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

/ZB on the Mar 18, 2018

After the growth of the short position (against the background of the growth of open interest) in December 2017, the bond rate fell sharply and stopped. On this drop, the commercial began to buy sharply (the growth of open ineterset confirms this).

It is possible to update the minimum bond price to the support №1 or to support №2, after which the price will go up.

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.

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