BarroMetrics Views: S&P, An Update 2013-06-20 III

Today we are looking at a context for the current S&P price structure.

Long-Term Perspective

Figure 1 is the cash, Monthly S&P, Normalised Volume from Market Volume. We see that the high at  1576 produced more volume (blue line) than the new high at 1688.

Given that the S&P’s have been in a congestion market since 2000 (Figure 2), the new high at lower volume raises the probability of an Upthrust Change In Trend Pattern (for the 60-month swing). At the very least, if we see a bearish conviction close below 1447, we should see a breach of 666.

Medium Term Perspective

I have found that the MRCI seasonal chart useful in my trading. Figure 3 shows that we can expect:

  • a seasonal low 3-4 week in June to 1st week of July.
  • a seasonal high around mid July
  • a seasonal high around mid Sept. (There are intervening seasonal highs and lows between Aug to Sept but I view the mid-Sept highs as the most important).

You may ask if we see a rally from here (a June seasonal low), why do I expect the July seasonal low to form a lower low rather than a higher one?

Answer:  the current price structure and price action suggest continuation of the down move to 1540 to 1545 (basis cash) unless the E-mini (Sept) accepts above 1620.

Current Status

Yesterday, Speck asked how, if a new low occurred yesterday on declining volume, how would I treat it?

We did see a new low. This is how I have viewed it.

Figure 4 shows the Split Delta picture.  In the first two periods, we a waning of selling control that is followed by strong buying control. In the final period, despite the strong selling control, the buyers were able to provide a floor, and as a result inside bar resulted. This suggests more upside today.

Finally Figure 5 shows the S&P, Daily Normalised Volume. We see exceptionally strong volume but the close is around mid-range - this supports the Delta suggestion that buying was strong enough to provide a floor.

So, it seems to me that we should see a rally today, and we need to see a close above yesterday’s high to set the scene for a test of 1620 (basis Sept).

A test yesterday’s high that is followed by a bearish- conviction close below yesterday’s low would suggest that the test of 1620 has failed. Such a failure means we’ll see the S&P trade lower looking for 1540 to 1545. (By test I mean the Emini touches at least 1575) 

nvm.png

FIGURE 1 S&P Cash Monthly Normalised Volume

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FIGURE 2 S&P 12-month and 60-month Swing

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FIGURE 3 MRCI Seasonal S&P Chart

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FIGURE 4 E-mini, Split Delta

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FIGURE 5 S&P Cash Daily Normalised Volume

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