August 26th, 2019:
Average True Range
"A (standard) volatility formula based only on the high-low range would fail to capture volatility from (overnight) gap or limit moves. Wilder created Average True Range to capture this “missing” volatility"
Any questions?
“Unlocked hot money, retail driven, passively managed: the daily liquidity risk is highly underestimated today,” the hedge fund wrote. “With it, the so-called ‘gap risk’, especially overnight gap risk. Which bring us to the real danger in markets these days being the market itself.”
Last week:
Last night:
“Secured funding markets are clearly not functioning well,” said Jon Hill, a rates strategist at BMO Capital Markets. Monday’s jump in overnight repo rates, especially since it’s not happening at the end of a quarter, is “bordering on chaos,”
Here is where it gets interesting.
Safe havens were pre-imploded last week during the momentum massacre.
The overall casino is overbought and breadth is rolling over:
The momentum factor is bouncing off of the 200 day:
The "reflation" trade is three wave corrective and running out of steam again
Each of the past two FOMC meeting's saw an immediate escalation in the trade war by Trump. Which according to Zerohedge is the re-election "strategy".
Regardless, each "truce" rally is three wave corrective and weaker and weaker:
Compliments of overseas markets, the overnight gaps are growing, as the Cassandra predicted:
“If a large-enough shock event takes place, the market system may find it hard to absorb selling flows, therefore leading to a snowball effect of more selling flows and large downside gap risks.”
One of these is not like the others:
One of these is not like the others:
Average True Range
"A (standard) volatility formula based only on the high-low range would fail to capture volatility from (overnight) gap or limit moves. Wilder created Average True Range to capture this “missing” volatility"
Any questions?
