Daily Cash & Futures Technicals, 3/5/19, Ian C. Burdette, CFA, CMT
Please see the attached PDF for pivot & ATR targets plus today's stats: Here.
* As noted yesterday, 52.25 handle reversal yesterday in eminis (outside down reversal pattern). Not much follow through either way in the overnight session w/ eminis up just 1 handle from the official close at 2792.00. Volume is just 136k contracts.
* USTs are higher in yield w/ 7s continuing to be the fulcrum. Just $37mm an 01 has traded across the stack. It certainly seems we are breaking the recent consolidation wedge to higher yields as risk asset euphoria finally starts weighing on Sov debt yields.
* Gamma is cheap from a historical perspective. Using the MOVE index as a benchmark for valuation we see this metric near all time lows at 46.7423. The all time series low was 43.97 on 11/8/17. For a deeper comparison, the cycle heading into the 'taper tantrum' in 2013 was higher than current levels at just under 49. It is important to note that debt held by public is over $4 trillion bigger NOW than the start of the 'taper tantrum' - $16.25 trillion vs $11.9 trillion. Below is a graph of the MOVE from the March 09 stock mkt low and I would also note the 76.82 post crisis avg vs current. The decade from 1999 to 2009 never saw a sub 50 print and had an average of 103.. This time is truly different!
Ian C. Burdette, CFA, CMT
Senior Managing Director