Quantitative Index Futures Analytics

December 29, 2006

Farewell 2006!

Filed under: Forex Comments — Quant Trader @ 11:41 am

Just a quick swan song” check on the final day of trading for the year:

Absurdity abounds: The “carry trade” as the end all, be of all raison d’etre for trading forex. The specious linking of EUR to whatever currency unit may have an “ascending star” vs USD and the insistence of many – especially small traders – who insist fundamentals (too them “funnymentals”) are non-consequential.

Three of my pet peeves for the year ending. Anyone care to bet they won’t be around in 2007?

One that I didn’t touch on above is the firm belief that spec activity in thin market conditions when a lack of couterparty bids/offers are virtually nonexistent will dominate.Who needs “real money” trading when “specs rule”? The Thanksigivng weekend sham and the bizarre behavior of EURUSD the past few days are prime examples of silliness.

But enough of this, time to wish all a happy and proseperous new year. See you on the other side.

December 21, 2006

Major Yen crosses – For Friday

Filed under: Forex Comments — Quant Trader @ 5:34 pm

USDJPY  High    Low      Last    Change   MBI    DIF
61215  11826   11745    11814       30    124      9
61218  11828   11771    11815        1    121      4
61219  11832   11782    11812       -3    118      0
61220  11852   11796    11847       35    124      4
61221  11852   11792    11834      -13    121      0

Support and Resistance  Levels
S1  11817  S2   11800  S3   11783  S4   11766  S2 Prob 42.5  S4 Prob 17.5
R1  11847  R2   11860  R3   11873  R4   11886  R2 Prob 46.7  R4 Prob 22.2
Prj Lo   11782 Prob %  46.7  Prj Hi 11884  Prob %  48.6
5D EMA   11814       20D EMA   11729

Prj MBI/DIF OB/OS              IT OB     11848
Projected Daily Reversal Price           11833
Sell Prob(%)  55.4   Valid Sell Prob (%) 53.6

Mkt Pos & Trading Bias: Neutral until after the holidays.

EURJPY  High    Low      Last    Change   MBI    DIF
61215  15524   15379    15456      -31    101     -9
61218  15479   15410    15473       17    101     -6
61219  15590   15436    15585      112    110      1
61220  15640   15571    15605       20    109      0
61221  15642   15559    15590      -15    108     -1

Support and Resistance  Levels
S1  15571  S2   15552  S3   15533  S4   15514  S2 Prob 44.8  S4 Prob 22.1
R1  15613  R2   15635  R3   15658  R4   15680  R2 Prob 53.0  R4 Prob 19.9
Prj Lo   15533 Prob %  39.9  Prj Hi 15640  Prob %  54.1
5D EMA   15557       20D EMA   15414

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           15611
Buy Prob(%)  36.7    Valid Buy Prob (%)   69.1

Mkt Pos & Trading Bias: Neutral til after the holidays.

EURUSD projections for Friday

Filed under: EURUSD — Quant Trader @ 5:34 pm

EURUSD  High    Low      Last    Change   MBI    DIF
61215  13159   13061    13081      -62     95    -12
61218  13116   13053    13097       16     96     -8
61219  13204   13084    13197      100    104      0
61220  13246   13161    13173      -24    104      0
61221  13214   13141    13176        3    103     -1

Support and Resistance  Levels
S1  13158  S2   13140  S3   13122  S4   13104  S2 Prob 46.6  S4 Prob 19.0
R1  13195  R2   13213  R3   13232  R4   13250  R2 Prob 47.9  R4 Prob 21.2
Prj Lo   13123 Prob %  46.6  Prj Hi 13225  Prob %  53.4
5D EMA   13169       20D EMA   13143

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           13198
Buy Prob(%)  39.8    Valid Buy Prob (%)   67.9

Mkt Pos & Trading Bias: Neutral unti after the holidays. Mkts will be too thin tomorrow and
next week to make meaningful decisions. No postings until the evening of Jan 2.
Mkt Influences: DGO/PCE/Pers Spend/Pers Inc 0830. UoMCSI 1000
Sell Levels: none
Target/Stop Levels: none

Forex majors for Friday

Filed under: Forex Comments — Quant Trader @ 5:33 pm

USDCHF  High    Low      Last    Change   MBI    DIF
61215  12231   12132    12215       67    114      9
61218  12270   12187    12224        9    112      4
61219  12231   12119    12142      -82    103     -3
61220  12193   12123    12180       38    109      1
61221  12203   12138    12163      -17    108      0

Support and Resistance  Levels
S1  12148  S2   12133  S3   12118  S4   12103  S2 Prob 34.8  S4 Prob 15.9
R1  12181  R2   12198  R3   12216  R4   12233  R2 Prob 36.2  R4 Prob 16.2
Prj Lo   12092 Prob %  36.5  Prj Hi 12239  Prob %  32.3
5D EMA   12160       20D EMA   12141

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           12162
Sell Prob(%)  51.2   Valid Sell Prob (%) 58.1

GBPUSD  High    Low      Last    Change   MBI    DIF
61215  19625   19499    19522      -86     92    -10
61218  19580   19434    19476      -46     87    -11
61219  19702   19465    19696      220     97     -1
61220  19748   19619    19644      -52     91     -5
61221  19699   19559    19627      -17     92     -3

Support and Resistance  Levels
S1  19592  S2   19558  S3   19523  S4   19488  S2 Prob 32.9  S4 Prob 13.9
R1  19662  R2   19698  R3   19733  R4   19768  R2 Prob 38.4  R4 Prob 14.2
Prj Lo   19559 Prob %  35.1  Prj Hi 19691  Prob %  46.2
5D EMA   19621       20D EMA   19531

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           19665
Buy Prob(%)  44.7    Valid Buy Prob (%)   66.2

USDCAD  High    Low      Last    Change   MBI    DIF
61215  11589   11529    11579        7    118      0
61218  11587   11534    11572       -7    115     -3
61219  11580   11510    11526      -46    105     -9
61220  11538   11432    11489      -37     99    -10
61221  11564   11457    11545       56    107     -2

Support and Resistance  Levels
S1  11513  S2   11480  S3   11448  S4   11415  S2 Prob 38.7  S4 Prob 17.5
R1  11566  R2   11587  R3   11608  R4   11629  R2 Prob 32.3  R4 Prob 15.6
Prj Lo   11498 Prob %  42.6  Prj Hi 11584  Prob %  38.4
5D EMA   11533       20D EMA   11486

Prj MBI/DIF OB/OS              ST OS     11495
Projected Daily Reversal Price           11562
Buy Prob(%)  45.0    Valid Buy Prob (%)   60.5

Index Futures for Friday

Filed under: Index Futures — Quant Trader @ 4:36 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-H   1439.50    1426.75    1429.75   -5.50   12.75  -0.38  0.89 101   -9
Support and Resistance  Levels
S1   1427.13 S2  1424.50 S3  1421.88 S4  1419.25 S2 Prob   46.2  S4 Prob  16.9
R1   1433.50 R2  1437.25 R3  1441.00 R4  1444.75 R2 Prob   53.8  R4 Prob  21.5
Prj Lo   1423.44   Prob %  29.2  Prj Hi  1433.94  Prob %   58.5
5D EMA   1432.90     20D EMA   1424.97
Prj MBI/DIF OB/OS  ST OS       1427.75

Projected DIF Reversal Price   1439.25 Buy Prob%  50.0   Prob % Valid Buy 56.4

MBI      101   DIF      -9

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-H   1804.00    1778.25    1785.25  -12.50   25.75  -0.70  1.44  90   -7
Support and Resistance  Levels
S1   1779.79 S2  1774.33 S3  1768.88 S4  1763.42 S2 Prob   45.5  S4 Prob  21.2
R1   1792.67 R2  1800.08 R3  1807.50 R4  1814.92 R2 Prob   57.6  R4 Prob  24.2
Prj Lo   1774.03   Prob %  39.4  Prj Hi  1793.94  Prob %   74.2
5D EMA   1800.01     20D EMA   1807.36
Prj MBI/DIF OB/OS  I/ST OS     1779.75

Projected DIF Reversal Price   1801.75 Buy Prob%  53.5   Prob % Valid Buy 56.5

MBI       90   DIF      -7

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-H   1439.50    1426.75    1429.75   -5.50   12.75  -0.38  0.89 101   -9
Support and Resistance  Levels
S1   1427.13 S2  1424.50 S3  1421.88 S4  1419.25 S2 Prob   46.2  S4 Prob  16.9
R1   1433.50 R2  1437.25 R3  1441.00 R4  1444.75 R2 Prob   53.8  R4 Prob  21.5
Prj Lo   1423.44   Prob %  29.2  Prj Hi  1433.94  Prob %   58.5
5D EMA   1432.90     20D EMA   1424.97
Prj MBI/DIF OB/OS  ST OS       1427.75

Projected DIF Reversal Price   1439.25 Buy Prob%  50.0   Prob % Valid Buy 56.4

MBI      101   DIF      -9

December 20, 2006

Major Yen crosses – For Thursday

Filed under: Forex Comments — Quant Trader @ 5:38 pm

USDJPY  High    Low      Last    Change   MBI    DIF
61214  11788   11726    11784       26    119      9
61215  11826   11745    11814       30    124      9
61218  11828   11771    11815        1    121      4
61219  11832   11782    11812       -3    118      0
61220  11852   11796    11847       35    124      4

Support and Resistance  Levels
S1  11829  S2   11811  S3   11794  S4   11776  S2 Prob 43.6  S4 Prob 17.5
R1  11857  R2   11867  R3   11878  R4   11888  R2 Prob 41.1  R4 Prob 14.2
Prj Lo   11795 Prob %  43.6  Prj Hi 11897  Prob %  47.8
5D EMA   11804       20D EMA   11718

Prj MBI/DIF OB/OS              IT OB     11847
Projected Daily Reversal Price           11832
Sell Prob(%)  57.2   Valid Sell Prob (%) 52.1

Mkt Pos & Trading Bias: Neutral/bullish. I am concerned by the IT/ST OB RSI and IT/OB MBI but
higher highs and lower lows indicate serious players like the pair.
Mkt Influences: US GDP and weekly UIC 0830. LEI 1000. Phillie Fed 1200. 1300 fed hawk Lacker
(RichFed) speaks. Lots of potential market movers in the mix plus thin pre-holiday conditions.

EURJPY  High    Low      Last    Change   MBI    DIF
61214  15588   15474    15487      -50    108     -6
61215  15524   15379    15456      -31    101     -9
61218  15479   15410    15473       17    101     -6
61219  15590   15436    15585      112    110      1
61220  15640   15571    15605       20    109      0

Support and Resistance  Levels
S1  15588  S2   15571  S3   15554  S4   15536  S2 Prob 38.1  S4 Prob 13.2
R1  15622  R2   15640  R3   15657  R4   15674  R2 Prob 50.5  R4 Prob 15.7
Prj Lo   15548 Prob %  37.0  Prj Hi 15655  Prob %  55.2
5D EMA   15540       20D EMA   15396

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           15604
Sell Prob(%)  57.8   Valid Sell Prob (%) 46.2

Mkt Pos & Trading Bias: Neutral/bearish. IT/OB RSI leads me to lean to selling rallies. Hugely overextended to the upside and too many mega EURJPY bulls scare me.
Mkt Influences: No significant scheuled data of EU speakers.

Forex Majors for Thursday

Filed under: Index Futures — Quant Trader @ 5:36 pm

USDCHF  High    Low      Last    Change   MBI    DIF
61214  12161   12027    12148       86    108      8
61215  12231   12132    12215       67    114      9
61218  12270   12187    12224        9    112      4
61219  12231   12119    12142      -82    103     -3
61220  12193   12123    12180       38    109      1

Support and Resistance  Levels
S1  12159  S2   12138  S3   12117  S4   12095  S2 Prob 34.5  S4 Prob 14.8
R1  12194  R2   12208  R3   12222  R4   12235  R2 Prob 32.9  R4 Prob 11.4
Prj Lo   12109 Prob %  35.1  Prj Hi 12256  Prob %  29.5
5D EMA   12159       20D EMA   12139

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           12154
Sell Prob(%)  53.2   Valid Sell Prob (%) 56.5

Mkt Pos & Trading Bias: Bullish/ST/OB RSI. Heavy US calendar today.

GBPUSD  High    Low      Last    Change   MBI    DIF
61214  19713   19581    19608      -60     98     -9
61215  19625   19499    19522      -86     92    -10
61218  19580   19434    19476      -46     87    -11
61219  19702   19465    19696      220     97     -1
61220  19748   19619    19644      -52     91     -5

Support and Resistance  Levels
S1  19618  S2   19593  S3   19567  S4   19541  S2 Prob 31.5  S4 Prob 12.0
R1  19683  R2   19722  R3   19761  R4   19799  R2 Prob 37.6  R4 Prob 15.9
Prj Lo   19576 Prob %  36.2  Prj Hi 19708  Prob %  41.8
5D EMA   19617       20D EMA   19521

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           19689
Buy Prob(%)  38.9    Valid Buy Prob (%)   75.9

Mkt Pos & Trading Bias: Bearish. Reversal Weds. leaves possibilities for cancellation today
given lots of US data but I remain looking to sell rallies.

USDCAD  High    Low      Last    Change   MBI    DIF
61214  11579   11539    11572        4    120      2
61215  11589   11529    11579        7    118      0
61218  11587   11534    11572       -7    115     -3
61219  11580   11510    11526      -46    105     -9
61220  11538   11432    11489      -37     99    -10

Support and Resistance  Levels
S1  11462  S2   11435  S3   11408  S4   11380  S2 Prob 36.6  S4 Prob 12.8
R1  11515  R2   11541  R3   11567  R4   11592  R2 Prob 31.8  R4 Prob 12.0
Prj Lo   11442 Prob %  41.6  Prj Hi 11528  Prob %  39.4
5D EMA   11527       20D EMA   11480

Prj MBI/DIF OB/OS              ST OS     11475
Projected Daily Reversal Price           11585
Buy Prob(%)  48.9    Valid Buy Prob (%)   65.9

Mkt Pos & Trading Bias: ST/OS DIF and RSI. Three straight losses. Lots of small spec bearishness in this
one so I look for a possible short squeeze.

EURUSD projections for Thursday

Filed under: EURUSD — Quant Trader @ 5:33 pm

EURUSD  High    Low      Last    Change   MBI    DIF
61214  13253   13141    13143      -70    102    -10
61215  13159   13061    13081      -62     95    -12
61218  13116   13053    13097       16     96     -8
61219  13204   13084    13197      100    104      0
61220  13246   13161    13173      -24    104      0

Support and Resistance  Levels
S1  13157  S2   13141  S3   13125  S4   13108  S2 Prob 43.8  S4 Prob 16.3
R1  13199  R2   13226  R3   13252  R4   13278  R2 Prob 47.1  R4 Prob 20.9
Prj Lo   13120 Prob %  46.3  Prj Hi 13222  Prob %  52.6
5D EMA   13166       20D EMA   13140

Prj MBI/DIF OB/OS              None          0
Projected Daily Reversal Price           13172
Sell Prob(%)  58.2   Valid Sell Prob (%) 49.2

Mkt Pos & Trading Bias: Neutral/bearish. The failure to sustain Tues. rally attracted serious
sellers. Barely holding the bullish side basis MBI and very close to a fresh sell signal basis DIF.
Mkt Influences: Heavy US calendar from 0830 (GDP/weekly UIC) through 1300 (Rich Fed’s Lacker
speaks). Phila fed at 1200 is also a mkt mover.
Sell Levels: A an early or o/n rally that breaks the daily drp of 13172 can be sold. Also consider
the 13250 area if seen.
Target/Stop Levels: Shts from 13250 stops above 13278. Tgts in the mid-low 13100’s.

Index Futures for Thurs.

Filed under: Index Futures — Quant Trader @ 4:35 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-H   1440.50    1434.25    1435.25   -1.00    6.25  -0.07  0.44 109   -5
Support and Resistance  Levels
S1   1434.04 S2  1432.83 S3  1431.63 S4  1430.42 S2 Prob   45.3  S4 Prob  15.6
R1   1437.17 R2  1439.08 R3  1441.00 R4  1442.92 R2 Prob   53.1  R4 Prob  21.9
Prj Lo   1428.89   Prob %  28.1  Prj Hi  1439.36  Prob %   57.8
5D EMA   1434.48     20D EMA   1424.48
Prj MBI/DIF OB/OS  IT OB       1449.95

Projected DIF Reversal Price   1437.25 Buy Prob%  49.8   Prob % Valid Buy 57.0

MBI      109   DIF      -5

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-H   1816.00    1797.50    1797.75   -5.50   18.50  -0.31  1.03  95   -6
Support and Resistance  Levels
S1   1794.63 S2  1791.50 S3  1788.38 S4  1785.25 S2 Prob   44.6  S4 Prob  20.0
R1   1803.88 R2  1810.00 R3  1816.13 R4  1822.25 R2 Prob   58.5  R4 Prob  24.6
Prj Lo   1786.47   Prob %  38.5  Prj Hi  1806.29  Prob %   75.4
5D EMA   1807.39     20D EMA   1809.70
Prj MBI/DIF OB/OS  None           0.00

Projected DIF Reversal Price   1803.25 Buy Prob%  52.4   Prob % Valid Buy 59.1

MBI       95   DIF      -6

Forex comment: Trichet’s remarks

Filed under: EURUSD — Quant Trader @ 7:22 am

BRUSSELS (AFX) – European Central Bank president Jean-Claude Trichet said the euro is being unjustly treated as a scapegoat for economic problems in Europe.

Trichet told the European Parliament economic and monetary affairs committee that he detects ‘a tendency to take the euro as a scapegoat, which is extraordinarily unjust, unfair and false.’

He said the euro zone has achieved much better results in growth, job creation and inflation in the eight years since the launch of the euro than in the eight previous years.

‘Over the last eight years — the period in which the single monetary policy has been in place — employment has risen by 9.2 percentage points and the unemployment rate has declined by 1.9 percentage points,’ he said.

‘Let me also stress that if I compare the eight years after the euro was set up with the eight years before the euro, we created 11.73 mln jobs after the euro and only 2.65 mln jobs before the euro,’ he added.

And he said France is among the countries that have benefited from the launch of the euro.

Some French politicians have voiced concern about the recent strength of the euro and have suggested that governments should have some say in the ECB’s monetary policy decisions.

But Trichet said the ECB’s independence from political interference has the backing of the public.

He said a survey showed that 73 pct of euro zone citizens support the independence of the ECB, and the figure for French citizens is 75 pct.

He said the euro zone will only be able to raise its potential growth rate if it speeds up the pace of structural reforms and productivity growth.

‘We can do better and we must do better,’ he said.

He said labour productivity growth has slowed steadily over the past fifteen years, partly because capital investments have not kept up with the pace of job creation.

‘The still existing rigidities in product and labour markets that impair effective competition and flexibility, and more generally the presence of regulatory restraints on business, have prevented firms from investing more strongly in the adoption of new information and communication technologies, which could be effective tools to reduce costs and improve productivity,’ he said.

Slow productivity growth has not only acted as a drag on economic activity, but has also put significant upward pressure on inflation, he said.

‘The increase of unit labour costs due to mediocre productivity, combined with other supply shocks such as oil price increases, have contributed to a level of inflation over the threshold of our definition of price stability of less than 2 pct,’ he said.

He said that growth in output per hour has been around 1 percentage point lower in the euro zone than in the US over the past 10 years. If the euro zone could close this gap, it would lead to a major improvement in its growth potential, he said.

But the euro zone does not necessarily have to take its lead from the US. There are some countries in Europe which have stronger productivity growth rates than the US, and other European countries could follow their example, he said.

Wage negotiators need to take account of such national differences in productivity and unit labour costs when working out pay deals, he added.

Asked about moves by some central banks to put more of their foreign exchange reserves into euros and cut the proportion held in dollars, Trichet reiterated that the ECB takes a neutral line on international use of the euro.

He said shifts in reserves so far have taken the form of an ‘orderly, smooth and slow transformation’.

He said more sharp, abrupt moves in reserves would not be in the interest of the euro zone, the US or of the global economy.

He declined to comment on Iran’s announcement that it would replace the dollar with the euro in foreign transactions and state-held foreign assets, saying that announcements on the move appeared to be ambiguous.

On euro zone enlargement, Trichet said candidate countries should be able to meet the inflation criterion for joining the euro despite upward pressures on inflation generated as their economies catch up with the euro zone.

‘For a country which wants to enter and has made the convergence efforts…there are plenty of possibilities in my opinion for inflation to be contained in line with the treaty,’ he said.

There can be no question of changing the methods used to calculate countries’ compliance with the inflation criterion, he said.

The entry of Slovenia in January proves that the euro zone is not a closed shop, he said.

Meanwhile, the UK and Denmark — which have the right to opt out from euro entry — would be warmly welcomed in the euro zone if they ever decided to join, he said.

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