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Short term prediction, really just short term expectation

By Graybox following x   2017 May 3, 11:08pm 2,229 views   12 comments   watch   quote     share  

Is tomorrow short enough time frame? Volatility on the horizon tomorrow and could very well follow though to Friday close..

S$P blows threw the last high perhaps touching 2425.
VIX maybe test the historical lows.9+/-
XAU the money is on the short side XAG as well.
USDMXN down, a great neg correlation to the S$P
OIL is a bit sketchy but may see a small pop due to the general US markets breaking to the upside.
USDCAD short side
USDX may actually correlate with the S$P and test higher there are some odds of that happening.

Happy trails.....


1 Graybox   2017 May 4, 10:16am   ↑ like (0)   ↑ dislike (0)     quote        

Graybox says

Volatility on the horizon

Wishful thinking maybe, I love violent markets an perhaps will see some front running for tomorrow before the end of the day.


My system is phenomenally more effective in a volatile environment and really the only time I can execute my trades with expectation
of high probability. Here's the question to me and indicator as to the weight of forward looking volatility measurements and factors,
the major gaps in S$P, VIX, DXY and how they will be filled or not in the short or intermediate time frames which can speak volumes
about what can be expected. A good site for additional indication of things to come is found on
which provides volume in the currency markets, scroll up and you will find the charts.

Trading on the day of the gaps

2 CBOEtrader   2017 May 4, 11:36am   ↑ like (0)   ↑ dislike (0)     quote        

Graybox says

Graybox says

Volatility on the horizon

Did you miss my charts? Volatility is at least 4 months off. You may get an errant 4% move lower once every 10 years within 8 weeks of a previous high, but the BIG moves have historically not happened for over 200 days after the last market high...

4 CBOEtrader   2017 May 4, 11:39am   ↑ like (0)   ↑ dislike (0)     quote        

Here's another look. Notice how vol goes to sleep at market highs, only to slowly wake back up as time passes and it fails to achieve a subsequent high.

5 Graybox   2017 May 4, 12:46pm   ↑ like (0)   ↑ dislike (0)     quote        

CBOEtrader says

Volatility is at least 4 months off. You may get an errant 4% move lower once every 10 years within 8 weeks of a previous high, but the BIG moves have historically not happened for over 200 days after the last market high...

I do appreciate your take and that may prove to be the case in the end status quo sort of thing.
I'm really only concerned about short time pops in volatility for my system to have the power to play.
That's why I was only in the market a total of 3 days I could see there wasn't going to be much follow through.

You are absolutely right about volatility being weak. In the 29 currency pairs I trade they have a combined
collective alpha of .74 lol low and high ranging from +7.54 to -6.55 very anemic not to mention the CFD's
are basically in the same situation, as well we are in May so what you say does carry weight in the big picture
and will have effect depending on the system traded.

My strategy is to follow price up like the S$P which is my current expectations when I see the players hit the table,
and no one can know the power of the play until your either in it or it's over. Actually I am looking for the desired mega
move in volatility to be on the downside not on the up, however think the markets will be hitting some nice new highs
until that time comes. Most markets may very well and likely just continue consolidating however some are likely to
continue to make higher highs slow and steady. Will just have to wait and see.

Most of the price action is likely to be more like riding in the daily driver however if there is times to get the muscle car out
and take it around the track I will be ready rather the trade of choice goes up or down.

6 Graybox   2017 May 4, 2:28pm   ↑ like (0)   ↑ dislike (0)     quote        

CBOEtrader says

Did you miss my charts?

I tried to read your charts but couldn't make them out. The txt are not readable to me however I would like to
know what they say. Implied volatility is a good tool although I don't use it outright but rather use my eyes
it's just what I do, I know it has value... I don't trade options just never had the desire but I have studied them
and developed some simple tools from what I learned.

7 Graybox   2017 May 7, 1:32pm   ↑ like (0)   ↑ dislike (0)     quote

In the mean time S$P will likely be enjoying new highs and gold will be discovering lower prices.

8 Graybox   2017 May 25, 7:58am   ↑ like (0)   ↑ dislike (0)     quote        

Graybox says

S$P blows threw the last high perhaps touching 2425.

Slow but steady...

9 HEY YOU   2017 May 25, 9:09am   ↑ like (0)   ↑ dislike (0)     quote        

Glad investors can play in an open & transparent market
that is not controlled by computers which can't react to instantaneous changes like the minds of traders.
One always knows when the market will fall,a lot or little.

Anyone ever have a loss?
No! These are geniuses.

10 Graybox   2017 May 25, 11:12am   ↑ like (0)   ↑ dislike (0)     quote        

HEY YOU says

Glad investors can play in an open & transparent market

that is not controlled by computers which can't react to instantaneous changes like the minds of traders.

One always knows when the market will fall,a lot or little.

Anyone ever have a loss?

No! These are geniuses.

I'm trying to figure out your point. It doesn't take a genius to know and use risk management practices per their own individual
risk appetite. I use a computer and live data using excel but am not a programmer so it is simple compared to HFT. I am a manual trader
and my last trades had 80+ win ratio and once that set was closed my profit factor was 77+. Do you know what a profit factor represents?

Most investors do it passively which is great and it's their freedom to do so and I don't have a problem with that at all I just choose a different
route and system. Horrible I know but I will tell you this when the environment changes and a confirmed shift takes place I will let you know that
as well.

11 BayAreaObserver   2017 May 27, 2:29am   ↑ like (1)   ↑ dislike (1)     quote        

@Graybox - thought you might enjoy this chart and explanation I ran across earlier this morning.

The fluctuation of oil prices is often cited as an important factor driving equities. Our work shows that this is not always the case and that the correlation between the price of oil and the S&P 500 continues to ease.

We looked the statistical relationship two different ways. We ran the correlation simply on the direction of oil and the direction of the S&P 500. Then we conducted the correlation on the percent change of each time series.

The first Great Graphic (created on Bloomberg) here shows the rolling 60-day correlation of the level of the S&P and the level of oil since the beginning of last year. In early 2016, the correlation was almost perfect, but steadily fell and spend a good part of the second half of the year negatively correlated. Late in the year, the correlation began recovering, and February reached almost 0.8. However, a month later it was into inverse territory. It is now -0.36.

The second chart here shows the correlation based on the percentage change of each time series. Ultimately investors are interested in the correlation of returns. In Q1 16, the correlation reached almost 0.60, fell by 2/3 to 0.20 before the end of Q2 16. It recovered in Q3 but was unable to surpass the earlier levels. By the time OPEC announced its decision to reduce output to encourage a draw down of inventories, the correlation was trending lower. It briefly dipped into negative territory in February before it recovered in March, but has been trending gently lower over the past two months and now is near 0.18.

The takeaway is that based on current correlations, investors in the S&P 500 should not put much weight on the direction of oil. The correlation is not particularly stable, and it is low now. Of course, some sectors will be more sensitive than other sectors to the change in oil prices. However, knowing the change in oil prices will not give one much help in anticipating the S&P 500 index.


12 Graybox   2017 May 27, 10:54am   ↑ like (0)   ↑ dislike (0)     quote        

@BayAreaObserver Thanks for sharing, I do use relative correlation and is a great tool but far from a stand alone indicator but rather I add the thought of correlation when I am profiling a market that has relative correlation with another market. Such as $WTIC has a strong relative inverse correlation with $USDCAD and positive with $CADJPY however if any or all the markets are ranging that is where the correlation can go off track. The other factor is risk environment on/off the correlation of commodities vrs. stocks which are inherently a neg. correlated in general so might as well add XAU to the mix. There is a chain of markets that can be considered when a person is evaluating correlation patterns. Since AUD and NZD have a positive correlation with XAU/XAG then those can be measured and considered as well and as a part of the whole you have USDMXN and USD inverse to SPX and and it goes on and on. All those consideration depending on price of the trade of interest can help determine the type of environment and if it's counter trade material or more of a trend trade.

I also correlate the strength of the major currencies as a whole by profiling how that country is performing on a individual bases against the other majors and then comparing the results to that countries over-all performance such as USD vrs AUD, nation vrs.nation. I rarely put the correlation to #'s but rather use observation in a very general sense. Right now from where I stand I would be careful in going to bullish on oil whlie S&P is heading higher although there will likely be some short term correlation from time to time. To me oil is weighted more to the down side then up and a more positive correlation is likely to come on the downside not the up.

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