to get short again.
S&P Future (ES): Key level at 1340.25 and a daily close above here would open for a test of the yearly high at 1361. Key support is now Friday’s break out level of 1317.
Gold: Hit the extended upside target of 1530 yesterday and now I expect a correction back to at least 1520 support.
Crude oil: Took out the 96 key resistance yesterday and this 96 level held on the test lower this morning. That is bullish confirmation for me and looks like we will test next key resistance at 98.35 next, followed by 100.39. Key support is now down at 96. If we break below 96, the risk is for stop loss festival will send it 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.

Trading recap Wednesday 6th of July

2011-07-06T15:44:00.000-07:00

The S&P 500 emini (ES) broke below yesterday's low of 1329.25 in early trading, as the China rate hike saw risk come off. It got down to 1326 before it reversed higher to close right up at the top of today's range and 0.50 point below yesterday's high of 1337.
The volume was higher than yesterday and the ability to hold the downside is rather impressive I have to say. Seems to be plenty of buyers on dips. I was looking for a deeper correction to test the 1317 support (break out level from Friday), but just not much downside momentum at the moment. It is difficult to be very bearish at the moment, just looks quite strong in my opinion. Need to see some pretty bad news to make it go much lower than 1317, is my feeling at the moment. Key resistance remains the 1340.25 (high from 31st of May). I still think it would be healthy to see a correction to 1317. We have 7 straight up sessions now, for 71.5 points in the ES.
No changes made to the S&P 500 emini structure today.

I did one trade today, put on a Euro options spread to crush some Theta (time value) in the 8 Jul 1.42 put options, which was trading close to 19% vols beacause of the ECB and NFP event risks over the next 2 sessions.
I sold 2x the 1.42 8 Jul puts for 40 pips each and bought 1X the 1,42 put for 5 Jul expiration. This position is slightly long delta and had Theta of 414 USD per day. I expect the Theta to drop substancially after the ECB press conference tomorrow.
I will hedge the delta if we break 1.4250 as well.

Gold moved up substancially today, taking out both 1520 and 1530 resitance levels.
I don't think it will expand much further heading into to NFP, so I will keep the Gold structure as it stands for now.

Crude had a successful test of the 96 break out level (now support) early on in the sessiosn and it looks rather bullish now for a test to break 98 key resistance. Looks tempting to put on a call structure above 98 and trade against it in the futures, cause I see 98.35 level as the pivot level now. Will see if we can get a test of 98 or so over the next few sessions to put on a trade.
Crude oil Aug futures chart below.

See complete trading log here

Market Report Tuesday 6th of July

2011-07-06T09:23:00.000-07:00

See the full pdf version here

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Portugal was downgraded to junk (Ba2) by Moodys yesterday and the European debt crisis suddenly back in focus, sending the Euro lower down below the 1.4350 support today. The market remains very news driven. The downgrade of Portugal was based on the view that Portugal will not be able to borrow as sustainable levels in 2013 and might need a second round of bailout. It seems to me that the rating agencies are now doing a better job than before the financial crisis at least, where they got way behind the curve on many fronts.
There seems to be a lot of indecisive comments out of Euro zone of late. I see a headline this morning that Germany wants to have another look at the Greek swap idea, which earlier ECB was opposed to. See link below:
http://www.reuters.com/article/2011/07/06/us-eurozone-germany-greece-idUSTRE7651N120110706
I just repeat my comment from yesterday, which I still stick to: “My thinking is that the European debt crisis will not go away quickly and probably come back to hit us sooner rather than later. We have had a nice rally in the S&P 500 over the last 2 weeks, but from here it will be more difficult to go higher in my opinion. With the QE2 over as well, the support for the equity markets could be thin during the summer months. Technically the 1340 resistance is an important level to get above to continue to the upside. I suspect a lot of traders looking to short up around the 1330 to 1340 and stops above 1361.75, the yearly high. It would be healthy for the rally to get some kind of pullback before going higher, if not I am afraid the selling pressure will get too big on any break higher. Friday’s break out level of 1317 is now support.”
EURCHF have corrected lower and slightly below the 1.2050 support level now at 1.2030. To me this level seems to be attractive level to have a look at the long side again for another drive to 1.22.
I am still looking to add some type of position in Corn following the huge sell off week, but I have not made up my mind what the position will be yet. I will come back on that during the next few sessions.
Today’s calendar (CET):
16.00 US ISM (non manufacturing)
02.30 Aussie employment data
The DOE Crude oil inventory and the US ADP report will be released tomorrow due to the holiday shortened week.

Looking at a few interesting points in the markets trading wise:
- 76,4% Fibonacci retracement of the 1361.75 – 1252.25 move comes in at 1336, which was right around the Friday’s high (1336.50). The high from 31st of May at 1340.25 is the next key target. Break out level of 1317 is now key support.
- Crude punching through the 96.00 resistance yesterday, next key level is 98.00.
- Silver bouncing off the lower end of the last month’s range of 32.75 to 38.76. Can we head back up towards the upper end of the range?
- Gold have broken above 1502 key resistance, next upside target is 1520. Target met and next level is 1530.
- Key resistance in Euro up at 1.4564, which I expect to hold for the next 2 sessions. Spot on yesterday with that view and we are down below 1.4350 today.

Technical’s and comments

Euro: We are back below 1.4350 after the Portugal downgrade yesterday. The resistance levels today are the low from 7th of June at 1.4564 and the high from the same day at 1.4695. We have a series of support levels from 1.4320 down to 1.4237.
Cable: We failed towards 1.6140 again yesterday. Looks likely we will drive down lower again with support at 1.5990 followed by 1.5910. I don’t expect to see a break below 1.59 before the Bank of England rate announcement tomorrow.
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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: Have resistance at 0.85 at the moment, which is the pivot level in this pair for now I think. Bearish below this level and bullish above.
AUDUSD: We have strong resistance around the 1.0750 level, so would not chase the price action above that level. The buy in level of 1.0550 or so is the place I would look to try long again.
USDCAD: Rapid move lower and I think it makes sense to wait for a rally back up towards 0.9730 or to get short again.
S&P Future (ES): We have key resistance up at 1340.25 and minor resistance at 1337 (yesterday’s high). Looks overbought and selling rallies below 1340 looks the most attractive today. There is a potential double top on daily chart if we fail towards the 1340 level. If we break 1340, I would reverse to look long. Key support is not Friday’s break out level of 1317.
Gold: Break above 1520 opens for 1530 and higher next. I would look to buy if we see any dip towards 1515.
Crude oil: Took out the 96 key resistance yesterday and this 96 level held on the test lower this morning. That is bullish confirmation for me and looks like we will test next key resistance at 98 next. Key support is now down at 96. If we break below 96, the risk is for stop loss festival will send it 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.

Trading recapTuesday 5th of July

2011-07-05T14:10:00.000-07:00

Good evening,
Take a look at the latest trading log here

The S&P 500 futurs traded to a high of 1337 today, 0.50 points above Friday's high. Today's volume was relativly very low, 1.377m S&P 500 Emini contracts traded, which is the lowest volume day since the September became the front month. The next key resistance is now the 1340.25 high from 31st of May. Technically the bullish momentum is strong above today's low at 1329.25. The key support is down at the 1317, the break out level from Friday.

Trading wise I added one more 1320 put for 15 of July expiration, because I think the risk on theme will be supported for another few sessions and that is a decent hedge against the short 1340 Aug and 1350 Aug calls.

Crude had a nice break out above 96 key resistance and I went long at 96.05 and took profit at 96.50.

I also closed the Euro structure for a total profit of 237 USD on the 2 put spread done over the last week. Given that we didn't see the move towards 1.4350 I was looking for it was decent as the % payback on the premium paid was 54%.

In general I like to put my main focus on making money and not so much about being correct on all the analysis. The point is that the risk management and position adjustment are very important. Because most of the time I will not be spot on with the analysis, so it becomes very important to be able to make money even though one is a bit off on the market analysis.

Good luck

Market Report Tuesday 5th of July

2011-07-05T11:55:00.000-07:00

See the full pdf version here

Daily Market Report for Tuesday 5th of July 2011
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Very quiet day yesterday with the US markets closed in observance of Independence Day. It seems like the “risk on” theme continues this morning and we are heading back up in the metals and crude. Both gold and crude have broken above key resistance levels, 1502 and 96.00 respectively. It is key now that these gains hold and not get any kind of sell off into the close, because that would really invite for sellers to take over. Euro is not doing too much to the upside yet, but given that we are in the upper end of the recent range I think we need to get some fresh news to extend above the 1.4564 resistance level. We have ECB and US NFP report later this week, which are the next major events on the economic calendar.
My thinking is that the European debt crisis will not go away quickly and probably come back to hit us sooner rather than later. We have had a nice rally in the S&P 500 over the last 2 weeks, but from here it will be more difficult to go higher in my opinion. With the QE2 over as well, the support for the equity markets could be thin during the summer months. Technically the 1340 resistance is an important level to get above to continue to the upside. I suspect a lot of traders looking to short up around the 1330 to 1340 and stops above 1361.75, the yearly high. It would be healthy for the rally to get some kind of pullback before going higher, if not I am afraid the selling pressure will get too big on any break higher. Friday’s break out level of 1317 is now support.
CHF out performing this morning as the recent losses corrects a bit. I reckon the next level to look long is around in the 1.2050 in EURCHF.
I am still looking to add some type of position in Corn following the huge sell off week, but I have not made up my mind what the position will be yet. I will come back on that during the next few sessions.
Looking at a few interesting points in the markets trading wise:
- 76,4% Fibonacci retracement of the 1361.75 – 1252.25 move comes in at 1336, which was right around the Friday’s high (1336.50). The high from 31st of May at 1340.25 is the next key target. Break out level of 1317 is now key support.
- Crude punching through the 96.00 resistance today, next key level is 98.00.
- Silver bouncing off the lower end of the last month’s range of 32.75 to 38.76. Can we head back up towards the upper end of the range?
- Gold have broken above 1502 key resistance, next upside target is 1520.
- Key resistance in Euro up at 1.4564, which I expect to hold for the next 2 sessions.

Technical’s and comments

Euro: The break above 1.45 Friday opens for an extension higher as I think we will see the risk on theme continue going into the NFP report Friday. The resistance levels today are the low from 7th of June at 1.4564 and the high from the same day at 1.4695. We have support at the 3 days’ low of 1.4436.
Cable: Looks like a better choice to short GBP than Euro at the moment as we have broken above the key resistance level at 0.90 in EURGBP. First upside level to get short I figures is around the 1.61 level and stop above 1.6150 or so.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: Have resistance at 0.85 at the moment, which is the pivot level in this pair for now I think. Bearish below this level and bullish above.
AUDUSD: We have strong resistance around the 1.0750 level, so would not chase the price action above that level. The buy in level of 1.0550 or so is the place I would look to try long again.
USDCAD: Rapid move lower and I think it makes sense to wait for a rally back up towards 0.9730 or to get short again.
S&P Future (ES): We have key resistance up at 1340.25 and minor resistance at 1336. Looks overbought and selling rallies below 1340 looks the most attractive today. If we break 1340, I would reverse to look long. Key support is not Friday’s break out level of 1317.
Gold: Falling resistance of 1502 was taken out this morning, this opens for a run towards 1520 resistance next.
Crude oil: Took out the 96 key resistance this morning and it is key that we hold the gains today into the close to open for higher levels. The next key resistance is 98. Key support is still down at 92.90.

________________________________________
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.

Trading log update 18:20 CET Tue 5th July

2011-07-05T09:30:00.000-07:00

Good afternoon,
I have updated the trading log with today's trades so far.
One Crude oil intra day trade for 225 USD and I have closed out the Euro options for a 237 USD profit. Paid 250 USD for that strucuture and made 262, so all in all decent All in I made 237 USD on those 2 Euro options structure that will be booked today.

See the trading log here

Trading recap 4th of July

2011-07-04T15:58:00.000-07:00

Did just one trade today, sold 1x 1320 puts for expiration at 15 July for 8,75 points.
My thinking is that the risk on from last week will extend towards the NFP report out Friday. That will be the next big event risk in my opinion.
We need to see a recovery in the US jobs market to see any new yearly highs in the S&P 500. The latest trend of the US data have been for a slight recovery, meaning the weak set of data that we seen for a few months is about to reverse for the better. Seems like the market is pricing in a decent NFP report now. Another weak number would definately cause the biggest potential move.

The updated trading log can be seen here

Good luck

Market report Monday 4th of July

2011-07-04T15:46:00.000-07:00

See full pdf version here

The ISM came out better than expected Friday and the prices paid component came in lower than expected. A perfect mix for more “risk on”. This was confirmed by the break above 1317 in the S&P 500 futures and I would not be surprised to see an extension in “risk on” throughout the next few sessions as we are heading towards the release of the US non-farm payrolls (NFP) on Friday, which is big joker card. I think we need to see an improvement in the NFP report from last month’s weak 54k and preferably an upward revision to last month’s number to have a shot at breaking the yearly high in the S&P 500 futures at 1361.75. The expectations on the NFP range from +50k to 160k.
The next 12bn Euro tranche of aid to Greece was approved over the Weekend by the Eurogroup.
http://www.telegraph.co.uk/finance/financialcrisis/8612594/Greeces-latest-aid-injection-approved-by-eurozone-finance-ministers.html
This of course helps the risk sentiment as well. However I am not sure we have seen the last of the Greek story this week as comments out of S&P this morning says they would consider the voluntary swap of Greek bonds to longer maturities as proposed by France would indeed be looked upon as a default. This would basically mean that ECB cannot long accept Greek government paper as collateral and this would mean we have a Greek bank crisis on our hands. So, I will keep watching the news and stay flexible going forward as things can change for the worse instantly.
The latest risk rally has seen Swiss Franc getting crushed across the board and EURCHF is above 1.23 this morning. The weak Swiss PMI on Friday of course helped a lot too. Looks to me like SNB will lag behind ECB to raise rates and therefore the CHF should weaken further. I called this rally last week and said it would trade to at least 1.22 when it was at 1.19. I favor more upside medium term as the CHF looks very expensive in my opinion. Near term a dip lower ahead of 1.2350 looks likely.
Crude did indeed trade lower start of Friday as I expected after the failure to take out the 96 resistance for 2 consecutive days (Wednesday and Thursday). We got to a low of 93.45 before the ISM release put a solid bid that took us back up to close at 94.92. The key falling resistance is coming in at 95.25 today and would like to see a daily close above this trend line to look for a leg higher. Key resistance remains 96. A move below 92.90 support would open for a deeper move lower.
I am still looking to add some type of position in Corn following the huge sell off week, but I have not made up my mind what the position will be yet. I will come back on that during the next few sessions.
I expect today’s sessions to be very range bound as the US markets are closed in observance of Independence Day and no major economic news scheduled this afternoon. We have the RBA rate announcement at 06:30 tomorrow morning, no change is the market expectation.

Looking at a few interesting points in the markets trading wise:
- 76,4% Fibonacci retracement of the 1361.75 – 1252.25 move comes in at 1336, which was right around the Friday’s high (1336.50). The high from 31st of May at 1340.25 is the next key target. Break out level of 1317 is now key support.
- We have Independence Day in the US on Monday, meaning the US market is closed.
- We still have key resistance at 96 in Crude and could be interesting to place some buy stops just above that level to look for a stop drive higher if that level gets broken.
- Silver is approaching the lower end of the last month’s range, range 32.75 to 38.76.
- Gold is bearish below the falling resistance at 1502 today.
- Euro’s break above 1.4500 opens for a test of key resistance at 1.46, expect dips to be supported towards 1.4450 to be supported the next few sessions.

Interesting headlines:
EU Rescue Effort May Prompt Greek Default Rating - Bloomberg
http://www.bloomberg.com/news/2011-07-04/greek-rescue-effort-by-europe-may-earn-the-country-default-rating-from-s-p.html

S&P deals blow to Greek bail-out plan - FT
http://www.ft.com/intl/cms/s/0/e69610e4-a60a-11e0-8eef-00144feabdc0.html#axzz1R95wOA4I

Economic Outlook: Focus returns to US jobs – FT
http://www.ft.com/intl/cms/s/0/8bc8de8a-a3e9-11e0-9f5c-00144feabdc0.html#axzz1R95wOA4I

A Brady plan to end Europe’s crisis – FT
http://www.ft.com/intl/cms/s/0/dd0ad29c-a5a3-11e0-83b2-00144feabdc0.html#axzz1R95wOA4I

Technical’s and comments

Euro: The break above 1.45 Friday opens for an extension higher as I think we will see the risk on theme continue going into the NFP report Friday. The resistance levels today are the low from 7th of June at 1.4564 and the high from the same day at 1.4695. We have risings support at 1.45 followed by 2 days’ low at 1.4436.
Cable: Looks like a better choice to short GBP than Euro at the moment as we have broken above the key resistance level at 0.90 in EURGBP. First upside level to get short I figures is around the 1.61 level and stop above 1.6150 or so.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: Strong move higher in the EURCHF as we are once again above the 1.2300 level. Medium term I expect the CHF to underperform vs. Euro as SNB will be lagging ECB on the rate hiking front. Have resistance at 0.85 at the moment, which is the pivot level in this pair for now I think. Bearish below this level and bullish above.
AUDUSD: We have strong resistance around the 1.0750 level, so would not chase the price action above that level.
USDCAD: Rapid move lower and I think it makes sense to wait for a rally back up towards 0.9730 or to get short again.
S&P Future (ES): Ended yesterday higher as I expected, although a bit higher then I had anticipated. Have key falling resistance from the yearly highs coming in at 1317. Expect a move lower to 1292 support over the next 3 sessions.
Gold: Broken to the downside technically and next downside target is 1464. I would not go short at current levels as we have seen plenty of bounces in this region. If long I would prefer to use options or possibly long futures and sell some calls against the long futures to give a bit more flexibility.
Crude oil: Failed at 96 resistance on 2nd consecutive days last week. We have interim falling resistance at 95.25 today and would like to see a daily close above this level to get me excited about a possible rally. Key support is 92.90.

________________________________________
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.

Trading recap Friday 1st of July

2011-07-02T03:00:00.000-07:00

I was looking for a down move in S&P 500 and Euro today and it started in that direction at the start of the US session, looking like risk was coming off a bit in the early part of the US session. Then we had the US ISM coming out better than expected and S&P just blew out the 1317 resistance on the spike following the release. At the end of the day S&P 500 emini futures closes up 19,75 points or 1,50% at 1334.75. We closed right at the 61,8% Fibonacci retracement of the 1361 to 1252 move.
Last Friday, the S&P 500 futures closed at 1262 and the world was looking terrible with all kinds of default and one week later everything is all good and we are less than 30 points off the yearly high. What a turn around.
We have the long weekend now with the US markets closed on Monday, Independence Day. I expect the market to contiune to be choppy, but near term it feels like more upside is on the cards

I have updated the trading log here
Did quite a bit of adjustments to the S&P 500 emini structure as the move lower didn't happen.
Sold calls at 1340 and 1350 for August expiration, which basically means we need to see a move above the yearly high to make those positions lose money.

Good luck

Market Report Friday 1st of July

2011-07-01T05:30:00.000-07:00

see full pdf version here

Daily Market Report for Friday 1st of July 2011
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The quarter ended with a good move to the upside in the S&P 500 futures once again as we tend to see toward quarter end. The S&P 500 was basically flat for the quarter (-0,39%) and is up 5,01% for the year. We have now rallied just more than 50 points in the S&P 500 futures since Friday, not bad. It does looks overbought now and it will be interesting to see if it can continue the rally and take out that falling key resistance from the yearly high, which is coming in at 1317, see chart of the S&P 500 emini futures below how that trend line is clear resistance now. I favor a move back to the 1292 support over the next 3 sessions.

Corn had a huge move lower today following the USDA acreage report, which totally caught the market on the wrong foot. We had no limit in the July contract and it closed down by 69 cents, 9,9%. That is just nuts. http://www.bloomberg.com/news/2011-06-30/wheat-plunges-to-11-month-low-corn-drops-after-u-s-reports-acreage-gains.html

I am considering setting up a trade (options) looking for somewhat of a retracement of yesterday's drop, but I first want to see that corn can stabilize a bit and not continue the melt down. Will come back to that over the next few sessions over Twitter, where I publish my trades in real time.
Another chart I found pretty interesting is the Crude oil chart. We have a strong bounce off that 89.69 low last week up to test the key resistance at 96. However it failed 2 consecutive days to get above the 96 level and I now fancy a move lower back to the 92.90 support. Take a look at the chart below and you see that 96 is the key pivot level, with both a prior daily high and a falling resistance line in that region.

I am a bit surprised to see gold and silver performing so weak over the last few days. When we see risk bid gold and silver seems to be lagging and not able to get any real momentum. Looking at the chart it shows the reason. We have taken out the interim support and broken to the downside of the triangle that we have been trading inside for the last 2 months. Looks like we can test 1464 next.
A key factor can be that interest rates have moved up along the curve, making it less attractive to hold gold and silver as they are not generating any cash flow, so when the interest rates rises it becomes more attractive to hold Treasuries compared to Gold. Looking at the correlation between gold and US 10 year Treasury futures the prices are pretty correlated, meaning lower interest rates is bullish for gold and vice versa. But who really cares about the reason for moving lower? Price action is always the king.

Looking at a few interesting points in the markets trading wise:
- Key resistance 1317 in the S&P futures and I am looking for move back to 1292 support over the next 3 sessions.
- We have Independence Day in the US on Monday, meaning the US market is closed.
- Crude failed at 96 for the second consecutive day yesterday; expect a dip towards 92.90 support.
- Silver is approaching the lower end of the last month’s range, range 32.75 to 38.76.
- Gold has broken to the downside and looking for a test of the May low at 1464 next.
- Euro is looking overbought; I fancy a move back to the 55 exponential moving average at 1.4330 near term.

Today’s calendar:
15:55 US Michigan Sentiment
16:00 US Construction Spending
16:00 US ISM PMI

Over the weekend, the EU and IMF will meet to decide on the 5th loan tranche to Greece.
Interesting headlines:
State is now dominant force in US capital markets - The FT -
http://www.ft.com/intl/cms/s/0/638185f8-a303-11e0-a9a4-00144feabdc0.html#axzz1QQh2MtL3

Greece approves second part of controversial austerity bill - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8609534/Greece-approves-second-part-of-controversial-austerity-bill.html
Emerging markets could be the new safe haven for investors - The Telegraph -
http://www.telegraph.co.uk/finance/economics/gilts/8606635/Emerging-markets-could-be-the-new-safe-haven-for-investors.html
German Banks Agree to Greek Aid Deal - The WSJ -
http://online.wsj.com/article/SB10001424052702304584004576417252315650580.html?mod=WSJEurope_hpp_LEFTTopStories
Belgium: Give Greece More Money - The WSJ -
http://online.wsj.com/article/SB10001424052702304584004576417752396628850.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Trichet Against Non-Voluntary 'Debt Action' - The WSJ -
http://online.wsj.com/article/SB10001424052702304584004576417161986363634.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
QE2′s Winners and Losers - The WSJ -
http://blogs.wsj.com/marketbeat/2011/06/30/qe2s-winners-and-losers/
Senate Democrats Invite Obama for Debt Talks - The WSJ -
http://online.wsj.com/article/SB10001424052702304584004576417650015732130.html?mod=WSJEUROPE_hps_sections_news
A Case When Buying Time Worsens the Burden - The WSJ -
http://online.wsj.com/article/SB10001424052702304450604576417921818436698.html
Greece can be saved – here’s how to do it - The FT -
http://blogs.ft.com/the-a-list/2011/06/30/greece-can-be-saved-heres-how-to-do-it/#axzz1Qo3dyAOj
Geithner talks of quitting US Treasury - The FT -
http://www.ft.com/intl/cms/s/0/b7c0038a-a342-11e0-8d6d-00144feabdc0.html#axzz1QQh2MtL3
Japan’s Tankan Deteriorates to Worse-Than-Expected Minus 9 on Quake Impact - Bloomberg -
http://www.bloomberg.com/news/2011-06-30/japan-s-tankan-deteriorates-to-worse-than-expected-minus-9-on-quake-impact.html

Technical’s and comments

Euro: I expect the falling resistance to hold and a move back into the range, targeting the 55 EMA at 1,4330. Might be interesting to look at some downside option plays?
Cable: Looks like a better choice to short GBP than Euro at the moment as we have broken above the key resistance level at 0.90 in EURGBP. First upside level to get short I figures is around the 1.61 level and stop above 1.6150 or so.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: Strong move higher in the EURCHF as we are once again above the 1.2250 level. Expect gains in the EURCHF to be much slower going forward. Given that I think we see a move lower in the S&P next it could be interesting to look at a downside play in USCHF near term. Have resistance at 0.85 at the moment.
AUDUSD: We have strong resistance around the 1.0750 level, so would not chase the price action above that level.
USDCAD: Rapid move lower and I think it makes sense to wait for a rally back up towards 0.9730 or to get short again.
S&P Future (ES): Ended yesterday higher as I expected, although a bit higher then I had anticipated. Have key falling resistance from the yearly highs coming in at 1317. Expect a move lower to 1292 support over the next 3 sessions.
Gold: Broken to the downside technically and next downside target is 1464. I would not go short at current levels as we have seen plenty of bounces in this region. If long I would prefer to use options or possibly long futures and sell some calls against the long futures to give a bit more flexibility.
Crude oil: Failed at 96 resistance for the 2nd consecutive day yesterday. I now look for a move down towards 92.90 support.

________________________________________
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.

trading recap 30th of June

2011-06-30T16:35:00.000-07:00

The quarter ended with a good move to the upside in the S&P 500 futures once again as we tend to see toward quarter end. We have now rallied just more than 50 points in the S&P 500 futures since Friday, not bad. It does looks overbaught now and it will be interesting to see if it can contiune the rally and take out that falling key resistance from the yearly high, which is coming in at 1317.

Corn had a huge move lower today following the USDA acreage report, which totally caught the market on the wrong foot. We had no limit in the July contract and it closed down by 69 cents, 9,9%. That is just nuts. http://www.bloomberg.com/news/2011-06-30/wheat-plunges-to-11-month-low-corn-drops-after-u-s-reports-acreage-gains.html

I am considering setting up a trade (options) looking for somewhat of an retracement of today's drop. Will come back to that over the next few sessions.

Trading wise I did plenty of adjustments in the S&P 500 emini futures. See the log for all trades. The 1300 short puts expired out of the money, giving me the total premum collected in profit. Had to buy back the 1280 calls though as the market gained momentum to the upside. My thinking is that we should see a dip back down to 1292 next 3 sessions, which I am positioned for. If we break higher above 1317 I need to hedge more delta, so we will see what the market brings. I also sold 2x 1340 calls for August expiration at 15 per contract, thinking that the upside should go much slower from here, so should be able to get out quite a bit of time value on those.

I also added one more put spread in the Euro right before the close. I think we will trade down towards the 1.43 to 1.4250 level pretty quickly again.

See full list of trades here

Good luck

Trading log updated 13:30 CET

2011-06-30T04:59:00.001-07:00

I have posted the updated trading log including today's trades (ES options marked in red).

See trading log here

trading recap Wednesday 29th of June

2011-06-30T01:32:00.001-07:00

Complete trading log here

Another up day in the S&P 500 and we have now rallied very strongly off that low of 1261 on Friday last week. A few things that I want to point out. We have 50% Fibonacci retracement of the 1361 to 1252 move comes in at 1307, which is now the next resistance level. See S&P 500 emini daily chart below.

The 60min chart below looks pretty overbought and I don't think much has really changed the last few days. The Greek austerity vote is of course positive, but the upside from here is probably a bit more difficult than the bounce we have seen from 1250 area a few times now. I see chance for a pretty quick dip towards 1292 support over the next few sessions. A daily close below 1292 would be bad news for the bullish momentum. I am positioned for a dip in the options structure I have on in the S&P, so I don't want it to go above this 1307 resistance.

Trading wise I closed out the corn structure for a total of 837,50 USD in profit. The reason is simply that we have the USDA Acerage report out before the open tomorrow and I see the risk for a pretty big move in either direction, so not interested in playing that joker card as I have no strong bias on the outcome of that report.

Crude oil rallied strongly following DOE crude inventory data showed a larger than expected draw and got well above 94.07 gap we had on the daily chart. Next key resistance is the 96 level.

Trading recapTuesday 28th of June

2011-06-28T13:37:00.000-07:00

Another risk rally today and the S&P 500 emini (ES) futures closed at 1294,25 just above last week's high of 1293,75. This give us a higher low and a higher high on the daily chart. See daily ES chart below

Had to hedge more delta as we gained momemtum to the upside in the ES. I still see the 1294 to 1295 as the key resistance at the moment. We have not really broken clean to the upside yet, just one point is not enough to convince me to put it that way. Although the rally has been quite strong off that 1261,25 low from Friday as you can see on the hourly chart, we only have 2 down bars last 2 sessions.
60 min chart

I made some adjustements to my ES options structure as I bought back the 4x 1270 exp 30 June calls and closed the 2 long futures and instead I sold 2X 1295 exp 30 June calls instead and sold 2x 1310 July calls (exp 15 Jul). My thinking is that if we break above 1295 by 2 points or so the market so have further upside potential. While below 1295 I still see risk for a move lower. Therefore I postioned myself for that scenario by using those options to express that instead of being purely short in the futures. The futures have traded fairly choppy last week and been tricky in my opinion. This options position give me a bit more margin for error so to speak.

I also closed out the Euro structure for 1100 profit today, so that is good.

Full list of the trading log here

Good luck

Market Report Tuesday 28 of June

2011-06-28T09:41:00.001-07:00

Full pdf version with links

Risk on yesterday and seems like it will continue today, at least that the moment with the S&P 500 emini futures trading up 8.50 points at 1284.75. That is well of the low we saw Friday at 1261.25. So it appears that we have once more bounce off that 1250 to 1260 support zone. The key level to get above now in my opinion to open for a larger rally is 1294, as that would make a higher low and higher high on the daily chart. Last week’s high was also 1293.75.

The market is very much news driven and the market is closely following the developments in Greece. We will have the austerity vote as the major event this week. My view for some time has been that the only likely outcome of the Greece story will be a structured or outright default. I just don’t see it possible for Greece to pay back the mounting debt they are accumulating within a reasonable timeline.
The US debt limit discussion is also another event risk on the horizon to keep an eye on going forward.
I also see there has been another bank failure in Denmark over the last days, Fjordbank Mors, a regional bank.
http://www.independent.ie/business/european/bondholders-face-losses-as-another-danish-bank-fails-2806921.html

Back the markets and what I am looking at this week.
Gold is looking interesting I think for a possible rebound

Looking at a few interesting points in the markets trading wise:
- Looking for a rebound in Gold towards 1520 over the next few sessions
- US 10 year futures is looking overbought and downside target is 123’20
- Euro has key resistance at 1.4496 that I think will be difficult to take out this week
- EURCHF looking very attractive to get long for a move back above 1.22
- Crude oil looks interesting to buy on dips above 89.50 for a move back to 93.80
- Corn looks oversold, first upside target is 690

Today’s calendar:
16.00 US consumer confidence
18.45 Bank of Canada Dep. Gov. Cote speaks
19.00 Fed's Fisher speaks
01.50 Japan industrial production

POMO, at 16:15 to 17:00, scheduled of $4 - $5 billion to be bought by NY Fed.

Interesting headlines:
Finance Minister Seeks Votes for Greek Austerity Plan - The WSJ -
http://online.wsj.com/article/SB10001424052702304314404576411462370052974.html?mod=WSJEurope_hpp_LEFTTopStories

Extent of local debts in China laid bare - The FT -
http://www.ft.com/intl/cms/s/0/1e47d528-a092-11e0-b14e-00144feabdc0.html#axzz1QQh2MtL3

Five biggest threats to the US economy - The Telegraph -
http://www.telegraph.co.uk/finance/economics/8601623/Five-biggest-threats-to-the-US-economy.html
Greek minister warns of 'catastrophe' if parliamentary revolt leads to austerity bill being blocked - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8600703/Greek-minister-warns-of-catastrophe-if-parliamentary-revolt-leads-to-austerity-bill-being-blocked.html
A Greek debt buyback would avoid the dreaded default - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8599992/A-Greek-debt-buyback-would-avoid-the-dreaded-default.html
China is building a better future for all - The Telegraph by Wen Jiabao
http://www.telegraph.co.uk/news/worldnews/asia/china/8601734/China-is-building-a-better-future-for-all.html
Greek Debt Talks Widen - The WSJ -
http://online.wsj.com/article/SB10001424052702304314404576411730186291402.html?mod=WSJEurope_hpp_LEFTTopStories
Greek Bond Buybacks Discussed at Meeting - The WSJ -
http://online.wsj.com/article/SB10001424052702303627104576411891577670756.html?mod=WSJEurope_hpp_LEFTTopStories
Gold Can't Hold $1,500 - The WSJ -
http://online.wsj.com/article/SB10001424052702304447804576411391861041346.html?mod=WSJEUROPE_hps_LEFTTopWhatNews
Euro Makes Gains on Greek Hopes - The WSJ -
http://online.wsj.com/article/SB10001424052702304447804576410682053899822.html?mod=WSJEUROPE_hps_sections_markets
U.K. Only Semi-Detached From Euro Zone's Troubles - The WSJ -
http://online.wsj.com/article/SB10001424052702304447804576411690944730546.html
Dollar seen losing global reserve status - The WSJ -
http://www.ft.com/intl/cms/s/0/23183a78-a0c6-11e0-b14e-00144feabdc0.html#axzz1QQh2MtL3

EU ‘Brady bonds’ plan for Greece - The FT -
http://www.ft.com/intl/cms/s/0/7c1a1f94-a0a6-11e0-b14e-00144feabdc0.html#axzz1QQh2MtL3

Give Greece time to prove it can do the job - The FT - By George Papaconstantinou
http://www.ft.com/intl/cms/s/0/fc16c638-a0f2-11e0-adae-00144feabdc0.html#axzz1QQh2MtL3

Obama Targets $72 Billion Business Tax Break - Bloomberg -
http://www.bloomberg.com/news/2011-06-27/obama-targets-72-billion-business-tax-break-republicans-balk.html

Technical’s and comments

Euro: The next level of key resistance is 1.4380 to 1.44, with 2 week high of 1.4496 as the big level to the upside for now. To the downside we have followed by 1.4230 and key support at 1.4150. This pair is very choppy and not my favorite market to trade at the moment. If I had to pick direction I would still look to sell rallies.
Cable: Prefer to sell rallies in this pair at the moment with 1.6040 as the first level that I see as a potential entry level.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: I expect the CHF to underperform Euro as the 1.20 EURCHF looks very rich in CHF terms. So maybe better to play Euro is negative on USD. Swissy is bearish below 0.8500 for now, looking for 0.8300
AUDUSD: Buying on dips above 1.04 looks the most interesting for now. Look out for any stock market sell off as a trigger to get out of longs.
USDCAD: Still favor selling rallies for a move back below 0.9700. If we break above 0.9900 this view would be wrong I reckon.
S&P Future (ES): Good upside momentum yesterday and this morning, but I reckon we must see a daily close above 1294 to really get bullish. A daily close above 1294 would give us a higher low and higher high on the daily chart, which should open for more upside. Key support is 1260, followed by 1250 now.
Gold: Looks interesting to be long above 1490 with relatively tight stop.
Crude oil: Buy on dips above 89.50 I reckon for now and looking for a rally towards the resistance at 93.80 near term. Need to see a daily close above 95.50 to open for an extension to 98.50 near term. A daily close below 89.50 would be negative and would not hold long if we break below this level.
________________________________________
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.

Trading recap Monday 27th of June

2011-06-28T06:43:00.000-07:00

The S&P500 put in a nice rally Monday to get above the key 1277 resistance, which forced me to hedge som delta on the 1270 short calls I have on for expiration 30 June. I also bot back the 1300 calls that I sold last week for a gain of 610 USD, pretty decent. Why I bot them back? Because they were trading for 0.90 per contract = 45 USD per contract. I see no point keeping them on in case we got a rally to make another 45 USD per contract. That would be bad risk management in my opinion. I also sold 2 contracts of the 1280 calls for expiration 30 June, receiving 8 points per contract = 800. My view is that unless we rally above 1294, the next leg is down, therefore I want to be short delta to express a bearish bias that I hedge if I am wrong of course. Since the market is so jumpy at the moment it feels better to have the options structure than a pure short futures position. As this options gives me a bit more flexibility.
Otherwise I did one crude long, buying in below 90 USD level that has been support a few times before, made 35 cents on that long = 175 USD.
I will close out the Euro positions from Friday on Tuesday.

The entire trading log can be found here

Good luck

Recap Friday 24th of June

2011-06-24T14:27:00.000-07:00

The week overall turned out very nice and the best so far, + 5225 USD (5,225%), very good indeed. The major contributor was the crude oil structure that took in 4017.50 USD.

See complete trading log

Very choppy day again as the headline continue to dominate the markets. As mentioned in the mid-day update the IFO release sent the Euro back up after overnight weakness. Only to fall back down on various comments and halting of Unicredit and Intesa stocks in Milano after they fell more than 3%.
The choppyness in the Euro forces us to hedge back and forth and pretty much took out the profit potential and I was excersised on the 1.42 puts, which has given me long 2 futures at 1.42. I am short mini Euro futures to hedge this exposure, total of 4 mini futures, so they are fully hedged. I will close all this positions on Monday and then add up the total for the structure.
The S&P 500 emini structure I had on turned out pretty well. I did get thrown out a bit on the spike higher on the US GDP release today, which was slightly better than last estimate. However I was able to get back in short pretty quick, so it had limited impact.
I did add a gold structure today, long 2 futures and short 2 1520 August calls. One of the futures I had on since yesterday. I expect to see a rebound in gold start of next week. If I am wrong I will sell out the futures and keep the calls on and probably sell some puts to create a short strangle.

Have a nice weekend

Trading log update 13:20 CET Friday 24 June

2011-06-24T04:27:00.000-07:00

The trading log have been updated to reflect the latest changes.
The market has been very jumpy this morning and pretty much headline drive once again.
The Euro had a weak tone overnight, then a stronger than expected IFO sent it pretty much 90 pips straight up. Then news out of Italy that Unicredit and Intesa has been suspended after their shares falling about 3%. In addition ECB's Paramo comments that recovery is subject to high uncertainty.

This market climate is a bit more jumpy than I prefer, so I will likely make further adjustements especially to the S&P emini structure as we approach the US market open.

Link to trading log: here

Good luck

Recap Thursday 23rd of June

2011-06-23T18:21:00.000-07:00

It was a very volatile and once more news driven session. We had the intial weakness that I pointed out in the report yesterday, which saw us gap lower at the open in the S&P 500 by 12.75 points. Pretty much risk off in the morning as we saw Crude oil take a bit hit on news that US will release 60 million barrels of strategic reserves to help the tight supplies. Crude traded below 90 USD briefly. I reckon the market reaction is a bit overdone given the fact that US is consuming about 25 million barrels per day. Anyway, the market is always right and down the Euro went as well. Corn also opened about 30 points down, but had a huge turn around and actually closing up a few points. That is a crazy comeback. We still have the key USDA release 30th of June, keep that i mind. Could see a big move on that release.
Trading wise I did a fair amount of trades, please check out the log to see all the trades, today's trades have been marked in red.
trading log

The most important for today was that I closed the Crude oil structure that I have had on for about a week and a half, making 4017,50 USD on that one, very nice.

Trading log update 19:20 CET Thursday 23 June

2011-06-23T10:24:00.000-07:00

Ok, the crude structure have now been closed out for a very decent 4017,50 USD profit. Today's trades have been posted in red.

Trading log

Good luck

Trading log update 13:20 CET Thursday 23 June

2011-06-23T04:27:00.000-07:00

Good day.
I have updated the trading log with today's trades made so far. So you have a clear overview what positions are open going into the US open.

Good luck

Trading log

Trading recap for the Twitter trades Wednesday 22nd of June

2011-06-22T13:55:00.000-07:00

The FOMC came in pretty much as expected and it looks like the rally in risk seen over the last 4 sessions is about to reverse. Reason is that several markets failed at some key resistance levels. S&P 500 futures failed at the 1293 level that I mentioned in the report, which should open for a least 1275. Crude oil failed to take out 96 resistance. Euro failed at 1.4450. So several indicators point to a dip over the next few sessions.
Trading wise I did some minor adjustments in the Crude structure, sold one additional 96 AUG call for 2.30 USD. I also put on a Corn structure, long 2x futures and short 6x 730 Aug calls. No change in the Euro structure, looking to hold that to expiration now unless my stop at 1.4420 in the Sep mini futures is taken out. Ideally we would expire around 1.42 on Friday.
Sold 2x 1300 end of month calls in the S&P 500 emini, receiving 700 USD in total.
Will be interesting to see if we break lower tomorrow as I expect, I am at least positioned for it.

You can see the complete trading log here: trading log
Good luck

Market Report Tuesday 22nd of June

2011-06-22T11:13:00.000-07:00

You can see the full pdf format at this link: market report

Running a bit late on the report today, so will keep it short and sweet.
FOMC just held rates unchanged and signaled that rates will remain low for long, QE2 will expire at the end of the month, but they will reinvest the interest received from the holdings. Pretty much as expected and Bernanke will hold the press conference shortly. We have seen very little market reaction so far to the release.
http://www.bloomberg.com/news/2011-06-22/federal-reserve-to-maintain-record-stimulus-after-ending-asset-purchases.html

Bank of England minutes out earlier was pretty dovish and they signaled that they might need to provide more stimuli in form of bond purchases to help the recovery. GBP sold off pretty hard on the release and it now looks like we will test the 1.6050 key support near term.
http://www.bloomberg.com/news/2011-06-22/boe-voted-7-2-for-unchanged-rate-amid-pressure-for-further-bond-purchases.html

Corn trading limit down at the moment and getting crushed on more fund selling. Soybeans holding up a bit better, but we are now below the key support levels that looked attractive to get long, so be careful. The market is awaiting the USDA acreage report on 30th of June, which is the most important release this time of the year. I expect to see a rather large move on the release.

DOE crude inventories showed smaller than expected stockpiles, which is sending Crude oil futures higher.
We have key resistance at 95.50 that is the key level that we need to see a daily close above to open for move towards 98.50.
http://www.bloomberg.com/news/2011-06-22/crude-oil-fluctuates-in-new-york-before-u-s-supply-report-fomc-meeting.html

Looking at a few interesting points in the markets trading wise:
- Thursday’s low in the S&P futures at 1252 should hold near term and I look for a move to 1293 and possibly 1303. We have already reached 1293, so the next level is 1303 now. I expect to see sellers around 1293, so depends how the price action turns out in the area.
- Crude is a buy on dips above 91.50 I reckon for a move back towards 95.50, I said earlier this week (pretty much spot on)
- USDCAD is approaching the upper end of the recent range and looks like a sell towards 0.9850. Looking for a move back below 0.9700. Getting to a low of 0.9711 today, looking for 0.9650 now.
- Silver trading sideways over the last month, range 32.75 to 38.76.
- Gold is a buy towards 1530 today.

Technical’s and comments

Euro: The next level of key resistance is 1.4380 to 1.44, with last week’s high of 1.4496 as the big level to the upside for now. To the downside we have 1.4300, followed by 1.4250 and key support at 1.4150. This pair is very choppy and not my favorite market to trade at the moment. If I had to pick direction I would still look to sell rallies.
Cable: Key support at 1.6050 and resistance up at 1.6265. Still looks like a sell on rallies towards 1.6265. Selling towards 1.6265 worked out really well, down at 1.6110 now.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: I expect the CHF to underperform Euro as the 1.20 EURCHF looks very rich in CHF terms. So maybe better to play Euro is negative on USD. Swissy is bearish below 0.8500 for now, looking for 0.8300
AUDUSD: RBA signaled that they were in no hurry to raise rates, but still not that much downside action. Buying dips towards 1.0550 looks the most attractive for now.
USDCAD: Still favor selling rallies for a move back below 0.9700. If we break above 0.9900 this view would be wrong I reckon.
S&P Future (ES): Expect the low from Thursday last week at 1252 to hold and we are testing the key resitance at 1293 now that we need to get above to extend the rally to 1303. If we fail here at 1293, we are heading lower again towards 1275 or so I reckon.
Gold: Next interesting level to re buy is around the 1530 level. So, I am waiting for lower level to get involved.
Crude oil: Buy on dips above 91.50 I reckon for now and looking for a rally towards the resistance at 95.50. Need to see a daily close above 95.50 to open for a extension to 98.50 near term. We have minor resistance at 96.30 as well.
________________________________________
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.

Trading recap for the Twitter trades Tuesday 21st of June

2011-06-21T12:30:00.000-07:00

S&P has moved firmly above last week's high at 1287 and testing 1293 this very momenty. There is resistance around the 1293 to 1295 level and I would be surprised if we go higher than this level today, especially given the light volume we are seeing. I figure the larger risk is for a move back lower near term. I have added a put structure to reflect this view selling 1280 put early in the session and will continue to trade short in the futures to hedge delta.
Corn and Soybeans gave up early gains to close in the lower to middle part of the daily ranges. I am still looking to buy Crude on dips, follwing the break above the 2 day high at 94.38 overnight and looking for a move back to 95.50 to 96 over the next few sessions. Although the price action today looks quite heavy and not able to hold above 93.70 on the pullback and diping below 93 earlier. If we close below 93.70 I guess we are looking to go lower tomorrow early on at least.
Added short calls in Aug Crude options at 96 strike, selling 2x contracts for 2 USD. Did some smaller adjustments in the Euro options structure.
We have the Greek no confidence vote tonight and FOMC tomorrow, so there is plenty of unknown event risk.

Click this link to see all updates:
Trading log

Market Report Tuesday 21st of June

2011-06-21T06:34:00.000-07:00

To see the real pdf file, where you can click on all the links, click here:
Pdf file

We have some event risk over the next few sessions with the Greece no confident vote tonight at 23:59 CET and FOMC tomorrow. Overnight volatility in the Euro overnight options reflects this and trading around 18.5% for at the money option. The volatility for the 2 days options, which includes the FOMC is also trading around the same volatility levels for the at the money strikes. Headlines out of Greece continue to dominate the market sentiment and I found this article a bit interesting:
Each Eurozone Household Will Guarantee €1,450 Of Greek Debt By 2014:
http://www.zerohedge.com/article/each-eurozone-household-will-guarantee-%E2%82%AC1450-greek-debt-2014

Fitch out saying than any debt exchange or voluntary rollover of the Greek debt would be a default in their eyes. Fitch also said that US would be put on negative watch if US fail to raise the debt ceiling by August 2nd deadline.
Fitch sees risk of Greece, U.S. debt defaults - Reuter -
http://www.reuters.com/article/2011/06/21/us-fitch-usa-debt-idUSTRE75K0AP20110621?feedType=RSS&dlvrit=56943

The S&P 500 futures are trading higher in the pre-market, up 6.75 points at 1280.25, meaning we are above that gap at 1277.50 that I mentioned as my short term upside objective in the report the last few days. I still think the low from Thursday at 1252 should hold near term. We have falling resistance coming in at 1283 and then last week’s high at 1287 as reference points to the upside. To the downside the yesterday’s low at 1261.25 is a level that should not be broken if we are going to see more near term upside.

The Euro managed to break above the 1.4350 resistance level in thin Asia trading as stops were triggered up to 1.4370. I guess this reminds us that the US situation is also pretty horrible and the choppy price action continues. I think there are other more interesting markets to trade at the moment to be honest. We have the minutes out of Bank of England tomorrow at 10:30, which might be good to keep in mind if trading GBP today. Technically the key resistance at 1.6265 is the level on the upside to watch as any break above this level could see short squeeze.

Both Soybeans and Corn found support in the lower end of the trading range yesterday and I fancy a move higher. The market is awaiting the USDA acreage report on 30th of June, which is the most important release this time of the year. I expect to see a rather large move on the release.
Another thing I would like to mention is that Crude is in a seasonal strong month and both OPEC and DOE estimates point to solid demand going forward. So unless the financial markets fall apart over Greece I think we will be back above 100 USD per barrel fairly quickly.

Looking at a few interesting points in the markets trading wise:
- Thursday’s low in the S&P futures at 1252 should hold near term and I look for a move to close the gap at 1277.50. Looks like we will open above this level today. Next key resistance is 1283 followed by 1287(last week’s high).
- Crude is a buy on dips above 91.50 I reckon for a move back towards 95.50
- USDCAD is approaching the upper end of the recent range and looks like a sell towards 0.9850. Looking for a move back below 0.9700.
- Silver trading sideways over the last month, range 32.75 to 38.76.
- Gold is a buy towards 1530 today.
- Corn and Soybeans are at the lower end of the recent range. Looking for a move higher in both markets this week. Corn upside target is 730 and 1360 for Soybeans. Keep in mind that holding corn or soybeans over the USDA acreage report released at 30th of June could be very risky.

Today’s Calendar (CET):
- 14:50 EU Van Rompuy meets EU Juncker in Luxembourg
- 16:00 US Existing Homes Sales
- 19:00 IMF Lipsky speaks in Berlin
- 19:00 SNB Hildebrand speaks in Zurich
- 23:59 Confidence vote in Greece

RBA Weighs European Debt Crisis, Mining-Fueled Inflation in Holding Rates - BBG -
http://www.bloomberg.com/news/2011-06-21/rba-weighs-european-debt-crisis-mining-fueled-inflation-in-holding-rates.html

As Politicians Debate, Market Is Calling the Shots on Greece - The WSJ -
http://online.wsj.com/article/SB10001424052702304070104576397842101344616.html?mod=WSJASIA_newsreel_markets

IMF Not Negotiating New Greek Bailout: Lipsky- Bloomberg -
http://www.bloomberg.com/news/2011-06-20/lipsky-says-imf-not-negotiating-new-greek-bailout-as-it-weighs-aid-payment.html

Demand for financial services is recovering - The Times - by Anatole Kaletsky
http://www.thetimes.co.uk/tto/business/ceo-summit/article3068415.ece

Europe better have a Plan B to tackle Greek contagion - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8585491/Europe-better-have-a-Plan-B-to-tackle-Greek-contagion.html

How much could Britain pay to bail-out Greece? - Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8586852/How-much-could-Britain-pay-to-bail-out-Greece.html

Germany provides loan guarantees to prop up Greece - The Telegraph -
http://www.telegraph.co.uk/finance/economics/8587679/Germany-provides-loan-guarantees-to-prop-up-Greece.html

EU Links Greece Aid to Budget Cuts - The WSJ -
http://online.wsj.com/article/SB10001424052702303936704576397471366290148.html?mod=WSJEurope_hpp_LEFTTopStories

Foster's rejects $9.5b bid from SABMiller - The SMH -
http://www.smh.com.au/business/fosters-rejects-95b-bid-from-sabmiller-20110621-1gcg6.html#ixzz1PrdVMZxB

The IMF Warns Crisis Is Threat to Broad Upturn - The WSJ -
http://online.wsj.com/article/SB10001424052702303936704576397470527710588.html?mod=WSJEurope_hpp_LEFTTopStories

Delaying Tactics No Help in Greek Tragedy - The WSJ -
http://online.wsj.com/article/SB10001424052702303936704576397713297465414.html

How the Greek debt crisis could slam U.S. savers - The WSJ -
http://www.marketwatch.com/story/how-the-greek-debt-crisis-could-slam-us-savers-2011-06-20

Greece Will Default, But Not Yet - The WSJ -
http://blogs.wsj.com/source/2011/06/20/greece-will-default-but-not-yet/?mod=WSJBlog&mod=thesource

Political union cannot fix the euro - The FT -
http://www.ft.com/intl/cms/s/0/7944de54-9b69-11e0-bbc6-00144feabdc0.html#axzz1PliDoQ3j

Savour the sweet scent of Germany’s success - The FT -
http://www.ft.com/intl/cms/s/0/90a78066-9b8b-11e0-98f2-00144feabdc0.html#axzz1PliDoQ3j

Trades reveal China shift from dollar - The FT -
http://www.ft.com/intl/cms/s/0/2285148c-9b6c-11e0-bbc6-00144feabdc0.html#axzz1PliDoQ3j

Cool reception for Greek debt plan - The FT -
http://www.ft.com/intl/cms/s/0/b1ca2b84-9b65-11e0-bbc6-00144feabdc0.html#axzz1PliDoQ3j

Papandreou Faces Confidence Vote That May Decide Greece’s Fate - Bloomberg -
http://www.bloomberg.com/news/2011-06-20/papandreou-confidence-vote-looms-today-as-world-waits-for-delay-or-default.html

IMF Not Negotiating New Greek Bailout: Lipsky - Bloomberg -
http://www.bloomberg.com/news/2011-06-20/lipsky-says-imf-not-negotiating-new-greek-bailout-as-it-weighs-aid-payment.html

Cameron to Europe: not one penny more - The Times -
http://www.thetimes.co.uk/tto/business/ceo-summit/article3068867.ece

Technical’s and comments

Euro: The next level of key resistance is 1.4380 to 1.44, with last week’s high of 1.4496 as the big level to the upside for now. To the downside we have 1.4300, followed by 1.4250 and key support at 1.4150. This pair is very choppy and not my favorite market to trade at the moment. If I had to pick direction I would still look to sell rallies.
Cable: Key support at 1.6050 and resistance up at 1.6265. Still looks like a sell on rallies towards 1.6265.
USDJPY: Very tight range over the last sessions. 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: I expect the CHF to underperform Euro as the 1.20 EURCHF looks very rich in CHF terms. So maybe better to play Euro is negative on USD. Swissy is bearish below 0.8500 for now, looking for 0.8300
AUDUSD: RBA signaled that they were in no hurry to raise rates, but still not that much downside action. Buying dips towards 1.0550 looks the most attractive for now.
USDCAD: Still favor selling rallies for a move back below 0.9700. If we break above 0.9900 this view would be wrong I reckon.
S&P Future (ES): Expect the low from Thursday last week at 1252 to hold and a move to close the gap at 1277.50 near term and it looks like we will open above that 1277 level today. Next upside level is then falling resistance at 1283, followed by the key pinot level at 1287 (last week’s high). We have support at 1261.50 (Friday low) that I would not like to see it below, if we are going to rally.
Gold: Next interesting level to re buy is around the 1530 level. So, I am waiting for lower level to get involved.
Crude oil: Buy on dips above 91.50 I reckon for now and looking for a rally towards the resistance at 95.50.
________________________________________
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.

Market Report Monday 20th of June

2011-06-20T12:19:00.001-07:00

you can see the report in the real format at this link:
market report

The market continues to be dominated by news headlines and specifically Greece is the major focal point. I have argued for some time that we will likely see a default within Europe, structured or an outright collapse over the next few years. In my view a restructuring of the debt would also be a default technically, because it would mean that Greece cannot pay the obligations. Seems like the ECB and Euro zone is obsessed with saving Greece. Given that Greece is a small player in Euro zone, it looks a bit overdone in my view. It would probably been much healthier for the long run if Greece had been allowed to default last year. I just don’t see how Greece is going to have any chance to repay the debt they are accumulating at the moment. The Greek debt issues looks to drag out for quite some time and keep any eye on any headlines out on the matter throughout the week. The big issue seems like that Greece much find domestic support and unite behind the required spending cuts. So a bit part of the solution lies in the Greek political arena. We have a no confidence vote this week (midnight Tuesday) and budget vote next week. Those are key events.
We have the FOMC decision on Wednesday, which will be a very important event and will give us more clues about the thinking with regards to stimulus and more.
S&P 500 futures traded to a low at 1252 last week (Thursday) and that low has since held. Short term I am looking for a bounce to fill the gap at 1277.50. The overall sentiment seems like selling rallies and the market looks short, maybe a short squeeze is on the cards?

The Euro rally Friday looks a bit overdone to be honest and I think the sell on rallies strategy will work today as well. We have key support down at 1.4150 that I don’t expect to be broken. A break above 1.4350 sees the risk of a short squeeze. The Bank of England minutes is also out this week, which is a major event risk for the GBP this week.
The market has price out any rate hikes for the AUD this year and this has sent the AUD lower last week. Seems like AUD will be driven by risk appetite solely going forward and we have the RBA minutes overnight that is a significant market risk. We also have news out of Russia that the Russian Central Bank will buy AUD, see news story below.

Looking at a few interesting points in the markets trading wise:
- Thursday’s low in the S&P futures at 1252 should hold near term and I look for a move to close the gap at 1277.50
- Crude is a buy on dips above 91.50 I reckon for a move back towards 95.50
- USDCAD is approaching the upper end of the recent range and looks like a sell towards 0.9850
- Silver trading sideways over the last month, range 32.75 to 38.76.
- Gold is a buy towards 1530 today.
- Corn and Soybeans are at the lower end of the recent range. Looking for a move higher in both markets this week.

Today’s Calendar (CET):
- 16.30 Trichet speaks
- 17.30 ECB's Weidmann speaks
- 18.00 ECB's Stark speaks
- 19.50 US treas. sec Geithner speaks
- 03.30 AUD RBA minutes

US budget talks hit tense stage - The FT -
http://www.ft.com/intl/cms/s/0/ce497392-9a9c-11e0-bab2-00144feab49a.html#axzz1PliDoQ3j

Russians chase the Aussie dollar as its central bank secures 1pc of reserves - The Australian -
http://www.theaustralian.com.au/business/russians-chase-the-aussie-dollar-as-its-central-bank-secures-1pc-of-reserves/story-e6frg8zx-1226078107256

Japan’s Exports Declined More Than Expected - Bloomberg -
http://www.bloomberg.com/news/2011-06-20/japan-s-exports-declined-more-than-expected.html

Eurozone recession warning after Greece deal - The Independent -
http://www.independent.co.uk/news/business/news/eurozone-recession-warning-after-greece-deal-2300027.html

For Treasury Bulls, It's All Good - The WSJ -
http://online.wsj.com/article/SB10001424052702304887904576395671059760848.html?mod=WSJEUROPE_hps_sections_markets

Merkel faces backlash over Greek deal - The FT -
http://www.ft.com/intl/cms/s/0/1c68c2d2-9a91-11e0-bab2-00144feab49a,s01=1.html#axzz1PliDoQ3j

IMF warns US, eurozone deficits a threat to stability - The Telegraph _
http://www.telegraph.co.uk/finance/economics/8583008/IMF-warns-US-eurozone-deficits-a-threat-to-stability.html

Eurozone delay over Greek rescue risks spooking markets - The Telegraph -
http://www.telegraph.co.uk/finance/financialcrisis/8585706/Eurozone-delay-over-Greek-rescue-risks-spooking-markets.html

UK banks abandon eurozone over Greek default fears - The Telegraph - (out on Saturday )
http://www.telegraph.co.uk/finance/financialcrisis/8584442/UK-banks-abandon-eurozone-over-Greek-default-fears.html

EU Ministers Move to Clear Greek Payout - The WSJ -
http://online.wsj.com/article/SB10001424052702303936704576395314159080624.html?mod=WSJEurope_hpp_LEFTTopStories

How the Euro Keeps Bears Behind Bars - The WSJ -
http://online.wsj.com/article/SB10001424052702304453304576392171770552648.html?mod=WSJEUROPE_hps_sections_markets

Spanish Marchers Protest Unemployment, Austerity - The WSJ -
http://online.wsj.com/article/SB10001424052702303936704576395592854247606.html

Against the odds, the euro will scrape through - The FT - By Wolfgang Münchau
http://www.ft.com/intl/cms/s/0/14845d90-9a66-11e0-bab2-00144feab49a.html#axzz1PliDoQ3j

Talks near deal on €12bn aid to Greece - The FT -
http://www.ft.com/intl/cms/s/0/0a8d87be-9a9b-11e0-bab2-00144feab49a.html#axzz1PliDoQ3j

Boris Johnson: let Greece go bankrupt and leave the euro - The Telegraph -
http://www.telegraph.co.uk/news/worldnews/europe/eu/8585704/Boris-Johnson-let-Greece-go-bankrupt-and-leave-the-euro.html

Europe May Withhold Half of Greek Payment - Bloomberg -
http://www.bloomberg.com/news/2011-06-19/europe-may-withhold-half-of-greek-payment.html

Russia to Lower U.S. Debt Holdings - WSJ -
http://online.wsj.com/article/SB10001424052702303310004576393651050458930.html?mod=WSJEUROPE_hps_MIDDLESixthNews

Technical’s and comments

Euro: I see resistance at 1.430 and 1.4350 today and I am looking to sell towards that level. Key support at 1.4150 for now.
Cable: Key support at 1.6050 and resistance up at 1.6250. Still looks like a sell on rallies.
USDJPY: 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. However the risk off over the last days has taken us below 80 again. Not sure if we see any intervention unless the move picks up in speed and magnitude. Buy on dips for the brave.
Swissy: I expect the CHF to underperform Euro as the 1.20 EURCHF looks very rich in CHF terms. So maybe better to play Euro is negative on USD. Swissy is bearish below 0.8500 for now, looking for 0.8300
AUDUSD: Buying dips towards 1.0550 looks the most attractive for now. But keep in mind that we have RBA overnight, risk event.
USDCAD: Still favor selling rallies for a move back below 0.9700. If we break above 0.9900 this view would be wrong I reckon.
S&P Future (ES): Expect the low from Thursday last week at 1252 to hold and a move to close the gap at 1277.50 near term. See resistance at 1275 (Friday high) and support at 1261.50 (Friday low). Seems like market is pretty short, so short squeeze could be triggered if we get above 1278 I reckon.
Gold: Next interesting level to re buy is around the 1530 level. So waiting for lower level to get involved.
Crude oil: Buy on dips above 91.50 I reckon for now and looking for a rally towards the resistance at 95.50.
________________________________________
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.

Trading recap for the Twitter trades Friday 17th of June

2011-06-20T09:05:00.000-07:00

Friday ended the week and saw the Euro options structure expire as well as more Crude oil and corn trading.
The Euro structure did end up in -350 USD in total over the week. The choppyness ended up costing too much to hedge basically. Crude trading was another major contributor Friday, producing 5 long trades for a total of 462.50 USD on the day.
Did one Corn trade for 162.50 profit.
The strategy next week is look for more buying on dips in Crude, Corn and Soybeans as we are at major support levels, where I look for a short term bounce.
I still have the Crude oil options structure on with 4x short 98.50 Aug calls and long 2x mini futures. Looking to keeping that structure for a bit longer, will probably make adjustments underway, but in general the strategy to sell calls and trade long in the underlying crude looks good for now.

Complete list of trades can be found here:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/tradinglogtwitter.xlsx

Friday 17th of June

2011-06-20T08:57:00.000-07:00

More bad news out of Greece and potential downgrade of Italy saw the market sell off into the close once more on Friday. It was not as bearish as previous days sell off and I reckon the low from Thursday is a possible short term low (1252.25). To confirm we need to close above 1275 in the next few sessions. We have a gap up at 1277.50 that I am looking for to get filled the next few sessions. However it still looks like the market is pretty short and willing to sell rallies, which opens for a short squeeze of course, but also more pressure on rallies. Meaning it could be tough to see any larger rally near term. At least until the Greece situation is solved.

16th of June trade log

2011-06-16T18:40:00.000-07:00

Here is the updated trade log over the trades that have been posted on Twitter:
http://avantagefinancial.ch/intraday_service?avantagefinancial_ch=sci52jvh4mculaergl8o9cuhn7

Good day in the futures today, showing 1550 USD gain in the delta one trading, with all trades being winners. Still have a Euro and crude structure that I will keep overnight.

Perfect inside day in Crude for range trading and it treated me well playing the 94,60 to 95.30 range 7 times duting today's session. All were winners, so good thing.
Looking at the Crude oil chart it looks like yesterday could actually be a false break down. We will get the answer tomorrow most likley. The above average volume yesterday, do signal a potential reveral. Remember that the reversals normally take place on excessive volume days. It traded 323k contracts yesterday, by far the highest volume day over the last month.

Quite hectic day with another sell off in the Euro and Corn. S&P was very choppy and took out the key support at 1259, but found support down at 1252 and rallied into the close, which should open for a move close the gap up at 1277.50 from Tuesday.
See S&P 500 emini chart below. The average true range for the last 9 sessions is 16.9 points. We traded 2.478m contracts today, which is good amount, we have seen several reversals on days with 2,5m or more contracts traded. Yesterday had 2,7m contracts traded.

I was looking for Corn to bounce today as the gap down at 721 was filled, but it continued to tank and is down close to 100 points the last week, wow. The volume has also increased on the sell off and we have closed at the very bottom of the daily range 3 days in a row, which signals that smart money has been selling in force. Next key support is 686 now, the rising support from the March low.

15th of June recap

2011-06-15T14:13:00.001-07:00

Just a quick update on today's trades posted on twitter:
Made 275 USD in 2 trades in Crude long and long Corn. That was more or less before the whole market broke down. I continued to manage the Euro futures and options structure through out the day making several adjustments. You can see all the listed trades on this link:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/tradinglogtwitter.xlsx

I also added another Crude oil (CL) structure, sold 4x Aug 98.50 calls for 2.25 (= 9000 USD received) expiration 15 Jul and long 2x the Nymex mini contract.
So we will continue to hold the Euro structure and the Crude oil structure overnight.
Euro structure is now short 2x 1,41 puts and short 4x 1,42 calls for expiration Friday (CME contracts that expire 21 CET on Friday evening).
The Euro position is a pure short volatility position now as the vols got above 20% following the big down move today. To me that looks very high and think it will come back in tomorrow. However I am looking to hedge in the futures if needed and at this point I will try to hold them to expiration.

It is the final game of the Stanley Cup tonight by the way, go Canucks.

Have a nice evening

Trading recap for the Twitter trades

2011-06-14T17:09:00.000-07:00

Trading wise, I held 2 trades overnight, Euro short and crude long. The Euro was stopped out and the Crude long worked out well.
I did 7 trades (round turns) on the day(including the 2 trades kept overnight) and the result was 492 USD profit on the 50 000 model account, which is 0.985% on the day. I am still holding the Euro structure that I put on today, which was buying 1x future at 1.4409 and selling 2x the 1.4450 calls (CME options) for expiration 17 Jun (Friday). The big contributor today was Crude oil, which gave me 612,50 USD in profit on the day. Remember that you can follow the trades live over my Twitter account.
You can see full list of trades under this link:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/tradinglogtwitter.xlsx

14th of June recap

2011-06-14T17:01:00.000-07:00

The S&P made the bounce I was looking and I mentioned in today's market report that I think the low yesterday will hold for the rest of the week. I stick to this prediction. Next key level is the Thursday high at 1288.50, followed by last week's high at 1292.75.

The gap in the US 10 Year at 124'04 was finally filled. I have had this down move on the agenda over the last week. Next downside target is 123'20

Corn sold off after it failed to take out 800 last week. The weather forecast for the next 10 days has improved and USDA raised its weekly good to excellent rating to 69% from 67%. It filled the gap at 766 that I had as the downside objective after the selling interest emerged Friday (up bar that closed way off the highs, actually in the lower half of the bar). There has to be good amount of selling to knock down the price that much after making a new high. We have Fibonacci retracement at 747 1/2 as support and we have the rising support at 748. Might be interesting to look to trade long tomorrow for a bounce higher? Will have a fresh look tomorrow when we open, but looking at the chart now it looks interesting to buy dips tomorrow.

Last chart I want to mention is the Live Cattle. It looks like it is trying to bottom out and today's up bar on increased volume looks bullish. First objective is the 23,6% Fibonacci retracement of the recent down move from 122 to 102.

14th of June trade log

2011-06-14T09:51:00.000-07:00

We are heading into the Lunch hour in the US and here is a list over the trades posted on Twitter today so far:

Date: Tuesday 14 June

Futures

Market trade contracts Entry Exit Profit/Loss
Euro short 1 1,4381 1,4411 -375

QM (Crude mini) long 1 97,1 97,675 287,5
QM (Crude mini) long 1 97,025 97,275 125
QM (Crude mini) long 1 96,65 96,85 100
QM (Crude mini) long 1 96,65 96,85 100
Euro futures long 1 1,4387 1,4393 75
Live Cattle long 1 104 104,45 180

Total futures 7 492,5

Options and futures
Premium
Euro short 2 1,445 put exp 17 June 1250 received in premium for selling the option (total structure will be booked when trade is closed)

Euro long 1 1,4409 delta hedging the 1.4450 calls

Profit for structure 0

Total for the day 492,5

All figures are ex commissions

Performance week 23

2011-06-10T18:23:00.000-07:00

The result speaks for itselt. All structures were winners, traded total of 40 contracts making 8,24% or 4117.50 USD on the model account of 50 000 USD (ex commission). Wow, very nice.

Make sure to follow my Twitter to see the trades real time

click here to see performance file and list of trades

Performance from June 7th 2011

We assume accout size of 50 000 USD to be able to trade the signals and be able to meet the margin requirements
Week 23
Overall 4117,5
Futures 2717,5
Futures &options 1400

Daily Break down
Monday
Tuesday 1165
Wednesday 740
Thursday 125
Friday 2087,5

Total Weekly performance 4117,5

Percentage return 8,24 % (based on requirement of 50 000 USD balance)
number of contracts traded 40

Friday 10th of June

2011-06-10T18:14:00.000-07:00

More down on the S&P500 and the Euro got sold off pretty hard, trading down to low 1.43's. Crude and Live cattle posted solid loses as well.
We hit that 1272 (June contract) target that I outlined earlier this week.
Regarding the trading, the short Euro 1.45 puts turned out to be a good trade as the Euro fell as I expected and I hedged the delta at 1.4536 and 1.4468, effectively making the premium of 54 pips, pluss 2 pips in the spot.
I mentioned earlier this week that I am looking for a move towards 1.42 at least. Might be coming faster than I thought. Was also able to get a decent trade in Crude oil buying on dips, getting about 25 cents on 2 trades. Was decent considering that Crude had a pretty weak day.
Corn traded up to a new front month all time high, but saw heavy resistance at 799 and fell back to close more or less unchanged at 785. That signals weakness to me and I reckon we are going lower start of next week.

Make sure to follow twitter for live comments and trading calls.

Have a nice weekend

Trading Thursday 9th of June

2011-06-09T15:08:00.000-07:00

I contiune to trade the S&P futures and options strategy, mainly selling options and hedging the delta. This is a pretty active program so I cannot post all trades as hedges and options are adjusted dynamically as the market trades.
That being said, my bias was for a move higher today, following 6 straight down sessions and losing 62 points. Was actually looking for a move higher yesterday as well, but that didn't happen. Felt we got a bit too short too fast over the last sessions. My bullish confirmation was the break above 1383.50 and that signalled to me the market would look for 1295. Why 1295? Because that is the 2 days high and a read reversal would only take place if we break above 1295. I mentioned this on twitter today as well during the day.
The high turned out to be 1294. Another thing that stands out is the lack of volume on the rally today, only 973k contracts in the S&P 500 Emini. The average volume the previous 6 sessions was above 2m per day. The explanation for this if of course the roll into the September month contract.

In other markets the Euro was all over the place during the Trichet press conference. When it broke 1.4550 I felt the pressure would be to the downside and I think we can see 1.42 or so near term now. I saw value in selling the 1.45 put for expiration tomorrow (CME contract, not OTC) when futures traded 1.4536 as the vols was above 20%, paying me 54 pips. I hedged the delta right away going short at 1.4536. So that will be interesting to see how develops towards the expiration at 21 CET tomorrow. My strategy is to sell more futures if we break 1.4470. if we go higher I have to take some shorts off, but only if we break 1.4550. I did trade some scalping on the Corn following the gap open above the key resistance at 767, making. Closed right at key resistance at 784, so it could go both ways near term I reckon. But general feeling is buying dips above 767 (former resistance now support)

Will come back with more info in the morning. Good night

Thursday 9th of June S&P 500 Emini futures

2011-06-09T14:22:00.000-07:00

Equities bouncing back a bit and the S&P 500 futures closed up for the first time in seven sessions. The only problem is that we sold off quite a bit into the close, which is a sign of weakness. Remember that we have been seeing rally into the close for the most part of the last 12 months as we moved higher. The market feels much changed now and the bears are in control for the time being. The key today was the break above 1283.50 resistance early in the session, which opened for 1295. However it didn't quite reach that 1295, making high at 1294. Then we sold off to close at 1287.50, bascially right at the VWAP (1287.90). See 5 min chart below

What is next? The tendency is that we tend to trade higher during the week of the roll. So, I would not be surprised to see a rally towards 1308 or so, but there I expect to see more sellers step in. I contiune to expect fairly choppy ranges and think we have more work to the downside in the medium term and expect to see a test of the yearly low at 1243 in the coming weeks. Then I see 1224 as the target for the down move.

annoucement

2011-06-09T14:04:00.000-07:00

I have decided to change the outlook of the blog and post interesting trade set ups and charts as well as a small recap of the days trading, but in much shorter version than earlier

Friday 29 October

2010-10-29T16:37:00.000-07:00

The expiration today in the weeklies went decent, although some spikes hit the performance a bit. I will post the trading result and trades Monday.
Could be a possible "no demand" bar on the daily chart, so I keep that in mind for next week.
Still simply bullish above 1175 for me in S&P emini, need to see daily close below this 1175 to change my mind.
Seems like everybody and his brother are looking for a move lower, so that is maybe enough to make it go higher?

We also have the US midterm election and it tends to support stocks, dow is up 0.28% on average on election day vs. 0.03% average all days since 1900, see the link for more info:
http://www.bespokeinvest.com/thinkbig/2010/10/28/historical-midterm-election-results-and-market-performance.html

Some comments from my daily report today:
The S&P had an inside day today, trading inside yesterday’s range and high to low was only 6.75 points today. That is a tight range and the close was in the upper part, which makes it a possible no demand bar, even though it is not a perfect no demand bar as it didn’t close top of the range, but volume wise it was less volume than previous two sessions. We will see start of next week if today’s was a no demand and confirmation would be a wide down bar within the next 2 sessions. Trading wise we traded basically sideways the whole week and I stick by what I have said the whole week:
To keep it stupidly simple I would say that as long as we don’t see a daily close below 1175 in the S&P futures the trend is up and next key resistance remains 1198 and 1207. If we close below 1175 support, the next target would be 1150 followed by 1127.

See link for complete report:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/pdfs/daily29oct.pdf

Have a great weekend

Thursday 28th of October

2010-10-29T16:27:00.000-07:00

S&P Emini gapped up more than 7 points on the open and traded lower to close the gap from yesterday and extended lower to 1173.50, but once again support came in and we move back higher to close well off the lows. Seems like the return of risk appetite is back following yesterday's correction lower.
I like to keep it simple and continue to favor higher levels as long as 1175 is not violated on a daily close.
Trading wise the portfolio declined 0.39% on the day and once again the dip didn't extend to the downside and was a bit too short on the reversal, which made the short calls rise a bit more in value then I made in the long futures-
I made 16.50 points in the futures.
I bot back some 1170 and 1175 calls for 29th of October at the open as I had to reduce the short delta a bit, but later in the day sold some 1175 calls for 29th of October again to use a short term hedge.
Did not make any adjustments to the longer term positions and as we have expirations tomorrow on the weekly's and I have a bit around 1180, so it would be good to avoid any major spike on the GDP release. Seen a bit more move in Globex last few days as well, so I need to watch that a bit as I have pretty big exposure on the weeklies.
My main strategy is to play the 1190 to 1210 levels with short calls and 1150 and below with short puts. Still as always I have a heavy overweight in the calls.

Take care.

Wednesday 27th of October

2010-10-29T16:12:00.000-07:00

S&P opened up weaker and traded down to 1167 level where we saw fair amount of volume coming in at in the 2nd hour trading 477k contracts on the hour bar. Remember that we have reversed quite a few times on hourly bars exceeding 500k contracts. This was almost 500k and we reversed higher and had a strong rally towards close. The volatility rose quite a bit eventhough the move was very small. It seems to be a lot of traders looking for a move lower, bascially everybody. That is maybe a good reason to not go lower?
Closing pretty much on top of the daily range and 11 points off the low. That is a strong close in my view and expect tomorrow to open higher.
Trading wise the portfolio declined 0.85% on the day and was a bit too short when we reversed higher, which cut the performance today.
Lost 35 points in the futures and I did a fair amount of trading against short calls for 29 Oct expiration. I sold the calls at 1180 and 1175 and 1170 and hedged long, closed some of them out when it didn't hold below 1170 and also closed some of the long hedges leaving the futures negative. Made about 16.50 points on the short term options trading.
On the longer term options portfolio I did only one change, adding short 1180 calls for 19 Nov expiration.

That was all for today, take care.

Tuesday 26th of October

2010-10-29T16:00:00.000-07:00

The weakness from Friday and yesterday coming through today a bit as it tested that 1175 support level that I mentioned a few times as key support level. However we closed well off the lows and close was exact same level as yesterday's close 1182.75 in the S&P Emini futures. The volatility rose more than I expected and my plan was to offload more short calls at the end of today's session, but that didn't really work out as planned.
Trading wise the portfolio was down 0.42% on the day.
Lost about 2 points in the futures and traded some intra day tradig on the 1190 calls expiring 29 Oct and I also sold 1180 call for expiration 29 Oct.
Seems to be chopping around quite a bit and I am still looking for a correction lower, but as long as we don't see a daily close below 1175 the trend is up.

That is all for now, have a nice day

Monday 25th of October

2010-10-26T15:29:00.000-07:00

We did not get any down move to confirm the no demand bar on Friday, but I do note down that we have the no demand bar in the background and in fact today's bar looks like and uptrust making a new multi month high and the close was more than 11 points of the high at 1193, closing at 1182.75. To close that far off the high indicates selling otherwise it is no way it would close that far off the highs.
I do pay attention to this weakness, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp

As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.

That is all for now, have a nice day

Friday 22nd of October

2010-10-25T12:09:00.000-07:00

Narrow range in the S&P futures today with high to low of only 6 points. It looks like a possible no demand bar, which is a narrow up bar closing on the highs with relatively low volume and at least volume of less than previous 2 bars.
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.

Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/

That is all for now, have a nice weekend

Thursday 21st of October

2010-10-22T15:28:00.000-07:00

S&P futures made a new multi month high in early trading reaching 1186.25, breaking that 1182.25 high from Monday. However we got no follow through and we reversed lower. I came out on the Twitter when it was trade 1184 yesterday saying:
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.

So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading

Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullish above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html

That is all for today, take care

Wednesday 20th of October

2010-10-22T15:11:00.000-07:00

The S&P closed at 1174.75 Wednesday and made a high of 1180, which is a 24.50 points rally from the low made yesterday. The no demand from Monday was short lived and as indicated yesterday the close off the low on the high volume indicated buying. Now looks likely we will rally and break above the Monday high of 1182.25.
So will look for more upside tomorrow and that 1182.25 is a key level, with more resistance up at 1197 and 1207.
Seen some rapid swings in the risk on and risk off over the last three sessions and we also have the G-20 meeting getting underway overnight in South Korea.
It seems like the G-20 meeting will influence currency most, so not sure it will have a major on equities.
Trading wise it was an active day and I made 3.5 points in the future on the day.
Overall I lost 0.60% on the day.
I also made quite a few changes to the options portfolio. I sold some 1150 puts for 29Oct, receiving 14.50 points, when it became clear that we were most likely to go higher. Just had to hedge some of the short delta I have from the short calls. I also bot back some of the 1170 Nov calls for 29 points and instead sold some 1200 calls for 19Nov, getting 12 points for those. I also sold some short term 1170 put expiring Friday.

Today's Mr Top Step http://mrtopstep.com/2010/10/20/cutting-to-the-chase/

That is all for today, good night

Tuesday 19th of October

2010-10-20T15:14:00.000-07:00

Good evening,
The no demand bar I talked about yesterday was indeed correct and S&P futures sold off today reaching low at 1155.50. The volume was 3.055m contracts in the ES, which is big and this year we have seen the market go higher within 2 to 3 sessions when the daily volume has been in excess of 3m contracts in volume quite a few times.
Another thing I noted was that the close was well off the lows, by 8 points, on the high volume that indicates that we had buyers stepping in, otherwise it would had no chance close that many points off the low. So watch out for a potential move back up.
See chart image: http://chart.ly/mrkpuy8
Trading wise I lost 12.50 points in the S&P futures, since I had to hedge my short calls, I was stuck a bit too long on the drop and overall I lost 0.62% on the day. However a break below 1150 would be good for the short calls and I would have then chance to sell a bit puts to decrease the negative delta I have on the options portfolio.
On options side the Apple structure I had on did not really work out as the stock didn't move higher following the earnings, but I got out with a tiny gain after paying the commissions.
On the options side I took profit on the short Nov 19th 1200 calls, buying them back for 8.25, making about 7.50 points per contract. Since the S&P can potentially move back up I had to take some profits, so I can sell that strike again if we move towards the 1180 level again. Instead I sold much smaller positions of the Nov 19th 1170 calls for 20.75 and also sold a bit 1170 calls for 22 Oct.
I still have mostly short calls and we have basically short calls from 1170 to 1190 with expirations ranging from 22 Oct to 19 Nov.
I did also sell some 1160 puts for 29 Oct, getting 10.25 for those and also sold some 1130 puts for 19th of Nov receiving 15 to 15.50 for those.
Just had to sell some downside puts in case we are not breaking lower, I cannot have too much negative delta.

Today's Mr Topstep: http://mrtopstep.com/2010/10/19/troubled-waters/

Good night, take care.

Monday 18th of October

2010-10-20T14:34:00.000-07:00

New multi month high in the S&P futures (ES) making a high of 1182.25. However it looks like a no demand bar being a narrow up bar closing on the highs with relatively low volume, at least lower than previous 2 bars. The lower the volume is the stronger the likelihood of a no demand bar. The confirmation of the no demand bar should be a wide down bar on increasing volume within the next 2 sessions.
The key resistance levels I see are 1198 and 1207, to the downside I have 1150 and 1127. To keep it simple one can say that as long as we don't have a daily close below 1163 the outlook is bullish and for a test of 1198 to 1207. Trading wise I made 14 points in the S&P futures trading mostly to the long side. Also the volatility dropped and short options lost value and theta so at the end of the day the portfolio rose 1.79%, pretty good.
I made no adjustments to the options portfolio in the ES.
However I did an earnings play on Apple (APPL).
I bot the 22OCT expiration strike at 320 x1, sold 2x330 22OCT call and bot 1x 22OCT 340 calls, for a debit of 1.24 per contract. Need a decent up move for this structure to make money on the earnings from Apple after today's close.

That is all for now, take care.

Friday 15th of October

2010-10-18T17:51:00.000-07:00

Wow, Google hits it out the park and the options I bot for 2.09 was sold for 26.6. More than 12 times the risk, just pure luck I have to say.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html

Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09/29/how-the-pomo-works-treasuries-and-the-fat-kid-who-wont-play-fair/

Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/

Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.

Thursday 14th of October

2010-10-18T17:07:00.000-07:00

S&P futures (ES) traded weaker from the open and then put in a strong rally in the last 45 min as market was looking for strong number from Google that reported after the bell. It closed 0.75 points lower at 1173.50 on the day, which was a good 11 points off the low.
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.

That is all for now, have a good night

Wednesday 13th of October

2010-10-15T17:22:00.000-07:00

S&P futures (ES) gapping 7.50 points on the open and making a trading to 1181, which is the highest level since 4th of May. The next key resistance levels are 1198 and 1207 and to the downside we have 1151 and 1127 for now. Remember that we options expiratons this Friday and normally we have one down during the options expirations week.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.

That is all for now, take care.

Tuesday 12th of October

2010-10-13T18:26:00.000-07:00

The ES dipped on the open and actually tested the Friday day session low at 1151.50 and when that level held on decent volume it rebounded higher and basically traded higher for the rest of the day, testing 1169 late in the session, but failed to break 1170 and fell back to close at 1164.50.
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/

Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.
Also bot some CSX 55 calls as a earnings play that are out after the close. Paid 3.77 per option. Lets see what happens. I am looking to sell at the open tomorrow if we see a decent move higher.

That is all for today, have a nice evening

Monday 11th of October

2010-10-13T18:03:00.000-07:00

Very slow day as we had Columbus Holiday in the US that reduced the trading activity a great deal and S&P Emini futures only traded 1.050m contracts on the day compared to the 50 day average of 1.1913m contracts.
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.

That is all for today, have a great evening

Friday 8th of October

2010-10-13T17:47:00.000-07:00

Overall I made 1.16% on the day.
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.

That was all for today, take care

Friday 8th of October

2010-10-08T17:13:00.000-07:00

Good evening, will keep it very short as I am closing down for the weekend and will write a the more detailed trade report Monday.
As far as the trading today the Non Farm Payrolls was a bit of a non event.
I had expected more movement. That yesterday's low 1147 level held to the downside (day session) today and we tested that high end of the last week range at 1164 towards the close. Could not break 1164 and closed 1060.50, up 4 points on the day.
Average volume trading 1.963m in the E-mini today. The 1 hour chart looks potentially toppish.
I would like to note one thing, saw fair amount of voluming coming in on the cash close trading 89k in ES contracts on the 5 min bar, closing on the low, showing clear selling action. That is weakness and might impact Monday's overnight (Globex) session and I expect the S&P to open lower Monday in the day session then 1161.
That was the highest volume 5min bar the whole week.
See chart image: http://chart.ly/ialtcho

That is just my prediction, but what do I know?

Some key levels for next week, see this chart: http://chart.ly/xrbykdf

today's Mr Top Step: http://mrtopstep.com/category/video/

Have a great weekend everybody, take care

Thursday 7th of October

2010-10-08T16:49:00.000-07:00

S&P futures spiked higher on the weekly jobless claims data and tested that 1163 key resistance level (high from 12 of May), which is the highest level after the flash crash on 6th of May. However it failed at the level and traded all the way down to 1147 in the next 3 hours, but it was no real drive in the volume on the move lower and it move back higher towards the close and closing pretty much unchanged at 1156.50. Good rally back off that 1147 and we are all looking to tomorrows payrolls.
The key resistance levels for tomorrow are 1163.50 and 1168, to the downside we have 1147 (today's low) and 1127 the key high volume area.
Trading wise the portfolio was down 0.77% on the day and the major problem was that I lost 13.50 points in the futures as I was too much long hedged on the dropped lower.
On the options portfolio I bot back the rest of the 1120 Oct 15th puts from 4.30 to 4.50 points. Also bot back some 1130 October 15th puts around 4.30 for that one as well. Bot back a tiny 1155 call for October for 10.50 points and did sell a 1150 October 15th call when we dropped lower as I was a bit too long.

That is all for now, have a nice day

Wednesday 6th of October

2010-10-08T16:32:00.000-07:00

Fairly tight range today in the S&P E-mini futures and we had an inside day, trading inside the previous day's range. Total range was 7.75 points.
Very little trading today and was even for the day trading wise. However as the time decay played nicely in my favor the portfolio was up 1.16% on the day.
No changes made to the options today. Nothing more to report really, everybody is looking forward to Friday's Non Farm Payrolls report at the moment and following the weak ADP number today it seems given that the number will be weak, just depends how much is priced in.
Looks like everything is highly correlated at the moment, with Gold rising as long as rates stay low (10 year US Treasury note) and Euro following Gold.

Have a nice day, take care

Tuesday 5th of October

2010-10-08T16:22:00.000-07:00

S&P futures basically traded up for the whole day, only down bar on 1 hour chart was the last hour. ES gapped up 8.75 points on the open and never looked back and the successful test down at 1127 yesterday proved correct today. ES closing up 20 points on the day and now trading at the top of the recent range and have trend channel resistance at 1154.
Trading wise I was not enough long today in the futures to hedge the short calls and the portfolio fell by 2.3% on the day. Made 5.34 points on the futures side and made a series of changes to the options portfolio.
Bot back some of the 1120 puts for October exp, not worth risking a downside break and the options coming back into play, so closed some at 3.75 points.
Also bot back some Nov 1150 calls and sold 1170 and 1180. Bought back 1140 calls and sold some 1150 puts for 15 October expiration to hedge some of the negative delta I have.
To be honest I had been looking for a bit more decisive action around this 1153 level, but seem to hanging around this 1120 to 1153 range for a few weeks now.

That is all for today, take care

Monday 4th of October

2010-10-07T17:31:00.000-07:00

The S&P futures trading down 7.5 points, but found support down at last weeks low 1127 level and closed well off the low, which indicates some buying, otherwise it would have flushed through the close.
Another thing to note is that the volume was lower than 2 previous bars and it was unlikely to break that 1127 low on reduced volume. Remember that the key volume areas we have are 1127 and 1153.50. The low looks like a successful test, see link:
http://chart.ly/y43ytwm
To the trading,
lost 13 points on the futures trading as I was hedging the long calls I had to have some long exposure on the drop. Still ended the day up 1.24% on the day as the short calls declined more in value that the what I lost on the futures.
In the options portfolio I made some minor changes, bot back some of the short 1150 calls for October and also sold 1135 call for expiration Friday to get a bit more premium in.

That is all for today, good luck

Friday 1st of October

2010-10-04T15:15:00.000-07:00

Welcome to the 4th Quarter, normally the best 6 months period for stock market is from November through April. Regarding October, historically has been the 7th best month for the Dow, stocks rising 57 % of the time since the index was founded 113 years ago.
The S&P futures had an inside day today, trading inside the previous day's range and the today's range was 12 points (1134.50 low to 1146.50 high)
Trading wise I mainly concentrated on trading the expiring weekly contracts on ES, selling calls puts on the 1140 level for expiration today and hedging in the futures and we went up and down the range. I made about 2 points in the futures and good amount in the options and ending the 0,86% higher on the day.
The only change I did outside of the expiring options for today was to sell some 1140 calls for 8 Oct. and some 1130 puts for 8 Oct. that I trade out of the start of next week. Received 19 points for selling that spread.
I also bot November 79 put in Crude oil (CL) (for expiration October), paying 0,90 to 0,91 for the trade.
Would like to remind that the key levels in ES are 1153.50 and 1127.25, basically the week's high and lows, important levels for next week as those are the levels to break to make a more directional move. Still have that gap down at 1105.75 also that I have noted down as possible downside target.

That is all for now, take care.

Thursday 30th of September

2010-10-01T14:34:00.000-07:00

The S&P emini futures broke above the key 1150 resistance level right at the start of the floor trading session and failed at 1153.50 where we saw a lot of volume coming in. It traded more than 122k contracts on the 5min break out bar and also did 573 contracts the first hour. All that volume was selling of course and late longs got sucked into the market and short got stopped out, then the market reversed lower and we did drop 21.25 points in 2 hours after the break and made a low at 1131.25 and then traded more or less sideways for the rest of the day.
A note that I saw when looking over the 60min chart is that the reversals this week all was made when we had more than 500k contracts traded on the ES on the hourly bar.
Link to chart image here: http://chart.ly/o56eppa
One thing I want to say on the selloff Thursday is that the price action and volume towards the close was not that bearish actually. If it was really bearish we should have seen strong selling towards the close and break below 1127 in my opinion.
We now have 2 major areas to watch, 2 levels we saw those two major reversals of this week, which are; the 1153.50 to the upside and 1127.50 to the downside. Keep those levels in mind going forward?
Trading wise I was forced to buy the break to protect the short calls I have on and I was a bit slow to close the long, so in the futures I lost 6 points.
However since I was less long then my negative delta when the market dropped the day turned out quite well in the end. Made 1.17% on the day all in.
Options wise I did the following trades:
I bot back the 1100's puts for October at 5.75 points, was quite cheap and no point risking that option coming back into play if this move higher reverses.
I really don't want to leave very low value out of the money options open as they can hit me if we see a big move. I rather buy them back and sell another strike with much higher premium closer to the market price.
I also bot back some 1140 calls for October on the break higher to reduce my negative delta and instead sold 1150 and 1160 for October when the move started to fail. I did also sell calls at 1180 for Nov, getting around 18.50 to 19 for those.
When we trade back below 1135 I also added some 1080 puts for November for 18 points, so balance the negative delta a bit.
I still think we have a good chance at going lower before we break above 1160, but we need to close below 1127 next few sessions to go lower. Simply put one can say that above 1127 the bias is bullish.
today's Mr Topstep: http://mrtopstep.com/2010/09/30/ffffade-away-day/
That is all for today, have a great day, take care

Wednesday 29th of September

2010-09-30T17:37:00.000-07:00

We had an inside day Wednesday on the S&P futures, meaning trading range was inside the previous day range's. The total range today was only 9 points, smallest range since 13th of September where we had 8.25 points range.
We now have 1 day left of the quarter and would not be suprised to see a major move tomorrow.
I would like to mention a few key levels in the S&P Emini futures (ES).
To the upside we have 1156 that was the high on the flash crash day and 1163 (13/5 high), so solid resistance above us here.
Looking at the hour chart we have yesterday's low as a key level since we had major volume coming in there.
The next support level is then 1122 (break out level) and 1105.75 (open gap from 11th of September).
Trading wise I had a weak day, as I was looking for a larger move and was looking for a break lower and sold weakness, but it basically bounced every time and turned into stop outs. A bit surprised to see such a tight range day going into the quarter end.
Net result was -9.8 points on the futures and -1,63% on the day for the total portfolio.
I did not make any changes to the options portfolio.
New day tomorrow, have a great evening

Tuesday 28th of September

2010-09-29T09:50:00.000-07:00

Good day,
We now have 2 sessions left of the quarter and it will be interesting to see if we have an end of the quarter sell off?
Tuesday price action was a bit like expected following the down day Monday, it drove lower off the open and hit 1127.50 low. We then saw some massive volume, at least relative to recent days, coming in at that low level. The 5min bar traded more than 114k contracts, which is the most we have seen on any 5min bar over the last 2 weeks. The significance of these high volume bars is important because most reversals start with a high volume bar. The higher volume the stronger the reaction off that level often tend to be. One thing to note is also the seasonal and relative factor.
114k contracts is maybe not much in November or some other time of the year when we see higher daily volumes, but it was certainly noteworthy for current conditions. I pay more attention in terms of relative value than the actual number of contracts. Is that bar standing out to recent things we have seen? If the answer Of course I also look at other time frames to judge the volume in an interest area.
Another thing to note is that the low last Wednesday was 1126.50, so that was fairly close to Tuesday's low as well.
On the options trading I did the following changes:
I bot back the 1090 and 1100 puts (at 7 and 6 points) and sold a small 1120 puts position (at 11 points) instead to get more premium and decrease the risk to the downside if we see a larger move.
I also bot back the 1140 short call for 19's and instead sold a 1140 put for expiration Friday.
On the futures side the net result was -7.2 points on the day and the total result of the day for the portfolio was -0,16%.
On the open position side I still have net short delta with more calls than puts.
That is all for now, have a great day.

My daily market report for Tuesday 28th of Sep

2010-09-28T18:46:00.001-07:00

http://avantagefinancial.ch/images_up/avantagefinancial.ch/pdfs/daily28sep.pdf

Monday 27th of September

2010-09-28T18:43:00.000-07:00

The S&P futures (ES) triggered stops in the Asian hours sending it up to a high of 1149.75.
However it was not able to get above that 1150 level that I have outlined a few times last weeks.
The open was at 1145 so that means the gap from 13th of May is actually filled now.
It traded lower on light volume and closed at 1137.75 on the lows for the day pretty much. The lack of volume signals to me that it was limited selling pressure on the day and we have to see expansion in the volume to the downside to really get a sell of lower.
Trading wise it was a slow day and I had to get long ES on the break higher in Asia, but sold a bit back when it broke back below 1144. I also closed the VIX options structure I had (long Nov 27.50 call and short Oct 30 call, 1x1 ratio) for a 12% gain.
I lost 6.5 points on the ES futures trading today, which is ok as I had to stay a bit long to hedge the short delta I have on the options portfolio since I have overweight of short calls at the moment.
However since the value of the portfolio rise when the S&P drops since I am short delta the portfolio in total rose by 0.25% on the day.
I made no adjustments to the options today.
Make sure to see the comments from Mr. TopStep regarding the walk away trade in this video:
http://mrtopstep.com/2010/09/27/mr-topstep-in-hd/

I agree with Mr. Topstep as basically as long as 1150 holds I expect a drive lower.
Remember that US nonfarm payrolls not out until next Friday.

That is all for now, have a great day

Friday 24th of September

2010-09-27T17:27:00.000-07:00

S&P futures (ES) tested lower in Globex session, but Thursday low at 1117.25 held overnight and it basically traded to the upside for the rest of the day, closing right at the top of the daily range at 1143.50. The break above Thursday's high at 1132.25 it took off like a rocket.
We still have that 1144.75 gap open, it was not filled today either, the high was 1144.50. Maybe I am being a bit picky now as it missed by 0.25 points only, but again it still a key level around that 1145 to 1150 level that we need to see a daily close above to extend higher.
Trading wise I made 11.92 points trading long in the ES, still not long enough as I have bunch of short calls above 1130 up to 1170, so portfolio wise the value dropped 1.74% on the day.
I still feel more comfortable being a bit too short here as chart wise it looks tough to break much higher at the moment. Another thing is that all but one of the short puts positions expire in October and therefore I prefer to avoid a large sell off before they expire and if it drops I would benefit since I am a bit too short.
The risk is of course a quick break out higher, but below 1145 to 1150 that looks unlikely.
Another point about Friday's candle is that it could be possible "no demand" bar as the candle is fairly narrow on volume lower than previous few days. However we need to see some confirmation before I would really act on that signal.
Options wise I made the following changes:
When it broke 1133 I had to make some changes, as it looked like downside was well supported for now.
I took profit on some of the short 1090 puts, as the value on that position dropped to 7 points and I don't want too many options to far out of the money to the down side as any quick move to the downside would increase the value of these out of the money puts rapidly.
Instead I sold the 1130 puts that are close to the money and have much more premium in them, for 14.50 points. I also bot back a bit of the 1100 puts for the same reasons as the 1090.
I bot back the 1130 calls and sold small position of 1140 puts (getting 10.50 points) for 1st of October expiration and sold calls at 1150 for October. Lastly I did sell 1170 calls for November for 21 points, leaving me with break even of 1191 on those.
I see the 1170 level as being far enough above the 1145 to 1150 resistance zone that if 1170 would come into play the options down below 1140 is most likely either expired already or have very little theta left. Also that break even of 1191 is only about 16.50 points below the yearly high that makes it prefect to roll positions above that 1207.50 level in case we hit 1191.
So now I basically have calls from 1140 and up to 1170 at 10 points interval and puts from 1140 and down to 1090.
Next week will be key to determine if this week’s move higher is for real or not.
Remember we have end of quarter on Thursday.
That was all for now, have a nice weekend.

Thursday 23rd of September

2010-09-27T16:52:00.000-07:00

Finally broke below the 1122 as I expected but no real follow through and my target at 1105.75 (gap from 10th of September) was never really in reach. The daily low was at 1117.25 on increasing volume, so that signaled increased selling pressure. The volume was above the 50 day average, trading 2.190m contracts on the day.
Tomorrow will confirm if this was indeed selling pressure or buying into the dip.
Trading wise I still had to hedge some of the short delta being long the ES futures, so I lost 6.9 points in the futures and being a bit too much long I lost -0.41% on the day overall.
I did only 2 changes to the options portfolio, I bot back some of the 1130 calls when it rebounded over 1120 as I wanted to reduce the short delta exposure a bit and I also sold some 1100 puts for September for around 15.50 points to get a bit more balance in the options portfolio.
That is all for today, see you later, take care.

Wednesday 22nd of September

2010-09-27T16:20:00.000-07:00

After the S&P futures stopped short of filling that gap at 1144.75 Tuesday I was expecting a move lower and my next target is for a fill of that gap down at 1105.75.
The volume today was quite light and although the close was in the lower end of the range it seems the selling pressure was limited since it was no real volume expansion on the move lower. It was not really close to testing that previous break out level at 1122. The daily low was at 1126.
Trading wise I traded long during the day to hedge the short calls, but sold out a bit too much when 1130 broke and not quick enough to get back long.
Lost 7.2 points in the futures on the day, but since the short calls fell in value the portfolio rose 0.98% on the day.
In the options portfolio I bot back some of the short 1130 and 1140 calls early on in the Globex session and also sold 1120 puts to hedge a bit of the short delta.
When it was apparent that 1144.75 resistance level would not break I sold some of the 1130 calls again.
All in all a fairly quiet day, take care everybody.

I have been traveling

2010-09-27T05:40:00.000-07:00

I have been traveling for a few days and not been able to update the blog.
Will post all updates during Monday.

Some interesting links from Wednesday 22nd of September

2010-09-22T15:45:00.000-07:00

S&P chart, no expansion in the volume on the break, looks weak:
http://chart.ly/73py9aw

Today's Mr TopStep:
http://mrtopstep.com/2010/09/22/equities-feelin-toppy/

Greenberg: Can an ETF Collapse?
http://www.cnbc.com/id/39309280

Fed's POMO helps risk assets in general:
http://thefrugalplain.blogspot.com/2010/09/feds-pomo-s-500.html?utm_source=twitterfeed&utm_medium=twitter

Did Bill Gross Just Confirm On Live TV He Has An "Advance Look" At Non-Public Fed Data?
http://www.zerohedge.com/article/did-bill-gross-just-confirm-live-tv-he-has-advance-look-non-public-fed-data

Tuesday 21st of September

2010-09-22T15:04:00.000-07:00

FOMC held rates unchanged and signaled possible more QE, which sent the S&P futures higher, but it stopped just shy of that gap at 1144.75 13th of May and the high was 1144 yesterday, so that gap is still not filled. As I mentioned a few times over the last days, there are some serious resistance levels from 1144.75 up to 1163 and as long as we remain below 1144.75.
I favor a move back and fill the 1105.75 gap from 10th of September, before we go higher.
As for the trading it was an active day trading just above 30 trades in the ES and making 9 points trading to the long side. I was not enough long though to make up for the rise in value on the short calls I have above 1130 and up to 1170, but I made up a bunch of that loss when I closed the longs at 1142 and 1143 as I wanted to see if 1145 would hold and it did. So as the market went lower off this 1144 high the lack of long to the upside was at least somewhat made back on the way down.
As for the options I did the following adjustments.
Right after I had closed the ES longs I actually sold some 1140 puts for expiration Friday as a hedge and also sold some 1140 calls for Friday when it broke below 1137, just for hedge as I was scaling in long and it looked like a false break, so it made sense to sell some more premium in that key area. I got 6.50 points for those 1140 calls for Friday.
I sold some 1090 puts actually prior to FOMC as I wanted to balance the delta a bit more. I bought back some of the 1130 short calls just after the FOMC and sold 1130 put instead and sold higher strikes at 1150 for October (receiving around on average 16 points) and 1170 calls (for 18.50 points up to 19.50 points).
I now have basically a short straddle at 1130, with calls above 1140 up to 1170 for expiration October and November. I have short puts down at 1100 and 1090 for October and small position in short 1080 puts for November.
The strategy over the next sessions will now be to hedge and be active on the long side above 1130 or so. If it breaks above 1145 I have to again make a bunch of adjustments as I would be a bit too short calls if that level breaks.
To the downside I will not make any big options adjustments for the moment unless 1105 breaks.
I basically have the downside under 1080 free to sell puts if we come down below 1105 and the vols would rise if we go lower it does not make sense to sell much downside just yet, unless 1145 breaks of course then I have to put on a bit more downside. Also keep in mind that my puts are expiring in October, so lots of Theta in them the last 3 weeks.

That is all for now, havea a nice evening

Monday 20th of September

2010-09-21T05:06:00.000-07:00

S&P futures gapped 4.25 points higher at the open and made a move lower initially before total take off as buy stops were triggered on the break above the Friday high at 1126.75. Traded up to a high of 1140.25 before closing 1136.50.
I am a bit uncertain on this break higher as the volume on the break was very low, which appears to be mostly stops getting triggered and not fresh buying.
If we have no fresh buying this move will not extend.
We also have heavy resistance from 1144 up to 1163, which is a tough task ahead.
S&P futures is now in the upper part of the range seen since May.
Will be interesting to see what this week brings.
I have the feeling that we will most likely see a substantial move in either direction off the current level, just not sure which direction yet.
I would be more comfortable of a break higher if we had seen a dip first lower then this break higher, but the direct break higher with a basically a straight line move higher since 31st of August of 106 points from low to high is a bit too quick and risk a fair amount of selling coming in.
Trading wise I was a bit too conservative to the long side and made "only" 5.50 points on the day trading both long and short. As the move was 16.75 higher it was not enough to offset the move in the short calls I have from 1120 and up, so I had to make a bunch of adjustments that positions me quite well for a move in both direction from here.
I bot back 1120 calls for October when it broke 1130 on ES and instead sold 1140's to get more "theta" and remove some long delta.
I took profit on the 1060 puts as these got down to 5 point and figured it was no point keeping the risk on that they come into play on a quick down move where the volatility would increase quite a lot as well, making these 1060 puts rise in value quickly. I did the same with the 1100 short puts for 30th of September, closed them for a decent profit.
I instead sold some 1100 for October to increase the premium and did a very small 1080 short put for November, just to have as hedge the 1170's short calls that I sold a bit more of Monday.
I also turned the 1130's calls into a short straddle selling the 1130 put for October to have a bit more balanced Delta in the portfolio, was getting a touch too much short on the call side.
I want to see more volume to the upside and break above 1145 to really get excited on the long side for the moment.

Make sure to watch Monday's Mr Topstep, very interesting:
http://mrtopstep.com/2010/09/20/market-wizards/

That is all for today. Best of luck, take care.

Friday 17th of September

2010-09-17T16:43:00.000-07:00

Good evening,
Will keep it short as the weekend is right around the corner.
It looks like stops were triggered overnight as it broke above 1127 in S&P futures (ES), making a high of 1132.75 in Globex session. However we opened much lower at 1125.75 and closed below yesterday's close, which signals weakness to me. The Euro also selling off towards the afternoon with AUDUSD move down 100 pips from the high also signals that the risk on trade overnight might be short lived for now.
For the trading I had to trade long in the ES to protect against the short calls from 1120 and up, which saw me lose 6 points in total on the day. Overnight I actually sold a bit more 1160 and 1150 calls for October and November in case this break turns out to be a false break. I also turned the short calls at 1120 into a short straddle position with selling the 1120 puts for October.
Basically sitting with calls from 1130 to 1160 now, with puts from 1100 and downwards to 1060. I always try to stay as dynamic as possible and follow the market and adjust to new developments and I will continue that very much next week as I would like to increase the distance between some of the strikes a bit, especially if we move above 1135 I will roll some of the 1140 and 1150 to higher strikes.
This week turned out more or less flat, but I am very well positioned if the market would break lower at the moment. If it breaks higher I have to make further adjustments, but expect the volatility then to drop even further, which would help my short options portfolio.

Have a great weekend, take care

Thursday 16th of September

2010-09-17T07:31:00.000-07:00

Thursday we saw the S&P futures make a higher low compared to Wednesday and it broker above the key resistance at 1122.90 in late trading to close at the top of the daily range.
However we normally get one wide down day during the options expirations week and we had not any wide down days so far this week and with one day to go, I have to keep the chances open that it will be a wide down day on Friday and that the break higher will not sustain. All tricky in the key area as I suspect we will see a rather strong move off these area (1125) in either direction. The move overnight higher above 1130 looks like stops got triggered and of course wouldn't be perfect to take out these buy stops and drop the market lower?
Was still looking for a possible fill of that gap at 1105.75 today, but couldn't take out the 1109 low from previous day, so didn't really get close to doing that.
Trading wise I made about 4 points on the day on futures trading long. The break above 1122 forced me to go long to protect some of the short calls above 1120 and upwards in case it would break higher.
I also sold a 1100 put for 30 September exipration as a bit of hedge against the short calls, getting 9.50 for those. I did take profit on the short 1120 and 1130 puts for expiration tomorrow (Friday), so have no open options for expiration Friday left now

That is all for today, good luck , take care.

Wednesday 15th of September

2010-09-16T08:46:00.000-07:00

The S&P futures failed to break Tuesday's high of 1122.50, but still managed to close in the upper end of the daily range. Could we be looking at a similar top that we had in August, when it topped out around the same level over a few days and dropped sharply lower within the next few days.
We now have 2 days left of the expiration week and we normally have one wide down day during the expiration week, so with failure at 1122 again Wednesday, it might be Thursday the down day comes in?

S&P futures have topped out in this 1122's level both in June and August previously.
http://chart.ly/wimh2uk
So we either top out again or break higher within the next few days I reckon.
Expect a strong move in either direction basically.
We still have the gap down at 1105.75 from Friday to be filled and the 31st of August that is some way off at the moment.
Trading wise I made net +3 points on the S&P futures, was not long enough towards the top end of the range and was looking for the gap down at 1105.75 to be filled early on, which had me a bit late to get long when it found support at 1109. Still expect the 1125 level to hold on the upside and a test lower towards at least 1105.75 before it breaks higher.

I sold some more 1110 September puts in the start of the session and them out when prices test 1120 towards the end of the session and moved the short October 1090 calls to a 1130 (got 19 points for the 1130) calls to get the strike above the 1125 key resistance. I also closed out the 1040 October puts from last week (made about 10 points on it) and sold 1090 October puts instead to collect more premium, then I now have nothing below 1060, so plenty of room to sell put below or towards the 1037 key support in case it breaks lower. The short puts at 1130 that I have a hedges with expiration on Friday was reduced and only have a tine position left in those puts.
That is all for today, good luck and take care

Tuesday 14th of September

2010-09-15T03:01:00.000-07:00

The S&P futures broke the August high by 0.50 points yesterday (if you look at a contiunous ES chart the Aug top was 1122), but it could not follow through and backed off to close in the lower half of the daily range and also below Monday's close.
This price action is see as weak and would not be suprised to see a move lower Wednesday and at least to close the 1105.75 gap from Friday last week. We also have a gap down at 1054.25 from 31st of August worth keeping in mind.
As far as the trading goes I had to make furter adjustments Tuesday.
First of all I had to go long to hedge the short calls and this went well, but when it reversed I was stuck long, so the earlier gains in the morning got reduced and made 3 points total trading long in the futures.
For the options I made the following changes:
I sold an additional small put postion of the 1060 puts for October and also sold more 1130 calls for October. I don't think both of these levels will come into play short term as I think we either break higher above 1130 to move towards 1160 and 1060 is then way out of reach. Or we fail here around the 1122 to 1127 level and move lower. I sold more 1130 than 1060 so I have more calls. I also closed the short 1090 calls and instead sold some 1160 calls for November expiration, getting around 18.50 for those.
On the September options I reduced some risk by buying back the 1110 and 1115 puts when we tested the daily highs and instead sold some 1130 Sep as I need an hedge for some of the short calls in the money at 1120. I also bought back the 1110 Sep calls to reduce some of the long exposure.
I now have basically now have short calls for October at 1100, 1120 and 1130.
Short puts for October at 1040, 1060 and 1080. November I have 1140, 1150 and 1160 calls. I also have 1120 and 1130 puts for expiration Friday as a hedge that I will most likely make futher changes to Wednesday as they are just meant as short term hegdes if 1123 breaks, which I don't see that likely today.
Think we need to see a correction lower before a move higher.
I also have the VIX position where I sold the October 30 calls and bot the Nov 27.50 calls at a ratio of 1X1.
My bias is to have mostly short calls and trade long against these calls, a few reasons why I like that approach is that you are less exposed to quick down moves and volatility expansion.
Remember to watch Tuesday's Top Notch:

http://mrtopstep.com/2010/09/14/top-notch-key-levels/

That is all for today, Good luck and take care.

Monday 13th of September

2010-09-13T17:07:00.000-07:00

New week and new opportunities.
Equities higher on BASEL 3 news and good economic data from China. Turkish referendum also a positive. S&P futures gapping 10.25 points on the open and closed fairly close to the open, 1 point higher than the open. Looking like a doji on daily chart.
Big resistance up at 1122 and 1127. See MrTopstep video:
http://mrtopstep.com/2010/09/13/whatcha-gonna-do/

As for trading it was a relatively busy day. As I have plenty of short calls from 1090 and up, so I had to stay on the long side to protect the upside. Fairly active day with 16 trades in the ES for 16 points gain total and made 15 adjustments to the options portfolio.

The gap higher forced me to make quite a few changes that would have not be done in a non gapping market. Basically had to sell a bit more premium (selling short term puts and also some long term calls) to make up for the lack of long delta on the gap and also close out some of the way out of the money puts to reduce the risk if we see a big swing lower. Which I still think could happen as long as 1128 resistance holds. I always try to make sure I take off puts and calls that have very little comparative value left and especially if they are far away from the current price to allow me to sell something that is either closer to market or just take some risk off if it were to make a big move. Last thing I want to happen is to have an option that I have sold at 25 points and suddenly has a value of 5 points with a few months to go stuck in my portfolio. I prefer to then take profit to avoid this option coming into play again. Make more sense to me then to sell something with much higher Theta instead then to grind out those last 5 points.

Ok, back to the adjustments I made:
I closed the short 1090 calls and 1090 puts for Sep. I also closed the 1110 calls for Sep. I took profit on the 1100 puts for Sep (bot back at 2.80 or so) and 1030 for October (bot back around 7 points). Instead I sold 1060 puts for October, getting on avg. 10.75 points for those. Sold some more call options at 1140 and 1150 for Nov, which is basically above the 1128 key resistance area with some margin and I assume if this level breaks, the downside puts can be bot back cheap.
That is the logic for selling those levels. I also added some 1120 puts for Friday, just to make up for the lack of long delta on the gap higher on the open. Will most likely close them out in the next few sessions, was more a short theta short term play. I am at the moment still Delta minus, meaning I am short in real terms overall.
Would not be surprised to see a dip overnight and possibly that gap at 1105.75 to be closed sometime over the next few sessions, so I will most likely remain short biased for the next few sessions unless that 1122 and possibly 1128 resistance levels breaks.

That is it for now, time to watch the Nadal - Djokovic US Open Final, good night.