Archives March 2022

Founder’s Notes Update – 3/7/2022

Unless price rebounds back into balance, which would be incredibly bullish, the slow drip down continues as the algos tune back into negative gamma spirals associated with put buying.
Unless price rebounds back into balance, which would be incredibly bullish, the slow drip down continues as the algos tune back into negative gamma spirals associated with put buying.

Per the morning notes, the S&P 500 approaching the Balance Area low at 4275 changed the tone back to bearish. Equally damaging to the bull case, the price could not get through the 5-day line or the Volatility Trigger on the first 5-minute bar. The price has fallen below the Balance Area low – which triggered a short signal for subscribers.

Unless price rebounds back into balance, which would be incredibly bullish, the slow drip down continues as the algos tune back into negative gamma spirals associated with put buying.

Downside targets are the overnight low at 4238, then the Put Wall and Weekly Expected Move low at 4200. Breadth is not terrible, so the decline is attributable to big cap tech, financials, communication, and consumer discretionary – heavy index weightings all.

Per Balance Rules, the balance break implies a move typically double the range. The figure here is 139 S&P 500 points pointing to 4136, which would nearly be a retest of the 2/24 low. We are early enough in the week that the WEM low could breach and still return to 4200 by Friday. We have seen that movie before, so don’t automatically assume 4200 will hold.

But the market would need to get through the Put Wall at 4200 as well. So the double dose at 4200 has the potential to give us a pivot.

I was surprised this morning, as I expected more strength around the Open given the nearly complete recovery of the overnight spike low. But that is also why I advised you to trade later rather than earlier. There was nothing formal this morning to help guide us at the Open.

On a separate note, it does not hurt to track the Fibonacci levels from the 2/24 rally. The 50% retracement at 4261 failed to hold, and the 61.8% retracement is at 4223. The bear’s hand improves on a breach of 4223. And a full retest or worse becomes more probable if 4200 fails to hold.

The Founder’s Group will cover half of our shorts at the 4238 overnight low. We will hold a runner with a tight stop down to 4200, where we will reevaluate.

All you need to do is follow the morning plan to achieve similar success.

No predictions – we have to wait and see what happens.

A.F. Thornton

Founder’s Morning Notes – 3/7/2022

This 15-minute S&P 500 Futures Regular Session Chart for 3/7/2022 shows A.F. Thornton's Key Morning Levels on the S&P 500 Continuous Futures Contract (March).
This 15-minute S&P 500 Futures Regular Session Chart for 3/7/2022 shows A.F. Thornton's Key Morning Levels on the S&P 500 Continuous Futures Contract (March).

Good Morning:

  • I will go easy on you this morning having spent a lot of time on the Navigator Oracle Weekly Forecast.
  • I will make up for it this afternoon – as I still think we are living in an alternate reality.
  • Because we remain in a trading range until further notice, I am long from 4200 or below and out (or short) above 4400 for now. The technical, granular balance levels are 4275 and 4414. 
  • We tagged 4239 overnight, so if we retest that level in the regular session, I would be looking to go long on a pivot.
  • We were slated to open with a gap down, with Gap Rules applicable. But we are back inside Friday’s regular session range at this writing. Use Gap Rules if we open with a True Gap down.
  • Overnight inventory had been net short, but it appears that profit-taking has already taken place pre-market.
  • Absent the Gap Down, the open is slated to be neutral so it may pay to let the market settle down a bit before taking any positions.
  • Don’t forget to mark the open.
  • Today’s range is slated to trade between 4271 and 4383, based on today’s expiring options.
This chart shows A.F. Thornton's key Gamma and other strike levels likely to influence the S&P 500 Futures today.
This chart shows A.F. Thornton's key Gamma and other strike levels likely to influence the S&P 500 Futures today.
  • Open interest changes from Friday show the net closing of puts that had been greater than or equal to 4350, with 20,000 calls added to 4400. This served to shift many key options influence levels lower.
  • The Zero Gamma level is now 4460, and the Volatility Trigger is now 4325. 
  • 4325 is important because above the Volatility Trigger is resistance, along with the 5-day line, but above it the market shifts more towards mean reversion. Dealers will start buying dips and selling rallies rather than selling into dips and buying into rallies. Ranges and volatility will start to contract.
  • At Zero Gamma, options will have less overall influence on the index.
This chart shows options gamma at price for 3-7-2022.
  • Last night was another Sunday night negative overnight session that did not grip. There is potential for early strength today in the sense that the overnight trade looked below 4275 (which I peg as the technical Balance Area low) and failed.
  • Per Balance Rules, that could move us back to the Balance Area High which pegs at 4414.
  • Technically though, Balance Rules don’t apply to overnight trade but note the data point in your narrative.
  • Opening in the middle of the range (near the half point at 4344.50) is unhelpful. Look for pullbacks to be buyable on pivots as long as prices hold above the balance area low.
  • Note the nuances above of the small gap and the 4360 VPOC from 3.3, both of which would be short-term targets.
  • Any test of the balance area low changes the tone considerably. Monitor for continuation.
This chart shows the S&P 500 Futures from the perspective of volume and time at price on a day by day basis, with the last 20 days of cumulative volume at price in the larger, gray histogram to the right.
This chart shows the S&P 500 Futures from the perspective of volume and time at price on a day by day basis, with the last 20 days of cumulative volume at price in the larger, gray histogram to the right.

I am leaning toward early strength. Good luck today.

A.F. Thornton

Navigator Oracle – 3-6-2022

This chart shows the current status of our Navigator Swing Trading Algorithm.
This chart shows the current status of our Navigator Swing Trading Algorithm.
Issue Number 0974 - 03/06/2022

The Navigator Oracle™ is BluPrint Quantitative Strategies’ signature publication. The weekly forecast is available Monday mornings free and can be sent directly to your email if you register. Subscribers receive the Oracle on Sunday morning, along with essential updates during the week and live access to swing trading signals initiated by the BluPrint Founders Group.

Introduction

Welcome to March 2022. Our core market thesis is now available here. Because the thesis changes infrequently, we now leave it as a reference on the right side menu. If you are new to these pages, start with the thesis to put context to these forecasts. If the hypothesis were to change materially, we would publish an update.

The week started with the Navigator Algorithm taking us back to cash on a stop after slight gains on our last entry. Index prices likely reflect the geopolitical situation getting worse before it gets better. Our year-to-date returns are phenomenal without a single losing round trip.

The Ukraine conflict inherently feeds an unhealthy dynamic: slower growth and higher inflation. The Fed will tighten financial conditions – the extent to which remains an open question until mid-month. Chairman Powell wisely telegraphed flexibility in his latest testimony to Congress. But how exactly does the Fed drive inflation from 7% to 2% when oil is over $120 (+22% last week alone) and 10yr real rates are down 92bps (down another 33bps this past week)?

It is difficult to see how higher interest rates would solve inflation. Parabolic oil prices are a self-inflicted wound that could be solved overnight by the Biden Regime reversing its hostile energy prices. Supply challenges still seem to me to be the inflation catalysts rather than demand. Why exactly would anyone try to slow a recovering economy anyway?

It is mind-boggling that we are attempting to solve the oil problem by negotiating deals with Iran and Venezuela for oil. Is this commie appreciation week? Our current regime seems to have more in common with Cuba, Nicaragua, Venezuela, and Iran than makes me comfortable.

It is not unlike rewarding Putin by continuing to purchase Russian oil. I am starting to wonder if these people are purposely trying to enrich our adversaries, leave our borders open for their mercenaries, and hasten our demise.

Whether demand wanes or inflation pressures squeeze margins, the events at hand can negatively impact company earnings. P/E multiples are likely to contract – as they harken from the 87th percentile of modern ranges.

From a technical perspective, whether or not a long-term bear market is underway, the 2/24 Ukraine invasion low successfully retested the January swing low. And the invasion low has been secure for eight trading sessions, while the S&P 500 Index continues to consolidate.

With the Globex futures market back to the bottom of range tonight, the chances of the consolidation resolving in another leg up could be diminishing. We will see what the morning brings, but it is not easy to call.

The market (at least as measured by the S&P 500 Index) has held up remarkably well in the circumstances. It has only been down 10% from its peak on a closing basis. I have seen 10% corrections manifest over a lot fewer adverse events than are on the table now.

What I believe is happening is that the market is differentiating as time goes on. Russia’s assets are down deeply and close neighbors are under heavy pressure. European assets are through the lows of last week in many cases. The US, Japan, and others have priced in some risk premium, but meaningfully less.

The underlying trajectory of growth remains firm, as we saw last week in the ISM report and payrolls. Underlying corporate fundamentals also remain healthy, including very significant returnofcapital through buybacks.

And then there are those record flows into stocks the past few weeks from institutions, corporate buybacks and retail investors. After all, what is the meaningful return alternative? And with over $1 trillion in Put Options (our Put Wall) sitting around 4200, the street is majorly hedged.

With the backdrop of extreme bearish sentiment and the bullish divergences on the 2/24 low, there is an argument for another leg up, even if the market rolls over again afterward.

However, I won’t exclude a panic spike low, but that likely requires a new, unforeseen catalyst. With both oil (130 per barrel tonight) and wheat parabolic, the market might always find a new reason to go down.

This week, inflation figures will come out on Thursday and be the last reports before the mid-month Fed meeting. Consensus expects consumer inflation to come in at 7.9% – wow. Oil alone (as it permeates the economy) could further impact the CPI over consensus estimates. I hope the numbers come in at or below the consensus, but I have my doubts.

If we are starting another leg down, breaking the consolidation projects targets at the 2/24 invasion low near 4100. But the WEM low and options Put Wall at 4200 should catch the fall.

As always, keep an open mind to all possibilities. Positive S&P 500 sectors are moving higher, while others are correcting. That is what gives us the sideways consolidation. There is no symphony of higher and lower price action as yet. It comes down to sector weighting or synchronous price action for a higher or lower leg.

I would bet on higher prices if we were still clearly in a bull market or otherwise normal conditions. But it is more difficult to be confident in such turbulent conditions. As one of my mentors, Al Brooks points out, traders always buy the first correction of a tight bull channel, and attempt a new high before the market rolls over again. We shall see.

Navigator™ Algorithm - Current System Status

The Navigator Swing Trade Algorithm chart appears at the top of this writing, and the market has fallen below the Algo trigger line tonight. Even before that, the Algo had flipped back to a sell signal on the hourly chart. The overall reading is mixed to bearish just like the market, as indicated by the “kill zone” label. Nobody can say I don’t have a sense of humor if I can teach a computer to give us that reading.

Weekly Range

Volatility remains high, and the market continues to trade below Gamma and Delta Neutral, as well as the Volatility Trigger. That means that negative gamma will exacerbate both rallies and declines, and ranges will be wider than average. The Weekly Expected Move Range is 4205 to 4453 on the SPX cash index, roughly 250 points. 

S&P 500 Index Health Checklist

✓ Trend

As was the case last week, the S&P 500 Index trend is mixed. The short-term trend remains bearish. The Primary Downtrend Line remains intact.

This is a chart of the S&P 500 Continuous Index Futures (March) - Daily showing relevant trendlines and the Weekly Expected Move.
This is a chart of the S&P 500 Continuous Index Futures (March) - Daily showing relevant trendlines and the Weekly Expected Move.

Yet the longer-term trend is still bullish as the price remains above the Primary Uptrend Line. It is also possible that a bullish falling wedge may be forming on the daily chart.

✓ Chart Patterns

Last week, we pointed out that the market had reversed from an “h” pattern and an even more rare “piercing pattern,” both of which resulted in bullish price action. New, discernable patterns this week are scarce.
 
You can always consider the consolidation area a rectangle, but it has a bit of a slant. For sure, it is a balance area, and Balance Rules should continue to be applicable. Also, the bottom of the consolidation is a 50% retracement of the first leg up. The market could pivot and put in a second up leg equal to the first in a classic ABC pattern.
This S&P 500 Continuous Index Futures (March) - Daily Chart shows a potential bullish resolution with an ABC Pattern
This S&P 500 Continuous Index Futures (March) - Daily Chart shows a potential bullish resolution with an ABC Pattern

An ABC up leg is a bullish data point, but it is pure speculation. There is little to add to the positive chart patterns that brought us out of the 2/24 low.

If you are an Elliott Wave fan, the current wave count is courtesy of Daneric’s Elliott Wave.

This is a chart of the broad Wilshire 5000 Index- Elliott Wave Counts. The chart shows a bearish pattern.
This is a chart of the broad Wilshire 5000 Index- Elliott Wave Counts. The chart shows a bearish pattern.

The wave count is bearish. It contemplates a (iii) of a [iii] of a (3) down, the most extended wave in the sequence. If the interpretation is correct, we need to put our big boy pants on for the next leg. Even the WEM Low and Put Wall won’t matter if the market launches a “3” wave down.

Of course, it wouldn’t be Elliott Wave without an alternate count:

This chart shows the alternate Elliott Wave count for the broad stock market, as represneted by the Wilshire 5000 Index..
This chart shows the alternate Elliott Wave count for the broad stock market, as represneted by the Wilshire 5000 Index..

That has always been my problem with Elliott Wave. I can’t trade it might be this, or it might be that. It is like driving with my rear view mirror.

✓ Moving Averages

The moving averages slope down and remain stacked negatively, which is bearish. The market could not hold the 5-day line this past week to stay bullish. More importantly, it rejected the 21-day line (daily mean) on the rally attempt from the 2/24 low.

The price remains below the 200-day line and the 21-week average (weekly mean). The position of the moving averages remains bearish, and the averages will provide overhead resistance to any rally attempt. A solid move above the 21-day line would convince me of a trend change, even if it is short-lived.

✓ Sentiment

Sentiment supports a rally – even if it is a bear market or short-covering rally. There are many measures I could quote to confirm this, but one of the best remains the CNN Fear/Greed Index:

This S&P 500 Continuous Index Futures (March) Daily Chart shows the current bearish position of key Moving Averages.
This S&P 500 Continuous Index Futures (March) Daily Chart shows the current bearish position of key Moving Averages.
This chart shows the CNN Fear & Greed Index at extreme fear levels.
This chart shows the CNN Fear & Greed Index at extreme fear levels.

The indicator dropped to 17 from 19 last week. The extremely bearish level and many other fear indicators are approaching extreme panic depths. Maybe that is what we need, severe panic and a spike low to end this corrective phase. I thought we already had that as of the 2/24 low. We will find out soon.

✓ Breadth

As pointed out last week, the correction at hand started almost a year ago in the broad market, using measures such as the Russell 2000 or NYSE index. The large-cap stocks, represented in the Nasdaq 100 and S&P 500 Indexes, are the last to correct and may still be correcting.

I still find this chart favorable. On rallies, the IWM tries hard to stick its hands up to say, “buy me.” But liquidity will matter if we see leverage unwinding, and the smaller stocks generally will decline more in a panic. Of course, in a panic, institutional investors could be forced to sell their S&P 500 names too. This is precisely because they ARE liquid.

This chart of NYSE and S&P 500 Breadth Indicators shows the broad market (NYSE) trying to bottom while the large cap S&P 500 stocks are still struggling.
This chart of NYSE and S&P 500 Breadth Indicators shows the broad market (NYSE) trying to bottom while the large cap S&P 500 stocks are still struggling.

The NYSE has clear, positive breadth divergences at the 2/24 low. There were fewer net new lows than January, and the number of stocks below their 50 and 200-day lines contracted between the January and 2/24 low. But there is not much improvement in the current rally attempt. Percentage indicators look pathetic across the board on the bounce.

The S&P 500 index still does not enjoy the same positive divergences as the NYSE. We will need to keep a close eye on these differences. For now, this chart is not convincing me that the market has bottomed and the correction is over.

✓ Volume

As pointed out last week, the positive volume divergence confirms the 2/24 retest low. Spike volume is often associated with intermediate lows, and the January low was no exception. On the piercing low retest, volume was spiking but significantly lower than the spike volume on the January low. The behavior is a positive divergence and supported the successful retest.

This chart shows the S&P 500 Continuous Futures (March) with volume Increasing on the latest bear candles. This is bearish and may evidence institutional distribution.
This chart shows the S&P 500 Continuous Futures (March) with volume Increasing on the latest bear candles. This is bearish and may evidence institutional distribution.

There is no doubt that the 2/24 low was important and led to a two-day, 6% rally. In a bear market, there will be multiple, similar lows. While I am still open to another up leg, the volume increasing on recent bear bars (distribution) is unhelpful, as you can see in the chart above.

Friday’s market and volume profile in the chart below shows both the point of control and value area gapping significantly lower. The gap remained unfilled at the close. There is a lot of volume in the balance area, as seen on the 20-day composite histogram in gray/white on the right side of the chart.

The price action also reflects that the market balanced off the 2/24 low. Neither bulls nor bears have been in control. As previously discussed, we need a catalyst to tip the balance.

This chart of the S&P 500 Continuous Index Futures - Market and Volume Profile - shows that the Sunday night futures market has dipped below the bottom of the regular trading session balance area and is holding at the breakdown.. We will test this 50% retracement on Monday and it will tell us a lot about whether the market can deliver another up leg or we have to start the dastardly "3" wave down in Elliott Wave parlance.
This chart of the S&P 500 Continuous Index Futures - Market and Volume Profile - shows that the Sunday night futures market has dipped below the bottom of the regular trading session balance area and is holding at the breakdown.. We will test this 50% retracement on Monday and it will tell us a lot about whether the market can deliver another up leg or we have to start the dastardly "3" wave down in Elliott Wave parlance.

Since the news can hardly be worse, perhaps the mid-week CPI report could move the needle. Or maybe the market will simply bide its time until the mid-month Fed meeting. 

✓ Momentum

I left the chart from last week in this week’s update. The chart shows that the positive momentum divergence supported the 2/24 low like the volume divergence. But the divergences don’t forecast the quality or extent of any rally that follows. So 2/24 might turn out to be “a tradeable low” but not “the” low.

This chart shows the positive momentum divergence at the 2/24 swing low.
S&P 500 Continuous Futures - Positive Momentum Divergence at 2/24 Swing lOW

✓ Options Market Influences

Uncertainties concerning geopolitics and monetary policy prompted traders to hedge underlying equity exposure with puts (i.e., bets that may rise in value if markets trade lower).

When the masses reach for protection in one direction, the behavior has significant, measurable implications. To hedge long customer puts (i.e., a negative delta, positive gamma trade that may have its gains multiplied with downside movement), counterparties short futures and stock.

If volatility rises or the underlying trades lower, these puts can increase in value, and more hedges may be added, further pressuring markets. However, hedging can support rally attempts if markets rise and volatility falls.

SpotGamma.com reports that after the indexes established their last significant low on 2/24, prices continued higher and put options solicited less active hedging. At the same time, participants sold calls.

This particular call activity can add resistance; dealers long those calls tend toward selling the underlying index into strength and buying into weakness.

If the market advances, the area above $4,400.00 on the SPX remains strong resistance. Because of negative gamma and high implied volatility, the downside remains vulnerable to sharp “steps” lower.

Conclusions

On balance, the market technicals have deteriorated somewhat since last week. Volatility remains high, as do downside risks. Any follow-through rally has a lot of overhead resistance to work through, including crucial moving averages up to options gamma resistance above 4400.

The S&P 500 is stuck in a high volatility, low return trading range. My plan for the week is to buy dips and sell rips. If I had to put tactical locations behind that statement: buyer below 4200, seller above 4400.

Sector-wise, my bias is still towards commodities and the beneficiaries of higher rates. No junk bonds. I want to keep my eye on the reopening trades (AWAY and JETS).

These are unsettling times, and I am here to help you navigate the market in the weeks ahead. Subscribers can stay current by reading the Founders Morning and Afternoon Notes and following lerts for timely trades, updated trading levels, and impactful news. The Notes are raw because they are my actual trading notes – so be prepared. It is a bit like a peek into my diary.

A.F. Thornton

Founder’s Afternoon Notes – 3/4/2022

Good Afternoon:

  • My dominant thoughts continue to center around the risks and unintended consequences of Putin’s invasion and our response. I am also trying to understand how our attempts to “cancel” Putin and Russia don’t constitute acts of war with all attendant consequences.
  • Our elites designed the sanctions to destroy the Russian Central Bank and Economy. It mystifies me how we can take down the Russian economy without finishing off ours. I don’t know the road rules, but how can we even contemplate such serious actions against a fellow nuclear superpower? Sanctioning Russia is not the same as sanctioning Iran.
  • By the way, the Biden administration is about to rekindle the Iran nuclear scam. What is it like to do a deal with the devil? Oh, and by the way, Russia is mediating the negotiations. Things that make you go hmmm…
  • Our economy is already weak with $30 trillion in debt, runaway inflation, dubious leadership, etc. Are we attacking the Russian financial system while standing in quicksand? It gives me a pit in my stomach.
  • The current predicament reminds me how much the Boomers (my generation) have f’d things up. The Greatest Generation handed us the best country in the world, and we ran it into the ground.
  • Maybe the radical boomers now running our country just did too many drugs while their brains were still developing. This bunch of hippies running the country is a disturbing thought. The behavior of these radicals with the nation we inherited is a classic example of unearned wealth in undisciplined hands. Those who ignore the lessons of history are doomed to repeat it.
  • I wonder whether the U.S. Dollar will survive Modern Monetary Theory‘s (“MMT”) unlimited money printing assault. MMT is this era’s version of the four most dangerous words in economics “this time it’s different.” It is never different.
  • Will the dollar survive having been weaponized against Russia? That old law of unintended consequences is likely to rear its ugly head – it is called De-Dollarization or Dollar Destruction. If you force China and Russia into alternatives – there will be alternatives. We are playing into their hands. China believes that they are at the dawn of a new 500 years of reign.
  • I am not merely griping all the time. I am analyzing whether the market is getting ready to rally or puke in the short term.
  • The problems and risks at hand also impact our thesis that a generational bear market is underway that eventually takes the S&P 500 to the middle of its long-term channel (2500 at this writing) – maybe even more than once.
  • Remember that we have been dipping into monthly options expiration for months now (the third Friday of the month – March 18th). This month, options expiration follows the pivotal Fed meeting and announcement on March 16th. That doesn’t give us a lot of runway for a rally, though rallies can be swift and parabolically profitable in the circumstances.
S&P 500 Index Continuous Futures 15-Minute Chart - A.F. Thornton's Key Levels
S&P 500 Index Continuous Futures 15-Minute Chart - A.F. Thornton's Key Levels
  • I suggested applying Gap Rules in the Morning Notes and identifying key support and resistance levels. I also cautioned that it was weekly expiration at the close today – which can be more difficult to trade at times. 
  • In the chart above, I filtered my busy morning chart levels to the levels that the market responded to today to improve the visual references.
  • The market gapped down 34 points, stalled at our first support level (4300), and then continued to our second support level above 4275. 
This chart shows gamma concentration at key options strke prices.
This chart shows gamma concentration at key options strke prices.
  • The 4275 level coincided with swing low support out to the left, the bottom of the Balance Area, the second-largest combined SPX and SPY gamma strike, and the WEM low. 
  • As mentioned this morning, dealers/market-makers will vigorously defend the WEM low today, especially as it is the weekly options expiration at the close.
  • The index pivoted at the 4275 support area then rallied back up to the Open, also the bottom of the gap, and the 21-EMA (mean) for the 15-minute period. 
  • I have you mark the regular session Open every day as it is the level where screens go red or green around the world. As such, it will often provide resistance as it did today.
  • The market pivoted again from the Open and found support at the first level I identified this morning – 4300. You could also draw an uptrend line from the prior swing lows that provided trendline support at the same level. We got one more rally right 5-minutes before the close back up to the Open.
  • Notably, the price stayed within the Balance Area (shaded in gray), giving us no visibility into the bigger picture. The blue square in the lower right corner of the Balance Area outlines today’s price action.
  • Today’s reality is that the most prominent open interest and expiring option strike was 4300. After the True Gap down, 4300 acted as a magnet for the rest of the day. All the market did was dance around the expiration level as dealers rolled and otherwise dealt with their expiring options and hedges.
  • Nevertheless, we finished the day with a bear candle closing in the middle of its range.
S&P 500 Index ETF (SPY) - Mostly Put Buying (Blue Line) on Rallies
S&P 500 Index ETF (SPY) - Mostly Put Buying (Blue Line) on Rallies
  • Tipping the balance further toward the bearish side, both small rallies today involved predominantly put buying. Put buying is short-covering. The dealer must buy the underlying index to accommodate the put sellers, driving the market higher. Put buying is not the same as investing. 
  • Call buying would be a more bullish rally underpinning. After some initial call buying this morning, call buying was flat for the remainder of the day.
S&P 500 Index - Expiration by Strike Price
  • Per Gap Rules, the first clue that the day could be disappointing came when the index failed to fill the morning gap, even partially, which remained the case throughout the day.
  • Though options expiration complicated the session, today’s price action is an excellent example of a sizeable True Gap that pins. Were it not for current volatility and large range bars; there would have been scant opportunities to trade the index.
  • I don’t trade most Fridays because of the complications associated with options expiration. It depends on where the majority of options are expiring and how close the price is to the WEM high or low. I constantly monitor the size of the Open Interest and gamma at each strike.

This is an Hourly Index Chart of the SP-500 (SPY), NASDAQ-100 (QQQ). Russell-2000 (IWM) and Dow Jones Industrials (DIA) showing Weekly Expected MoveSupport
This is an Hourly Index Chart of the SP-500 (SPY), NASDAQ-100 (QQQ). Russell-2000 (IWM) and Dow Jones Industrials (DIA) showing Weekly Expected Move Support
  • Notably, despite the high fear levels in the market and the risk of the market puking another down leg, the WEM lows supported all four major indexes once again this week, including the S&P 500, NASDAQ 100, Dow Jones Industrials, and Russell 2000.
  • I communicate the WEM levels at the beginning of every single week. They are the closest thing I have to a crystal ball. The levels are practically magical. Don’t trade without them.
  • The new issue of the Navigator Oracle will be published late tomorrow for subscribers and available Monday morning on the website.
  • We finished another week where we nailed it – keep tuning in.
  • As we finish the week, the risk of a rally may be increasingly more probable than the risk of a third leg down.

Enjoy your weekend,

A.F. Thornton

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Founder’s Morning Notes – 03/04/2022

Investors Intelligence Shows More Bears than Bulls
Investors Intelligence Shows More Bears than Bulls
  • I still lie awake at night, wondering how we get through this. Our Country is in debt up to its ears. The average person faces accelerating inflation, which likely worsens before it gets better. The typical family is one paycheck away from disaster. Our Country is in debt up to its ears and lacks leadership. Our national dialogue has deteriorated to nonsense.
  • In a sense, I believe that a “Fourth Turning” is like a purge, where the natural cycle corrects in the fourth generation.
  • As I came from a considerable wealth, my mother used to remind me about a similar phenomenon with families “Shirtsleeves to Shirtsleeves in Three Generations.” In Ireland (she is Irish), they call it “Clogs to Clogs in Three Generations.” My father was the third generation, and he personified the principle.
  • In this time, society will return to its root values and principles. There will be no other choice, or we will all be speaking Russian and Mandarin.
  • Hard times will expose the corruption of our elites – which is out of control.
  • And my mainstay – why do we tolerate Mexican Drug Cartels on our now “open” borders? There are so many outrageous things Americans accept as normal. It is a form of conditioning.
  • Yesterday’s look above and fail is now complete as the S&P 500 futures tagged the bottom of the balance range overnight as Russia attempted to capture the largest nuclear power plant in Ukraine, one of the ten largest in the world.
  • The Russians successfully captured the plant, which controls 25% of Ukraine’s electric power.
  • When Consumer Confidence had turned this low in the past, a recession soon followed without exception. The yield curve has flattened but is not inverted yet. An inverted yield curve (where short-term rates exceed long-term rates) would confirm the scenario.
  • All in all, Chairman Powell’s two days of testimony before Congress reassured the markets. Though he favors raising rates one-quarter of a point at the mid-March meeting, he says the Fed will be flexible and respond to the data. That is about all anyone could ask for in the circumstances.
  • Of course, that is what the Fed has been doing for the last few years. How is that working for us?
  • The January Employment figures exceeded expectations this morning, but I have not delved into the numbers to see how much they are fudged. The market is seeing a bounce on the number at this writing. Average earnings were up 5% over the past year. That sounds great until you realize that the stated inflation rate was 8% and the real rate like was higher.
S&P 500 Continuous Futures - Daily Charts with Support-Resistancec
S&P 500 Continuous Futures - Daily Charts with Support-Resistancec
  • Yesterday’s look above and fail completed in Globex, as the price almost tagged the lower balance boundary. We are back below the 5-day line and the Volatility Trigger which is bearish.
  • Price remains inside the balance area, so keep Balance Rules handy if we approach the lower edge around 4275. I expect 4275 to 4300 to be strong support today.
  • Resistance should be encountered at 4350 and then at 4400. 4400 is formidable – any sustained break of 4400 should be considered bullish.
  • The WEM Low sits at 4275. Since weekly expiration occurs at today’s close, expect dealers to defend the WEM Low vigorously.
AF Thornton's Key Levels for S&P 500 Futures - 3-4-2022
AF Thornton's Key Levels for S&P 500 Futures - 3-4-2022
  • The VIX (Volatility Index) term structure remains in contango suggesting short-dated puts remain in high demand. Traders may step up to sell puts that expire this afternoon as I doubt traders will want to enter the weekend short volatility.
  • Selling puts this afternoon could bring us a short-covering rally at the end of the day, but it is likely to be reversed Monday.
  • The bottom line is I anticipate 4400-4500 to remain as stiff resistance into the mid-month Fed meeting.
  • Because of the significant negative gamma and high implied volatility, the downside remains vulnerable to sharp “steps” lower, with 4275 & 4180 showing as key stops. 4000-4100 should be the ultimate lower bound into that March 16-18th time frame.
  • Overnight inventory is net short, and we are slated to Gap down, so there could be a bounce at the open from overnight profit-taking. Since the Gap is a True Gap, apply Gap Rules this morning. The extent of the Gap-fill is your first sentiment indicator.
  • Gauge the strength or weakness of the market by the tone and amount of any gap-fill. If the market has zero corrective activity early, that is the most bearish outcome.
  • If the market does fall to the WEM low, around 4275, it won’t be easy to trade. Due to options expiring and related distortions, I don’t usually trade on Fridays.

A.F. Thornton

Founder’s Afternoon Notes – 3-3-2022

  • Global tensions continue to ratchet higher. The situation is almost beyond comprehension.
  • Chaos and instability are what we get when an administration selects the people in charge for their wokeness or tribe rather than their abilities.
  • I call the Russia/Ukraine conflict the Green New Deal war – because the Green New Deal facilitated it and may ultimately lead to our demise.
  • I call this the “Affirmative Action” administration. I don’t like my surgeon or airline pilot selected for anything other than their abilities, nor do I like the people in charge of my country selected or assigned for their wokeness.
  • If it is difficult to believe that we have unqualified people in charge, look at where we find ourselves after barely one year. Case closed.
S&P 500 Index Continuous Futures 15-Minute Chart
S&P 500 Index Continuous Futures 15-Minute Chart
  • The market is every bit as concerned as the rest of us. We got the look above and fail per Balance Rules this morning. The resistance line at 4400, also the balance area high and the 21-day line and mean, was the immovable object.
  • The S&P 500’s turn at $4,400.00 also resulted from a rise in call open interest above current prices which we pointed out this morning likely represented short positions.
S&P 500 Cash Index (SPX) - Change in Call Volume
  • The market rolled over to the 5-day line on the failed breakout, which saved the market from a complete trip to the other end of the balance range at 4275.
  • Globex’s action is unpleasant thus far, given that the Russians are attacking one of the ten largest nuclear power plants in the world located in Ukraine.
  • At best, there might be a rising wedge on the hourly chart with another leg up to go.
S&P 500 Index ETF (SPY) Hourly Chart
  • It is nothing short of astounding that the S&P 500 Index remains in about a 10% correction given the lofty valuation levels and the entire scenario unfolding. 
  • I am still on the fence about whether the market is consolidating to work a bit higher or whether we are waiting for a waterfall, panic-puke.
  • As the days wear on, the puke scenario is looking more tenable.
  • There is increased potential for instability so long as participants maintain S&P 500 Index prices below the Volatility Trigger – forming the middle of the price action at 4380 today.
  • Given the negative gamma, heightened volatility remains, as does the potential for larger ranges; the negative gamma component can amplify the negative (or positive effects) of news. We need to exercise caution.
  • So what do we do? It doesn’t pay to bet on the end of the world because even if we are right, how do we collect!
  • Maybe the risk of a rally is greater than the risk of a puke?
    • AAII Sentiment Survey: Retail Bullish Percent down to 23.40 last week – historically found near lows.
    • CNN Fear & Greed Index: 17 = Fear Approaching 2020 Covid Lows.
    • National Association of Active Investment Managers: Equity exposure at just 44.41% found near bounces and bottoms.
    • 10 Day Moving Average Equity Put/Call Ratio at .625 (the highest level since 2020).
    • The time to buy insurance (puts) is BEFORE the fire!
  • Let’s continue to take it one day at a time. We are back to 100% cash after our last profitable trade hit stops this morning. It helps me sleep better.

A.F. Thornton

Sell Stops Hit

Our sell stops triggered a nice profit at 436.50 on what looks like a look above and fail per Balance Rules. Trick and company tried a fake-out at the open, but the markets have been in a non-stop Gamma sell spiral since.

I am out for a few hours but will keep checking in for more opportunities. If we have to return to the bottom of the range, it is 4275. More negatively, the failure of this rally to follow through above the daily mean is a bad omen.

As always, I will keep an open mind. Even with fear indicators at correction highs, they are not at panic levels, which may be what is required to take us any higher.

A.F. Thornton

Founder’s Morning Notes – 3/03/2022

  • In the middle of the night, it occurred to me that if Putin had been planning to invade Ukraine since 2014, he knew there would be sanctions by the West.
  • That is why he has worked hard to keep Russia independent of the U.S. Dollar. He has been stockpiling gold for years. He holds no U.S. Government notes or bonds.
  • The latest figures show Russia’s debt is only 17% of GDP.
  • If the invasion was well-planned and Putin anticipated sanctions, wouldn’t he also want to have people stationed in the U.S. who could help retaliate?
  • I start thinking about the estimated 2 million unchecked illegals who have crossed our open borders in the last year and never got caught. That means illegals equating to the size of a city like Phoenix are circulating all over our country. The ones caught so far represent more than 150 countries, including Russia. What about the ones who didn’t get caught? We think that the illegals are all from Mexico. Not True.
  • By the way, could someone explain to me why we tolerate the Mexican Drug Cartels? These elites think we can take on Russia, but not the Drug Cartels? Things that make you go hmmm?
  • So add open borders to the existing national security risks related to energy and food.
  • Be keenly aware of your surroundings.
  • Why do the same names keep showing up? Putin and Justin Trudeau were both disciples of Klaus Schwab as young men (Schwab is the Davos Master of the Great Resent). Soros, Clintons, and Bidens in Ukraine. Russia collusion narrative. Bill Gates? More things that make you go hmmm.
  • Is it just me, or does Klaus Schwab look like Dr. Evil? Goldfinger?
Klaus Schwab
Klaus Schwab
  • My family, friends, partners, even all of you thought I was crazy talking about the “Great Reset” these past few years.
  • It is a good time to rewatch the World Economic Forum (the Davos Crowd) video from November 2020:

Truly you cannot make this stuff up!

S&P 500 Futures Reg Session 5-Minute Chart - A.F. Thornton's Morning Key Levels
S&P 500 Futures Reg Session 5-Minute Chart - A.F. Thornton's Morning Key Levels
  • Futures were quiet overnight. It was a tight, balanced range giving us little guidance for the open. Let the market settle in a bit before you pounce.
  • 4400 and 4420 are resistant, with 4380 (the Volatility Trigger) as the key pivot area and support at 4330.
  • Fed Chairman Powell testifies in front of the Senate committee at 10 AM EST – should be a non-event and a repeat of his House testimony yesterday.
  • Monetary policy remains an important driver of uncertainty in markets.
  • Powell gave traders more clarity yesterday on March rate adjustments, which lifted equity markets. 
  • Yesterday, the market pushed higher into the large, 4400 strike, where the bulk of call volume traded. There was a slight increase in call interest in the 4400-4500 range.
  • A lot of this call volume likely was sold short. Material long call positions don’t make much sense given the high carrying costs (decay until FOMC due to high implied volatility and time).
  • From an options perspective, the 4400-4500 area is resistant. The VIX at 30 suggests traders are looking for 1.8% daily S&P 500 moves.

  • As we anticipate “not much” coming from today’s Fed testimony, implied volatility may shift lower in the short term. The volatility compression gives some edge to markets holding up (due to Vanna flows) in this general price range (4350-4420).
  • On a larger time frame, we continue to believe that the possible price distribution remains skewed lower into the critical March 16-18 (FOMC, OPEX) time frame. Models suggest significant upside resistance near 4500 (+2.5% from current levels). 
  • Due to the negative gamma framework, something as simple as a negative headline could spark a quick slide down under 4100 (-6% from current levels).
  • Balance Rules are in play this morning. If the market looks above 4400 and then fails to find acceptance, chances are we will go back to the bottom of the range down at 4275 near the WEM Low.
  • If there is acceptance, you double the range for the target high.
  • The range is 125 points, so the target is 4525, but…
  • The price has to get through the daily mean (21-day line), 200-day line, weekly mean (21-week line), the primary downtrend line, and the Weekly Expected Move high. If the price conquers all of that, it takes the market to 4486.
  • How the market handles this resistance ladder will tell us a lot in the short term.
  • Of course, the market may chicken out and return to the other end of the balance area. Who could blame it?
  • Let’s move our stop to 436.50 for both Navigator Swing Strategies. That locks in a profit but gives trick and company some room to try to fool us on a breakout.
  • The market just made a big move on the weekly jobs report, so there could be a slight Gap, and you may need to apply Gap rules.
  • The overnight low is a 45-degree angle low at 4367.50, which generally results in the low being secure.
  • Yesterday, the Value Area cleared the previous day’s Value Area with no overlap, supporting acceptance of the higher prices.

Stay nimble!

A.F. Thornton

Founder’s Afternoon Notes – 3/2/2022

  • My dominant thought tonight is where is this war headed? Who wants it? Who wins and loses? How will it affect the markets? Is my bunker stocked and ready?
  • My head has to be in the sand not to realize that Russia invading Ukraine challenges the current global order. Nothing will be the same – the Fourth Turning. First, a Pandemic. Now, war? How soon will the grid go down in a cyberattack? Will we be ready?
  • The sanctions will have unintended consequences. The U.S. Dollar could be over as the Global Reserve Currency when it is used as a weapon.
  • China and Mexico nixed any Russian sanctions. I get China, they will go after Taiwan. But Mexico? What gives?
  • Up until a few days ago, we were fighting over Covid mandates. Actually, we were ready to kill each other over them. Parents were designated domestic terrorists by the Biden regime. Canada was implementing Marshall law, jailing protesters, and seizing assets. Pelosi ordered the Capital fenced again in D.C. as an American trucker convoy was on its way.
  • What do the Truckers think now? When they left a few days ago – mandates were a fight to the finish. The truckers haven’t even reached their destination and “poof” the mandates are gone. No masks, no mandatory shots, no vaccine passports, and no explanation. Things that make you go hmmm?
  • I hope all that took the vaccine survive. I pray for them. The vaccines are the worst crime against humanity of my lifetime.
  • No worries, look over here, not over there. Is World War III the new Covid? What new “emergency” powers await us. Will there even be an election in November? 
  • Big tech is already censoring any views on the Russia – Ukraine conflict that counter the official Biden regime narrative. Was Covid the dress rehearsal for the new censorship and authoritarianism?
  • We are fighting for Democracy in Ukraine? How about here?
  • And then there was the State of the Union speech…
  • Joe stole a line from Trump – Buy American! 
  • Why don’t we start with oil, Joe?
Crude Oil Futures - $114 and Rising
Crude Oil Futures - $114 and Rising
  • And wheat?
Wheat Futures Rising Parabolically
Wheat Futures Rising Parabolically
  • The hell with the stock market, I am running the algos on Wheat and Oil – may need a few adjustments.
  • By the way, does our dependence on foreign food and oil threaten our national security?
  • Did you take your medication today, Joe? I know I am going to need a lot of medication to get through this. Did you know that 20% of the U.S. Population takes anti-depressants? That is double the rate from 10-years ago. If you can’t beat them… 
  • Speaker Pelosi’s happy dance when Biden mentioned the burn pits in Ukraine says it all. Truly, you cannot make this stuff up. Hopefully, her Geriatric Doctor saw the clip and adjusted her medication. 
  • Maybe the fringe right is correct – are they all Satan worshippers? Happy dance on the mention of Ukraine burn pits? It is not inconceivable. After all, every other conspiracy theory of the last 20 years has come true.
  • Maybe I need to see my Geriatric Doctor…
  • It made me wonder how they choreographed the whole production from a nursing home anyway.
  • Once again, I have to ask where is all of this headed? Are these creepy people really in charge of our safety? Our future? I am terrified.
S&P 500 Index Continuous Futures Daily Charts - Key Levels and Trading Ranges
S&P 500 Index Continuous Futures Daily Charts - Key Levels and Trading Ranges
  • The S&P 500 is finishing its fourth day of a trading range, principally bounded by the Weekly Expected Move on the lower boundary, and the 21-day line on the upper boundary.
  • Whichever way it breaks, double the range for your targets. Breakouts are tough because there are so many fake-outs. Keep Balance Rules in mind.
  • Did you know that every candle or bar is a trading range? Once you learn that, it is a game-changer. The open, high, low, and close on each bar gives you an immediate sentiment picture of the market in any time frame.
  • That is why I plot last month, last week, yesterday, and the overnight high and low on my charts. I also plot the opening of each new time frame.
  • The open tells me when the monthly, weekly, daily, or overnight bar turns red or green (bull or bear).
  • These levels become inflection points; support or resistance as each price level is encountered or overtaken.
  • For example, traders will first take the market towards the overnight high or low and test it on any given day.
  • Let’s say the market tests and pierces up and through the overnight high. Then traders will test yesterday’s high. Other resistance levels may be relevant in between as we saw today. Traders will keep going until they get a reversal or the market stalls at one of the levels.
  • All of this works the same in reverse.
  • Pay attention to the levels I discuss in the notes each morning. They work.
S&P 500 Index Continuous Futures 5-Minute Chart - At Resistance

Using the chart immediately above, here are the conquered levels today:

    1. The 5-day line, also the Navigator Algo trigger,
    2. The overnight high and secondary downtrend line,
    3. The first resistance level from the morning outlook, also the monthly open that determines whether March will be a bull or bear bar,
    4. Today’s implied high,
    5. The second resistance level from the morning outlook, also the Volatility Trigger, and
    6. The previous week and yesterday’s high, also an important gamma level where the market stalled.
  • Today saw a lot of short-covering, so we did not see the market stall too much until #6. That is where I had identified the rising wedge. But note the hesitation at each level.
  • So that is how it works, point to point until it stalls or reverses. Clusters of key levels provide more support or resistance.
  • Of course, a vital trading principle is that conquered resistance becomes support and vice versa.
  • So our toe is back in the water on both the Leveraged and Non-Leveraged swing strategies. We have good positioning and set the stops. The stops are slightly below today’s halfback, but I might move them up if we get a look above and fail per Balance Rules.
  • We will be applying Balance Rules in the morning – depending on the overnight action.
  • I don’t like to repeat myself, so read all the notes today for strategy and buy/sell details.
  • There is no material change from Sunday’s outlook. We have overtaken both the 5-day line and the Algo Trigger, net positives. The 2/24 low still looks secure. 
  • But the reality is that we moved from the bottom to the top of the four-day range. My best judgment is that the range is a consolidation to go higher and challenge the primary downtrend line. 
  • Still, the market is holding up impressively under a lot of bad news.

A.F. Thornton

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