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Friday, August 19, 2011

How this OPEX period closed for the YM, ES, NQ & TF

Below is a chartgrid of the YM, ES, NQ and TF. Each candle represents a one-month OPEX period. The current candle closed today.


Overlayed on each chart are:
  •  a regression channel which begins at the high close around mid-2007
  • a Fibonacci retracement taken from the 2007 high to the 2009 low in the case of the YM and ES, and taken from the 2009 low to this year's high in the case of the NQ and TF
  • a sideways channel broken into thirds within the Fib retracement high/low boundaries
In terms of relative weakness of closing price as measured against the above studies within the realms of the one-month OPEX timeframe:
  • the ES led as it closed just below its 50% retracement level and just above its downtrending "mean"
  • the YM is next in line on the weakness scale as it closed just above its 50% retracement level and its downtrending channel "mean"
  • the TF is third as it closed just below its 38.2% retracement level and its uptrending channel "mean"
  • the NQ closed the strongest above its 38.2% retracement level and just below its uptrending channel "mean"
  • the YM, ES and TF are currently within their middle one-third of their sideways channel, while the NQ is still in the upper one-third, albeit near the lower portion
  • all four are still above the 2010 lows (which lie near a Fib retracement level...the TF is closest to its 2010 low of 584.30)
Below are Daily charts of the YM, ES, NQ and TF.


Overlayed on each chart are:
  • a downtrending regression channel which begins at the high close of this year
  • a Fibonacci retracement taken from the highs of this year
  • a sideways channel broken into thirds within the Fib retracement high/low boundaries
However, I'll provide comments on relative weakness of current price as measured against the studies within the realms of a 4-hourly timeframe, as shown on the charts below, since they provide a further breakdown of what's going on in the Daily charts:


Overlayed on each chart are:
  • a downtrending regression channel which begins at the high close of this year
  • an uptrending regression channel which begins at the low close of this year
  • a Fibonacci retracement taken from the highs of this year
  • a sideways channel broken into thirds within the Fib retracement high/low boundaries
With respect to relative weakness, all four are roughly equal in terms of where they are in relationship to their shorter channel, their Fibonnaci retracement level, and their sideways channel. However, because the NQ made a higher close much later in the year, its downtrending regression channel is much steeper than on the other three e-minis, and price closed just below its "mean," whereas, price closed in between the -1 and -2 deviation levels on the other three e-minis. I would, therefore, say that the NQ is showing relative strength in this timeframe because of this...however, a break and (and hold) below the -2 deviation of the shorter uptrending regression channel and the lows of this year, would be bearish for all four e-minis and could begin a second leg down within the longer downtrending regression channel.

I would add that there is quite a lot of support below current closing price as depicted on the first chartgrid above. It may be that price retraces somewhat before making another move to the downside...however, the large price moves of late have been news driven, particularly with respect to Europe, so any moves could continue to be quite volatile and defy traditional technical analysis. I'll be watching the various VIXs closely for further clues in increasing vs. decreasing volatility, as well as upward vs downward price momentum and velocity of momentum, and volumes on the four e-minis (and their regard for or disregard of technical analysis) in the days and weeks to come.