Market Summary:
Current ICAP Momentum/Trend Model (MOTR) Signal: NEGATIVE (Day Count = 4)
Price action during yesterday’s session for the SPX Index was expected and uniform. The Index was down 96bps on the day, closing at 5695. The 5733 support level which I have remained focused did not hold. The Index then faded the entire Sep 19 high/low range (highlighted on chart) to test previously identified support at 5686 with a low of 5686.85 (almost perfect). Spot VIX spiked almost 20% on the day closing at 22.64. Additionally, VIX Term Structure remains biased towards “risk off” as the slope (Spot VIX to 1st and 2nd month) is now greater than +10%, moving further from Contango and closer to Backwardation. The ICAP Momentum/Trend (MOTR) Model Signal remains Negative (day 4) as internals continue to fade and suggest further downside is likely. As I have stated over the past two weeks, I continue to see risk as skewed to the downside from here. I would remain focused on the 5686 support level. A real break at this price level should create a drawdown to 5600 and 5500 in the near term.
Trade Support:
5686: Sep 19 Low
5615: Sep 18 Low
5600: Previous Support/Resistance
Trade Resistance:
5733: Sep 19 High
5760: Previous Resistance
5878: Projection Level
