Friday, 19 June 2009


That was some hard slogging action this week, wasn't it? If it's not a depression, it sure as hell is depressing. Derivatives data from the government doesn't show things getting much better, either.
As you'll see on my updated latest signals table, some of the latest numbers are a definite downer. My setup for the BKX U.S. Bank Index is showing signs of rolling over into bearish territory. Also, all my other setups have gone to cash - except for one, Japan's Nikkei Average.

You'll also see on my newly updated table that I've got a brand new setup: the 30-year U.S. Treasury bond. That one is presently bearish (meaning it expected yields, which move opposite to the bond price, to rise). But it's going to cash on the open of June 22.

Tune back in early next week for my portfolio update, a more extensive analysis of the latest data and an update to my backtesting results table with the details of my new natural gas and Treasury setups. Sorry I missed writing something up this past week! Have a good weekend and a nice Father's Day.


In Debt We Trust said...

I believe this explains the price action for the week:

Increased risk aversion is appearing in ED futures.

LIBOR may also be pricing in higher interest rates vis a vis the spread b/t Fed Funds.

What does your COT analysis say about ED futures?

Alex Roslin said...

Hi In Debt...,

(Can I just call you "In"? I feel we've known each other long enough.) My read of the latest data, which is now on my latest signals table, says the Eurodollar positioning is indeed getting more bearish.

But I'd caution that my testing has shown it doesn't impact price action immediately - hence, the trade delays in my setup for the BKX U.S. Bank Index, which is based on the Eurodollar positioning.

And indeed, next week's data could be different and could nullify this week's bearish positioning before there's an actual signal. But certainly, there is a bearish tilt right now seeming to filter through the system.


In Debt We Trust said...


Sure, call me "In."

Anyway, lower ED is indicative of higher AVERSION to risk taking as interest rates are projected to rise higher. Conversely, higher ED is indicative of higher ENTHUSIASM for risk taking as interest rates are projected to fall lower.

*Just keep in mind that this is a Japanese bank - the ppl MOST FAMILIAR w/the carry trade so I attach a certain amount of weight to their opinions. The author remains somewhat bullish overall as evidenced by her channel and fib support and resistance levels.

A lot of today's action was colored by premium selling towards the close (higher premiums charged for calls than puts) in anticipation of a possible downdraft.

*Disclosure - No affilitation w/Mizuho or the author.

Anonymous said...

Interesting coincidence. I trade, and at the request of several others relay my ideas to them. Last week I stated that "I am for the 1st time so confused by the actions from our "leaders" that I can not get a 'fix" on anything. I also am out of everything and only trading short term swings in the Indexes. Found your being in cash for everything to be right in sync with my bewilderment.
Thanks. J