• • • Peek Into Future Through Futures • • • By Hedgopia | March 25, 2017
Following futures positions of non-commercials are as of March 21, 2017.
E-mini S&P 500:Currently net long 89.1k, down 72.7k.
Things have not been going well for the cash since it gapped up on March 1 to an intraday all-time high of 2400.98. Of note is Tuesday’s high-volume, 1.2-percent drop, which sliced through the 10- and 20-day moving averages. Since that peak, there are now lower highs and lower lows.
That said, the index Friday came within 0.2 percent of testing the 50-day, which has not been tested post-election, so likely does not give way at the very first try. One possibility is it rallies to 2370, which approximates a declining trend line from the March 1 peak. Flows will probably decide what happens from there.
In the week ended Wednesday, SPY, the SPDR S&P 500 ETF, lost $3.3 billion. In the prior three, it took in $9.6 billion (courtesy of ETF.com).
In the same week, $1 billion came out of U.S.-based equity funds. This was the first withdrawal in the last eight weeks, with $47.1 billion moving in the prior seven (courtesy of Lipper).
For the week, the S&P 500 lost 1.4 percent.
Nasdaq 100 index (mini):Currently net long 76.1k, up 2k.
Despite Tuesday’s massively engulfing bearish candle in which the cash lost 1.5 percent, it is yet to develop a cross-under between 10- and 20-day moving averages. Such has been the momentum this year behind the tech- and biotech-laden index.
Of the top five Nasdaq 100 weights, Apple (AAPL), Facebook (FB) and Amazon (AMZN) rose to fresh all-time highs Tuesday before reversing hard, while Microsoft (MSFT) and Alphabet (GOOGL) tested recent record highs.
Too soon to say if bears can develop the Tuesday reversal into something big. This much we know. Year-to-date (through Wednesday), QQQ, the PowerShares Nasdaq 100 ETF, lost $455 million (courtesy of ETF.com), and this did not matter.
Russell 2000 mini-index:Currently net short 42.2k, up 17.5k.
The cash has been bobbing up and down between 1392 and 1347 for three and a half months. Tuesday’s 2.7-percent mini-collapse literally dropped the index at that support, with a slight breach the next day. Friday produced a long-legged doji right on support.
Bulls are stepping up to the plate to defend 1347. In the week ended Wednesday, IWM, the iShares Russell 2000 ETF, took in $2.6 billion (courtesy of ETF.com).
Worth remembering: Mid-March short interest on IWM stood at 108.1 million, down 8.1 percent period-over-period but still up from 93.7 million from mid-January. This can act as a potential source of mini-squeeze.
In this scenario, bulls then have to wrestle with tons of resistance – 1375 (50-day moving average, now slightly dropping), 1380-ish (declining trend line from March 1 record high), and, of course, 1392.
US Dollar Index: Currently net long 46.3k, down 1.5k.
Three back-to-back doji right on support this week. The cash dropped to an intraday low of 99.34 on Wednesday (and 99.36 Friday). This compares with 99.09 on October 25, 99.25 on December 8, and 99.20 on February 2. Hence its significance, and likely holds near term.
Incidentally, this level also represents the neckline of a potentially bearish head-and-shoulders formation.
VIX:Currently net short 113.4k, up 12.9k.
VXX, the iPath S&P 500 VIX short-term futures ETN, is attracting money, having pulled in $257 million in the first three sessions this week. Whether or not they had the right instinct likely depends on if spot VIX is able to take out the 200-day moving average.
Volatility bulls were not able to hang on to Friday’s intraday break out of that average.
The last time VIX closed above that average was November 8 last year, the election day. The average was 15.7 at the time, and rapidly dropping. Now, it is more than two points lower, but flattish to slightly dropping. So odds are better, although it may have to first unwind overbought daily conditions.
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