Data Diary

Hardly a vote of confidence in the recovery this return to quantitative easing – even if it is balance sheet neutral. Apparently, liquidity remains fragile. Consider where the CBOE put-call ratio was at the start of quantitative easing proper – when global liquidity was truly in a catatonic state: While the ebullience that marked the [...]

Once again the timely injection of central bank liquidity has stemmed the flight of the bulls.  The ECB has been busy funding scary debt from Spain and Greece at par, while the US Fed has done its bit by reinstating currency swap lines. The reflexive rally is now in full swing and can be seen [...]

After a torrid month of May, risk markets have entered relatively calm waters. If history is any guide, the 10 day moving average of the CBOE putcall ratio should gravitate towards the 60 level.  If we see the daily ratio close in the 40′s then that will be as good a signal as any that [...]

Risk appetite has beat a hasty retreat over recent weeks (it’s come a long way – see our recent snapshots here and here).  It’s unlikely to push further without some fresh impetus. Suggest then that a pause is likely with good odds of some sort of retracement. 1) Elevated volumes are generally followed by a period of [...]

I’m a fan of John Taylor at FX Concepts – if only for the clarity of his calls.  Zero Hedge has some of his recent thoughts (here) including these gems “2011 will be worse than 2008″ and “there is a very high probability of a serious bout of risk aversion beginning in the next five trading [...]

Signs of imminent turbulence ahead for the equity markets – consider the following: Marketbeat notes that 52 week highs have rolled over – as happened in January this year and October last Molecool via The Slope of Hope notes that ISEE equities only closed just short of all time highs Along similar lines, VIX and [...]

Risk appetite is the most fickle aspect of the valuation process.  From exultant fist-pumping on the mountain top to indecisive cowering in a dark cave, market sentiment can swing swiftly or, just as likely, can defy seemingly rational expectations for nigh on an eternity. What is the value in tracking risk appetite then? 1) Extremes [...]

Interesting currents wafting around the markets at the moment – while brokers have generally been upgrading their 6 to 12 month outlook for equities post the results season, indecision seems to be stalking some of our risk measures. Consider the CBOE Put/Call ratio.  This has reasonable form at marking out extremes in sentiment, and critical [...]

With the global equities market in bushy tailed mode, it’s been remiss of me not to throw this chart up: A trend reversal in the monthly (higher high and close below the previous months range) has good form as an leading indicator of market direction.  The conclusion – keep out of the carrot patch unless [...]

A quick update on the CBOE put/call ratio that is trading at levels that typically suggests stormy waters ahead for the equities market. With volumes in both puts and calls on the up post the Christmas lull, the market is betting on increased volatility. But as we can see in the following breakdown, it is [...]