To MRCI Online Subscribers: (02/13/2008)
MRCI Seasonal Action Report: to organize trade
actions for the following week. This report is updated daily
as a tool for monitoring trade actions.
Again, we would like to emphasize to our subscribers that trade exit dates are
also historically optimized turning points and can be important points in time
to be looking for market reversals.
Trade Exits:
Trade Entries:
Selling March08 NASDAQ 100(CME) on Fri 2/15 close to initiate short
Trade has been profitable 9 of last 11 yrs - Average: $5184
(The February Break sets up the spring rally. By the end of
February, the crop marketing year is half over but far more than
half the previous harvest has already been consumed, with the
remainder needing to stretch for another seven months.)
Buying May08 Soybeans(CBOT) on Fri 2/15 close to initiate long
Trade has been profitable 12 of last 15 yrs - Average: $1213
(The February Break sets up the spring rally. By the end of
February, the crop marketing year is half over but far more than
half the previous harvest has already been consumed, with the
remainder needing to stretch for another seven months.)
Selling May08 Sugar #11(ICE) on Wed 2/20 close to initiate short
Trade has been profitable 12 of last 15 yrs - Average: $559
(US cane harvest is complete by end of March, and supplies are
heaviest of the year.)
Buying July08 Crude Oil(NYM) on Thu 2/21 close to initiate long
Trade has been profitable 14 of last 15 yrs - Average: $1241
(Comment next week.)
Selling June08 30-Year T-Bonds(CBOT) on Fri 2/22 close to initiate short
Trade has been profitable 12 of last 15 yrs - Average: $1573
(Comment next week.)
Buying July08 Heating Oil(NYM) on Fri 2/22 close to initiate long
Trade has been profitable 14 of last 15 yrs - Average: $2722
(Comment next week.)
MRCI Spread Action Report: to organize trade
actions for the following week. This report is updated daily
as a tool for monitoring trade actions.
Again, we would like to emphasize to our subscribers that trade exit dates are
also historically optimized turning points and can be important points in time
to be looking for market reversals.
Spread Exits:No Spread Exits.
Spread Entries:
Wheat - On 2/8, all three exchanges announced a change in limit
rules. Effective 2/11, limits were to rise from 30 to 60
cents/bushel; if two delivery months in any crop year closed at
limit, then the limit would rise another 50%, etc. That may have
been the beginning of the end. On 2/11, most nearer contracts opened
or traded quickly to limit UP but then reversed to close lower.
Thus, for example, there are now limits hanging ABOVE nearby March
CBOT at 1153, nearby March KCBT at 1200.25, and July MGE at 1310.
But on that same day, the liquidation began in most delivery months
in all three exchanges. The best example was nearby March KCBT,
which first traded limit UP but then traded and closed near limit
DOWN! The schizophrenic nature of the market continued into 2/12.
Even while nearby March MGE continued to close limit UP, at least two
contracts in the 2009 crop year closed limit DOWN on 2/12, thereby
increasing the daily limit to 90 cents. Even though March MGE did
CLOSE UP the 90-cent limit at 1763, most but (not all) delivery
months at all three exchanges closed lower on 2/13. Thus, beside the
limits likely to be left hanging ABOVE for a long time in CBOT and
KCBT (most significantly 1153 and 1200.25, respectively) deliveries,
the market may be more inclined now to search some of those limits
still hanging BELOW at the CBOT (nearby March at 902, for example)
and at the MGE (July at 1085, for example). No limits remain BELOW
the KCBT.
Corn - Limits remain BELOW contracts from nearby March (at 469) through
December 2009.
Soybeans - Limits still hang BELOW all contracts trading from nearby
March (starting at 1189.50) through July 2009 and also November 2009.
But limits now hang ABOVE May 2008 (1392), July & August.
Soybean Oil - With limits still hanging BELOW all contracts from
nearby March (49.68) through September and also December 2008,
there is now also a limit hanging ABOVE nearby March at 57.40.
Soybean Meal - Limits remain hanging ABOVE new-crop October (360.50),
December (358), and two 2009 deliveries.
Oats - Limits now hang BELOW nearby March at 330 and May from 2/11.
Cotton - Limits ABOVE and BELOW! Limits hang ABOVE May (74.64), July
& December but now BELOW only new-crop October & December.
Feeder Cattle - Limits remain hanging BELOW April (102.70), May & August.
Pork Bellies - On 2/13, all 2008 delivery months CLOSED DOWN their
3.00-cent limits, with still nearby but soon-to-expire February at
95.000 and the more active March at 94.375.
Lumber - Limit still hangs ABOVE March at 310.1. Contracts beyond
July trade on little or no volume, such that limits in them may be
exchange-imposed rather than traded. Even the limit ABOVE March
was hit on a daily reported volume of 1 (on 6/15/07).
New! Click on the "Flashing Yellow Button" located at the top of this
page and on our Spreads Correlations page and we will automatically,
immediately send you an e-mail with attached PDF file containing
ALL current correlation charts. Just flip through' em!
Caution: Each file is approximately 1 megabyte.
Correlation studies usually don't change on a day-to-day basis,
especially when multi-year, multi-contract, and all with
relatively high correlation numbers.
In addition, analyzing correlation studies is subjective, and one must
use them as a tool rather than as a trading system. You must realize
that even high correlation studies can follow a market pattern for an
extended period of time and then suddenly deviate from this expected
pattern. We like to look at correlation studies as giving us roadmaps
as to where the price might go. Then we use other shorter-term trading
tools for navigating the markets on a daily basis.
NIKKEI 225:
Correlations for cash index and for March & now also June futures
suggest rally into late February before decline into mid March.
Thirty-year Treasury Bonds:
Two- but different-year correlations for March & June futures both
project generally but modestly lower into at least early March,
with study for June suggesting potential for rally thereafter to new
highs into June.
Ten-year Treasury Notes:
Now six-year correlation for March futures suggests market to tread
sideways/higher through expiry; now six-year study for June projects
lower from mid February into early March --- then higher into June.
Five-year Treasury Notes:
Now four-year correlation for March and also single-year study
for June futures suggest potentially ultimate peak in mid February,
with June study projecting potentially severe decline into expiry.
Two-year Treasury Notes:
Now three-year correlation for March futures projects peak in mid
February and potentially severe decline into expiry.
Eurodollars:
Correlations for March & June futures suggest sideways/lower into
early/mid March, then higher; now seven-year study for September
projects lower from mid February into mid March but ultimately higher
still into expiry.
Gold:
Multi-year correlations for April, June & August futures suggest
sideways/lower into mid/late April --- with study for August
projecting ultimately higher into August.
Platinum:
Now only six-year correlation for April futures suggests sideways/higher
into early March.
Silver:
Two-year correlation for May futures projects choppy action into
early March, then decline into April; studies for July & now also
September suggest mid-February peak and then lower into March.
Eurocurrency:
Single-, same-year correlation for March & June futures projects
higher into mid March.
Swiss Franc:
Now two-year correlation for March futures projects rally into
new highs in late February.
US Dollar Index:
Multi-year correlations for cash index and for March & June futures
suggest market making sustainable low.
Crude Oil:
Correlations for April, May, June, July & August futures all
suggest market making at least interim peak, with June, July & August
projecting bounce from early into mid March.
Heating Oil:
Correlations for March, April, May, June, July & August project
weakness generally to continue into April.
Gasoline:
With 1997 as common thread, correlations for March, April, May,
June, July & August futures suggest sideways/lower into late
February, then sharp rally.
Lumber:
Single-year correlation for March futures projects lower into
late February; now only single-year study for July suggests higher
from mid February into mid March --- then much lower still.
Sugar:
Multi-year correlations for May, July & October futures suggest
higher into early March before correction.
Cocoa:
Correlations for July & September futures suggest major bull market
still in progress, with prices higher into at least May/June.
Soybeans:
Multi-year correlations for March, May, July, August & September
futures all suggest major bull market in progress, although study
for May projects dip from late February into mid March before
uptrend resumes; studies for July, August & September suggest
higher prices into June.
Soybean Meal:
Multi-year correlations for March, May, July, August & September
futures all suggest modest dip from late February into mid March
before bull market resumes.
Soybean Oil:
Multi-year correlations for March, May, July, August & September
futures all suggest higher through February, dip into mid March.
Corn:
New single-year correlation for May futures projects higher into
early April; four-year study for July projects lower into April;
six-year study for September suggests sideways from mid/late
February.
Oats:
Single-, same-year correlation for May & July futures suggest
abruptly lower into early/mid March --- then higher.
Wheat:
Correlations for March, May, July & September CBOT and for March,
May, July & September KCBT and for March, May & July MGE all
suggest market peak and decline into at least March if not April;
but two-year study for September MGE projects modest correction
only into mid March before last-gasp rally into late March.
Rice:
Correlations for March, May & July futures project lower into March,
perhaps May; new two-year study for September projects higher into
mid March.
Feeder Cattle:
Two-, same-year correlations for August & September futures suggest
major bull market into August.
Class III Milk:
Single-year correlation for July futures suggests sideways through
March, then precipitous decline.
Best Regards,
Steve Moore
Nick Colley
Jerry Toepke
Melissa Moore
Amy Prince
Rachel Heinze
MRCI - Eugene, OR
(541)484-7256
http://www.mrci.com
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SEASONAL TENDENCIES ARE A COMPOSITE OF SOME OF THE MORE CONSISTENT
COMMODITY FUTURES SEASONALS THAT HAVE OCCURRED OVER THE PAST 15 YEARS.
THERE ARE USUALLY UNDERLYING FUNDAMENTAL CIRCUMSTANCES THAT OCCUR
ANNUALLY THAT TEND TO CAUSE THE FUTURES MARKETS TO REACT IN A SIMILAR
DIRECTIONAL MANNER DURING A CERTAIN CALENDAR PERIOD OF THE YEAR. EVEN
IF A SEASONAL TENDENCY OCCURS IN THE FUTURE, IT MAY NOT RESULT IN A
PROFITABLE TRANSACTION AS FEES, AND THE TIMING OF THE ENTRY AND LIQUIDATION
MAY IMPACT ON THE RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT
HAS IN THE PAST OR WILL IN THE FUTURE ACHIEVE PROFITS UTILIZING THESE
STRATEGIES. NO REPRESENTATION IS BEING MADE THAT PRICE PATTERNS WILL RECUR
IN THE FUTURE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS,
SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE
THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR
TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN
HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY
ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS
OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY
PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL
TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD
CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING.
FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING
PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE
MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH
CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS
AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED
FOR COMMISSION AND SLIPPAGE.
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Please Remember: These are NOT trading recommendations.
They are provided for information purposes only and
are intended only as potential ideas based on the market's
own performance in the past, but past performance is
not necessarily indicative of future results. Futures
trading involves substantial risk of loss.
Copyright © 2008 Moore Research Center, Inc.
No part of this may be retransmitted without
written permission.
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