Aug

20

The SPU futures have gone exactly 26 trading days since 7/12/2012, the last time that they registered a 1 % decline over the preceding 2 days. Such events have occurred relatively infrequently over the last 13 years, indeed just 5 times, with neither bearish nor bullish overtones.

Of course, during that time period the 30 year bonds have gone down about 7 full points, while the SPU futures have gone up 35 points. Multiplying the bonds by 10, that's a 8 percentage point increase in the ratio of stocks to bonds. That reminds the old times of 1987 where the divergence must have hit 50 percentage points. One notes however that of the 35 most similar divergences during the past 12 years, the expectation 10 days out for SPUs was zero. Similarly, zero expectations exist based on this for the bonds with standard deviations of approximately 2 % for both entities over the next 10 days.


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  1. Craig Bowles on August 22, 2012 7:39 am

    Mid-day Tuesday viewing 2hr charts showed how much the dollar had fallen just to allow the S&P to remain rangebound. This morning saw the FTSE and Dax move up before 5am and haven’t been withing 2-3 handles since. Somehow, S&P futures still manage to move back up to the earlier high proving once again how loose stops have to be to survive. Everyone keeps insisting that stocks go up August-September of election years but how are we going to deal with these prices. Beans? Oil? Oil and/or interest rates have to give up some of this short-term relative strength vs stocks for a more healthy setup. $100 oil has proven to be unsustainable for the current economy. Food prices have to weigh on budgets, as well.

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