Wednesday, June 8, 2011

ES and Euro ready to plunge?

 On Tuesday I wrote (on the notes on the third chart down), Volatility Ratio VOS indicate that tomorrow that Kansas go bye bye.   Review it, then review today.

Well this is the strongest signal for me.    ES fell right to the PRS 177.  

However, one oddball event, futures "rollover", in which the June futures pretty much stops trading, and the Sep futures takes over.   The Sep futures price is quite a bit less, usually like 4 points, todays roll created a gap on the Jun and Sep, and the spread was more like 7.

So out perfect "hit" on the PRS is mudied by this rollover.

Indeed June keep trading for a while, at much lower volumes.    I close those out when rollover occurs, otherwise you will some day be handed a settlement price created by some formula that you can rest assured will not work in your favor.

Keep in mind these channels were drawn months ago.   They are predictive, not just pretty pictures drawn to show what already happened.  And it is now backtesting the PRS, exactly like before the flash crash.   However, I keep in mind --look at the backtest of the magenta PRS 100, there is some "give" in these lines.   High liklihood short with good rational basis for risk control (stop).

Pretty clear this will be a good bounce or a crash.  Kind of too busy to play an options volatility spread, will take large short futures, and be ready to reverse the trade.  It also seems like Euro is ready to plunge.

 Euro, may bounce to a Fibo, but may be ready to plunge right now


  1. Tremendous work as always Steveo.  A crash scenario is in my sights too.

  2. In retrospect, we nailed it so far.


Insightful and Useful Comment!