An ambiguous speech from Janet Yellen and some soft readings in New Home Sales and Consumer Confidence were amongst the headlines today as equity markets consolidated.

1. 9/26/17
Daily Market Summary
By: Raul Rivera

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3. ➔ Markets remained in a range today waiting on Janet
Yellen. Comments from her speech were Dovish and
then Hawkish and then Dovish and the Hawkish. Huh?
➔ Yellen makes it clear that her goal is to protect the
“Economy”. Switch the word economy with stock
market and everything she says makes sense. A financial
meltdown will not be because the economy is creating
jobs and GDP getting closer to 3%, it will be because
stock valuations are too high and the FED has created an
asset bubble.
➔ Yellen also made remarks of further easing in the future.
The whole reason for QE was to dig the
economy/market out of a crisis. So why continue easing
if we are not in a crisis? Is the FED expecting a crisis?
Food for thought
➔ Consumer Confidence and New Home Sales were not as
good as expected, but a decent number overall. Possible
reason for a bad number Home #’s could be Hurricane
Harvey. No reaction to the number as traders were
expecting Yellen’s speech.
This week we have quite a few things to look forward to:
● Tuesday:
○ New Home Sales 10am est
○ Consumer Confidence 10am est
○ Janet Yellen Speech 12:45am est
● Wednesday
○ Core Durable Goods 8:30am est
○ Pending Home Sales 10am est
○ Crude Invetories 10:30am est
● Thursday
○ Q2 GDP 8:30am est
● Friday
○ Mario Draghi Speech 10:15am
○ BOE Carney Speech 10:45am
All events listed above are High Volatility events. In Red are
even higher volatility events.
Janet Yellen speech tomorrow, Q2 GDP, and Draghi/Carney
speeches will be closely watched. Markets mostly affected will
be 6E, 6B, GC, ZB.
Market Commentary Looking forward:

4. US Index Performance
RTY Outperforms for a 3rd straight
session. The USD is helping out the rally in
the Russell.
ES, NQ, YM all remained in a range for
the day.

5. CBOE VIX Seasonality Performance
Seasonality Charts show the performance of a single Stock,
Index or Futures Contract to itself over “x” amount of years.
It also shows which times of the year (seasonality) the
instrument performed and underperformed.
This is a 5 year chart of the VIX.
→ The blue line = YTD
→ The thicker Red line = the Avg of all 5years per season

6. End of Day Volume Imbalances
Volume Imbalance is the difference between buying
and selling volume.
A positive number shows that there are more buyers
than sellers (Bullish).
A negative number shows that there are more sellers
than buyers (bearish)
With the CTV Software, we can see institutional
buying and selling.

7. Total Volume Imbalance:
➔ -354
Institutional Imbalance:
➔ -1,246
Overall market activity was quite. No
direction from the Institutional traders.
Buying in the morning, and selling in the
afternoon into the close.
ES

8. Total Volume Imbalance:
➔ -5,000
Institutional Imbalance:
➔ -4,915
ZB seeing plenty of selling today.
Yesterday they bought off the lows, today
selling off the highs. Most of the selling
was done by institutional traders. Market
looks to remain Range bound.
ZB

9. Total Volume Imbalance:
➔ -5,440
Institutional Imbalance:
➔ -238
After yesterday's big rally a pause was expected.
Yesterday’s rally was on the back of 680k in
volume. Today we had 670k volume, but not the
same result. Institutional traders sold in the
European session and bought the lows in the US.
CL

10. Total Volume Imbalance:
➔ -7,590
Institutional Imbalance:
➔ -1,414
After Janet Yellen’s speech, Gold prices dipped
lower. With the possibility of further QE in the
future, there is no reason to fear. The safe haven trade
broke back down to where it started yesterday. Notice
as well, institutions were not involved in yesterday’s
rally. Today, they were the ones selling!
GC

11. Total Volume Imbalance:
➔ -5,912
Institutional Imbalance:
➔ -1,547
Continued selling in Euros. Institutions and
overall market kept selling as a strong dollar
rally continues. The 6E has dropped over 300
ticks since the FED meeting. That is equivalent
to 75pts in the ES, big selling.
6E

12. Total Volume Imbalance:
➔ -10,506
Institutional Imbalance:
➔ -3,177
HUGE selling today in Soybeans. Sell off
after failing to hold 980’s. Institutions
and overall market selling back down to
the bottom of the range. ZS has been in a
range of 957-984 over the past 2 weeks.
ZS