Nasdaq futures holding market up imo. There is a gap fill between ~815 to ~828 that needs to fill in SPX that otherwise may fill sooner than later.
"FV" ~870. I went shopping this weekend with my daughter. The shopping mall was a ghost town. I don't know if that is due partly to tax season or not. Oil futures spunky today pre-market. Still looking for a gap fill as stated above. If "FV" stays near 870, and we gap fill, that would put us about 55 below "FV". By todays standard, that is nothing.
ES is showing size on the bid on the support break. It think they get run over in the short term, but it is worth noting.
"FV" ~835. Odds of a gap fill today, 85% imo. Put up a five minute bar chart of yesterdays action. Look back to SP futures action back in the late 80s. This "stair stepping" pattern was very prevalent back then, on all time frames (fractal). Oil futures continue to amaze me with their pre-market volatility. We start earnings season today. Market expects numbers like we haven't seen in decades.
Gap has filled. Support at 792 and 781. We don't want to lose 781 if you are a bull. "FV" almost unchanged from yesterday and ~ 830. Oil futures being themselves and rocking this morning. Big note auction (3 year and 10 year) today and tomorrow. Government trying to raise money like it is going out of style.
"FV" ~840. If you project where SPX will open at the time I write this, it is approximately 840. Therefore zero edge as I write this. Slight _relative_ weakness NQ vs ES, but yesterday it was the other way around. So maybe not a worry. Uh, do I even need to say what oil futures are doing? R-O-C-K-I-N-G.
I thought it would be fun to take a look at this "model" again. As you may recall, the reason this relation was introduced is because we noticed that "FV" was getting really out of whack during the relentless sell off, and taking our thinking analogously to physical models, in particular conservation laws and the way particle physicists keep track of energies in a particle collision, we decided that the "FV" scalar number did not take into account all the market "energies". So, I suggested that in order to make the "model" give a complete accounting of where the energies are going, that we had to add a correction term, VIX. This gave us a correction term where our model could still keep an equilibrium of prices around "FV". So how has this model held up? Well, we didn't just introduce a value just to make things work. It had to make sense. As we can see, "FV" and SPX have converged. Would then not the VIX scaling factor also have to go down? Has it? The answer is yes. VIX was approximately 54 when "FV" and SPX were so out of whack, and VIX is closer to 40 now. This is not surprising given our understanding of VIX, since it tends to go lower in rising markets. However, one thing occurred to me while thinking about this. VIX is often seen as a "fear" indicator, which seems to suggest that it has a higher absolute value when the SPX is going down. But this is a bad way to think about VIX imo. What VIX measures is not so much fear, but unexpected moves away from means in some distribution [for experts, a path integral of correlated big price swings.] So it is a single number that [indirectly to the untrained eye] measures skewness and kurtosis. It just happens that prices have greater momentum on the way down than on the way up, and hence VIX seeks a higher absolute value in this case. Further, since VIX incorporates information about the vola skew, it also a measure of correlation risk, and it is this correlation risk that markets [people] want to avoid. One interesting thing to me is: Before the 1987 crash, there was little or no skew in SPX vola prices. Thereafter, this changed. I think VIX is not efficient in the same way that vola was not efficient pre-1987 crash in that VIX should also rise on strongly rising markets. It is an intuitive statement that I cannot prove. Anyway, just thinking out loud.
"FV" little changed from Friday, ~ 835. Nasdaq futures slightly outperforming SP futures pre-market. Oil futures tame. GM bankruptcy seems imminent at this point. Expecting to see GM going down to three brands: Chevrolet, Cadillac, and Buick. Something similar will happen at Ford. I estimate that the unemployment rate just from these two companies will shoot up by 1,000,000 workers after the restructuring.
"FV" ~835. There is a gap to fill between 825 and 840. Can anything stop oil futures from going to $60? Probably only another swoon in equities. Earnings don't seem terrible to me so far. Market psychology appears to have changed.