IBKR Quant Blog


1 2 3 4 5 2 2019


Technical Analysis

Tradable Patterns - Natural Gas (CME NG May19) Weekly/Daily/4hr


Natural Gas (NG) edged up almost 1% yesterday, bumping up against ascending wedge resistance (on the 4hr chart) and the 61.8% Fib retrace of the Dec-Feb fall before giving way to profittaking.  Significantly, NG appears close to completing its month long consolidation above downchannel resistance (on the weekly chart) and gearing up for a resumption of its major bounce off the Feb low.  With the highly anticipated weekly storage data released Thursday at 1030am EST, NG will likely consolidate another day today before volatility spikes.  The weekly, daily and 4hr RSI, Stochastics and MACD are bottomish, rallying or consolidating recent gains.  I am looking at entering long in the green zone (of the daily chart), targeting the red zone for Friday.  The amber/yellow zone is where I might place a stop if I was a swing trader (although in my personal account with which I seldom hold overnight I sometimes set my stops tighter).

 

Click here for today's technical analysis on Gold, Cotton

As seen on Bloomberg, Refinitiv (Thomson Reuters), Factset, Interactive Brokers, Inside Futures, Amazon, Liquid (Quoine) and Zerohedge, Tradable Patterns was launched to demonstrate that the patterns recurring in liquid futures, spot FX and cryptocurrency markets can be analyzed to enhance trading performance. Tradable Patterns’ daily newsletter provides technical analysis on a subset of three CME/ICE/ (commodities and equity indices) and spot FX markets, which it considers worth monitoring for the day/week for trend reversal or continuation. Crypto Weekly Outlook offers technical analysis on Bitcoin (BTCUSD), Ethereum (ETHUSD) and Ripple (XRPUSD) and attempts to provide clues as to what might happen in the coming week.  For less experienced traders, tutorials and workshops are offered online and throughout Southeast Asia.

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Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This article is from Tradable Patterns and is being posted with Tradable Patterns’ permission. The views expressed in this article are solely those of the author and/or Tradable Patterns and IB is not endorsing or recommending any investment or trading discussed in the article. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

 


23229




Futures

FX Rundown - Blue Line Futures


Euro (June)

Fundamentals: The Euro finished higher for third straight session as we look ahead to tomorrow’s Federal Reserve policy decision at 1:00 pm CT. Driving price action today was less-pessimistic than expected ZEW Economic Sentiment data from both Germany and the Eurozone; this was the fifth beat in a row for the German read although still in negative/pessimistic territory. Bringing an additional tailwind was weaker than expected U.S Factory Orders; the fourth miss in a row. According to the CME’s FedWatch Tool this afternoon, there is a 98.7% chance the Fed leaves rates unchanged and a 1.3% probability they cut rates tomorrow. Going out to December, there is a 76.4% chance rates are left unchanged all year and a 23.6% probability they cut rates by December. Furthermore, it is pricing-in no chance of a hike this year. This truly ups the ante for what might be the most important Dot Plot yet. Additionally, we will be looking for the Fed to firm up the timeline to end unwinding its balance sheet this year. Despite recent comments, there is nothing like a Fed policy meeting to cement this rhetoric and upon such, we see substantial upside in the Euro. However, if they do not confirm this rhetoric, we expect the Dollar to strengthen against all currencies.

Technicals: Although price action is up marginally today, it has not broken out above major three-star resistance at ... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels.

 

Yen (June)

Fundamentals: The Yen again held ground today as the Dollar was a bit softer on a broad basis and Treasury yields rose, however, Gold stayed firm. Equity markets had extended gains early in the session before conflicting reports on China trade brought price action in. This overall landscape buoyed the Yen while we look to a pivotal Fed meeting tomorrow. Up first though are the Minutes from the Bank of Japan’s previous meeting tonight at 6:50 pm CT.

Technicals: Price action is tethered to our pivot which is the ... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels.

 

Aussie (June)

Fundamentals: The Aussie ticked down after conflicting reports tied to U.S and China trade. Bloomberg first reported U.S officials are concerned China is taking offers off the table. Others then reported U.S Treasury Secretary Mnuchin and U.S Trade Representative Lighthizer are traveling to China next week and a deal is in the final stages. Overall, this bit of uncertainty rattled what has been an unfazed risk-sentiment and stocks, Crude and Copper all retreated from the morning highs. The Aussie followed. Last night, the RBA Minutes showed a fairly dovish committee but not more than expected. Tonight, RBA Assistant Governor Bullock speaks at 9:00 pm CT

Technicals: The slow grind higher stalled today and major three-star resistance at .... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels.

 

Canadian (June)

Fundamentals: The Canadian Budget is due this afternoon and we have seen a two-sided trade in today’s session. An early morning melt-up followed Crude Oil and a broadly strong risk-environment. However, once Crude stalled under $60 and retreated, so did the Canadian. The mixed reports on the U.S and China trade front also weighed on the tape. Traders should expect the volatility to continue through tomorrow.

Technicals: Price action failed directly at first key resistance at .... Please sign up for a Free Trial at Blue Line Futures to view our entire technical outlook and proprietary bias and levels.

 

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Prior to Blue Line, Bill was the Chief Market Strategist at iiTRADER which followed running a trade desk at Lind Waldock and MF Global.

Bill is a featured expert on CNBC, Bloomberg and the Wall Street Journal as well as other top tier publications. 

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Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading futures, please read the CFTC Risk Disclosure. A copy and additional information are available at ibkr.com

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Blue Line Futures and is being posted with Blue Line Futures’ permission. The views expressed in this material are solely those of the author and/or Blue Line Futures and IBKR is not endorsing or recommending any investment or trading discussed in this material. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


23228




Technical Analysis

Interactive Brokers Asset Management - Stocks May Have More Big Gains Ahead as Amazon Breaks Out


S&P 500 (SPY)

Stocks finished the day higher with the S&P 500 climbing by nearly 40 basis point to 2,833.  At this point, there is very little standing in the way between the S&P 500 and its eventual rise to 2,875. In fact, at this point, we aren’t even talking about a 2% move.

Russell (IWM)

The Russell had a perfect day closing above key resistance at 1,563. The chart still appears to be bullish, and I would not be surprised to see the index trading above 1,592 soon.

Further to Go

I know I have said this over and over again, but the S&P 500 is simply trading at a valuation that is too low.  It is currently trading at just about 15 times 2020 earnings, and estimates would have to fall a lot to get the S&P 500 back to a historical average one-year forward PE of 17.7. At its current value of 2,833, the S&P earnings estimates for 2020 would need to fall, too, by roughly 15% to $160.06 to have the PE rise that high. Now I’m not saying that can’t happen, but there would need to be a recession to trigger that kind of decline in earnings growth, and at this point, I don’t see that happening.

Yields To Fall More

10-year yields appear as if they are going to take another leg lower and fall to around 2.54%.

Declining yields is not a function of anything more than the spreads between US and International bonds being very wide. The spread between US bonds and Germans Bunds are near historic highs and is now contracting.

How many people thought I was crazy when in my ten expectations for 2019 I said 10-year yields would drop to 2.3%. Doesn’t seem so crazy now? Oh, and by the way, I wrote on that outlook on December 10. I also wrote on December 1 that the Fed would not raise rates in 2019.

Amazon (AMZN)

Moving on, Amazon continues its rise, and the big test will come at $1,770. Should the stock rise above that level, the next area of resistance comes around $1,850. But notice how the RSI is now breaking out of the downtrend. It would suggest to me that the stock continues up and through $1,770.

Facebook (FB)

Facebook continues to have a problem falling over 3% today. The stock is nearing a massive break down should it drop below $157. The RSI for Facebook suggests that it does continue to fall and $148 is coming.

Boeing (BA)

Boeing continues to hang on to support at around $370, for how much longer is the big question. I’m not sure that it can, and that means $330 is on the way.

Celgene and Bristol (CELG, BMY)

What does it mean when a stock is getting taken over at purpose price of $102, yet the stock is trading at $88, a nearly 14% discount heading into a big shareholder vote? Probably not a good sign, right? That’s how I would see it. Good Luck Bristol-Myers. The market doesn’t seem very confident in this deal.

Copper

Watch for a Copper break out and move up to $3.05 or higher in the coming days.

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Originally Posted on March 18, 2019

Michael Kramer owns SPY Calls

Michael Kramer manages the Thematic Growth portfolio offered by Interactive Brokers Asset Management, an online investing marketplace and a division of Interactive Brokers Group. He is also CEO of Mott Capital Management, a registered investment advisor.

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Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading futures, please read the CFTC Risk Disclosure. A copy and additional information are available at ibkr.com

This material is not intended as investment advice. IBKR Asset Management or portfolio managers on its marketplace may hold long or short positions in the companies mentioned through stocks, options or other securities.

This material is from Interactive Brokers Asset Management and is being posted with Interactive Brokers Asset Management’s permission. The views expressed in this material are solely those of the author and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


23216




Securities Lending

Interactive Brokers - Securities Lending Report 3/12/19 - 3/18/19


Sectors vs Short Positions

 

SLB Update: Largest Short Values

The following chart shows the 15 largest short values on March 15, 2019.

 

SLB Update: Highest to Borrow

The following chart shows the 15 highest borrow fees on March 15, 2019.

 

SLB Update: Hardest to Borrow

The following table shows the 15 hardest to borrow securities during the week of 3/12/19 – 3/18/19.

 

ETF Shorts vs Non-Shorts

 

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The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


23220




Macro

Invesco - Is A Retirement Savings Crisis on The Horizon? - By Jon Vogler


At the House Ways and Means Committee hearing on Feb. 6, 2019, witnesses promoted various solutions to address the projected retirement savings shortfall of American workers.

Committee Chairman Richard Neal, D-MA, opened the hearing by highlighting current trends that he said are indicative of a retirement income crisis in America (e.g., overly modest Social Security benefits, disappearing traditional pension plans and workers’ struggles to save for retirement). He noted that employer-sponsored retirement plans are the key to preparing for retirement, despite significant gaps in coverage for millions of workers, especially for employees of small businesses. To bolster his argument, he cited statistics showing that for workers earning between $30,000 and $50,000 per year, more than 70% would participate if offered a retirement plan at work, but only 5% would save on their own through an individual retirement account (IRA).

Neal also pointed to the open multiple employer plan (MEP) provisions of the Retirement Enhancement and Savings Act (RESA), reintroduced in Congress on Feb. 6, as a good starting point for bipartisan discussion, as well as his Automatic Retirement Plan Act, which would require all but the smallest employers to maintain a 401(k) plan for their employees.

 

Key recommendations around Social Security and MEPs

Diane Oakley, Executive Director of the National Institute on Retirement Security, observed that we should celebrate the progress we have made in reducing poverty among older Americans due in part to Social Security. However, she believes that the shift from traditional defined benefit (DB) pension plans to defined contribution (DC) plans has made it more difficult for Americans to save for retirement, noting that the shift has “… increased the risks and responsibilities for individuals in planning and managing their retirement.” She urged Congress to take “bold strokes” to improve America’s retirement preparedness, suggesting that one such action would be to “… promote universal access to a retirement savings vehicle through employer payroll so all Americans could take that first important step to pay themselves first with a retirement contribution.” She also testified that Congress should consider expanding and transforming the current tax credit for low- and moderate-income taxpayers who save for retirement.

Nancy Altman, President of Social Security Works, discussed the key benefits of Social Security, while stressing that the average Social Security benefit is still too modest. She testified that Social Security is especially important for women, people of color and others who are disadvantaged in the workplace. Her main suggestion for the committee was to increase the benefits paid by Social Security, contending that this would be one of the most efficient and effective ways to address the US retirement savings shortfall.

Cynthia McDaniel, a multiemployer pension plan advocate, focused on the dire funding challenges faced by many (but not all) union-sponsored multiemployer pension plans. She expressed her support for the Rehabilitation for Multiemployer Pensions Act, recently reintroduced in Congress by Chairman Neal.

 

Plugging the gap in private retirement savings

Roger Crandall, Chairman, President and CEO of MassMutual, suggested that while existing tax incentives for private retirement savings have been a tremendous success in encouraging Americans to save for retirement, there are still significant gaps in the nation’s private retirement savings system. Barriers to increased retirement security include lack of access to workplace retirement plans, low savings rates and longer life expectancies. He observed that lower participation and savings rates are disproportionately experienced by women, minorities, low-income employees and employees of small businesses. Crandall believes that more must be done to give more American workers the opportunity to achieve a financially secure retirement. This includes broadening retirement plan coverage, especially among small employers; increasing savings in existing plans and accounts (for example through enhanced automatic enrollment); and facilitating guaranteed income for life, which protects retirees from outliving their retirement savings.

 

Small and large business owners weigh in

Luke Huffstutter, a small business owner, focused on the savings opportunities his employees have enjoyed as a result of being able to participate in the state-run OregonSaves DC plan program. He urged the committee to consider making it easier for other states to follow in Oregon’s steps.

Robin Diamonte, Corporate Vice President for Pension Investments at United Technologies Corporation (UTC), provided insights from the perspective of a large employer offering retirement benefits to its employees. She discussed the steps that UTC has taken to promote retirement security for its employees, including a “Lifetime Income Strategy” program that utilizes automatic enrollment, various employer contributions, target date funds and lifetime income features. She reiterated that plan sponsors often are hesitant to incorporate innovative approaches in DC plans over the legal risk. Consequently, she urged Congress to “… create a pathway toward plan sponsor and fiduciary innovation, using clear and specific guidance, and reducing legal impediments.”

 

Some signs point to progress

Andrew Biggs, Resident Scholar at the American Enterprise Institute, cited statistics indicating that America is not experiencing a retirement savings crisis, including an increase in retirement savings, growing retirement plan participation, lower poverty rates for the elderly and lower dependency on Social Security. He expressed support for automatic enrollment, target date funds and open MEPs. He also urged Congress to fix the underfunding of government retirement plans, including Social Security and governmental DB plans.

The Senate Special Committee on Aging also held a similar hearing on Feb. 6 about financial security in retirement and best practices to promote savings.

We’ll keep you posted on future developments with respect to retirement security.

 

Sources:

SPARK GRC, “Summary of House and Senate retirement hearings,” Chris Gaston, Feb. 6, 2019

PlanSponsor, “Experts push Ways and Means committee for retirement reforms,” John Manganaro, Feb. 7, 2019

NAPA Net, “RESA, open MEPs at forefront of House retirement security hearing,” Ted Godbout, Feb. 7, 2019

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Is A Retirement Savings Crisis on The Horizon?  by Invesco US

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Invesco and is being posted with Invesco’s permission. The views expressed in this material are solely those of the author and/or Invesco and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


23217




1 2 3 4 5 2 2019

Informative

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