Intermarket Analysis (Mar 18, 2018): e-mini SP500 (/ES) vs. 30-year USA Bond (/ZB).

Until early October 2017, the bond rate confirmed (though not with the same dynamics) the dynamics of the SP500 index. At the end of 2017, the bond market began to decline sharply, the stock market (sp500) did not pay attention to it (the last buyers bought). After that, the SP500 market fell sharply.
This again confirms the relationship between the stock market and the debt market.

ES ZB comparison

VIX on the Mar 18, 2018

“Index of fear” shows that the group of commercials gradually comes out with a long position, open interest is reduced, the price gradually returns to the range of the flat.

Correlation with the ES 500 index shows that the ES 500 index after correction will resume its growth.

VIX on the Dec 10, 2017

Since the last post Commercial twice built up a short position – both times VIX sharply soared above 11.5 points, followed by returning to 9 points.

Both times, the index e-mini SP500 does not fall below the previous low – positive divergence.

At the moment, open interest is declining, possibly reducing volatility.

Interest rates (TNX) and Dollar (EUR/USD).

Another series of intermarket analysis …

Today we will focus on what is the cause of all the movements in the market cause the overflow of big money … interest rates and currency (US dollar).

Interest rates (important to change them) determine the value of money. Below are two charts: the yield of 10 year US bonds and the currency pair EUR/USD.

Growth rates leads to an increase in the national currency, the fall – a fall.

The image below clearly shows this relationship, but with a slight delay, ie, large capital needs more time to redistribute, as it takes time to the banking sector (the supplier of cash in the form of loans) to respond to the change in interest rates.

  • growth rates up to 2007 led to a rise in the dollar (falling of pair EUR / USD) in 2008;
  • growth rates in 2009 and early 2011 led to an increase in the dollar in 2010, and since mid-2011, respectively;
  • increase in interest rates resulted in a rise in the dollar by the end of 2013 in 2014 (coinciding with the fall of the ruble by 50%);
  • growth rates at the end of 2016 and the stabilization of this year could lead to a subsequent increase in the dollar (the same as the payment of dollar liabilities that will need to pay in dollars, thereby selling the national currency (in this case, in rubles), and coincides with the end of the year, “New Year’s rally”).

The analysis is not so difficult, but it is very important to start the analysis of the world situation from the outset.

Next will be more interesting …

Intermarket Analysis: e-mini SP500 (/ES) vs. 30-year USA Bond (/ZB).

In a previous post about one of the dependencies (relationship) in intermarket analysis suggests that the bonds sagged seriously (it is the price of bonds, rather than the yield), while the price of the futures /ES continued to grow.

Last week, futures /ES dropped to 2560 – and that’s working out of this relationship.

To determine the time of the turn of the /ES it was necessary to follow the tape (every day) and watch several other tools (which will be discussed later).

All financial instruments are interconnected – money (by themselves) is not needed by anyone – you only need what you can buy (somewhere to invest). So in the market of futures, bonds, forex and raw materials – money (huge amounts) flow from one asset to another. And these marks are visible!

ES vs. ZB correl




Intermarket Analysis: e-mini SP500 vs. /ZB (30-year USA Bond).

Now we will talk about the relationship between the debt market (/ZB) and stock markets (/ES).

Dependence is not clear, but the analysis is quite interesting – for growth /ES classics must be confirmed by the increase /ZB.

But in practice this does not happen often. From my experience of trade (both intra-day and in the interval (month/quarter) noted the following – first is /ZB, and then pulled /ES.

The highlighted areas below (except for the second-order) one can see that during the fall /ZB, /ES initially attracts new buyers, stabilizes and begins to fall (both due to stop-orders customers, and due to the new sell-stop orders).

On intermarket analysis, information will be received gradually (I do not have much time yet).

ES vs. ZB correl