A top-down tactical approach to trade ideas across assets and time horizons, drawing from proprietary sentiment technical indicators.
Contact Us for a trial.
Multi-Asset ResearchMulti-Asset Products: Absolute Strategy Weekly, Absolute Essentials, Multi-Asset Strategy Monthly, Sentix Survey Essentials, Trade Alerts.
Page 1: Next
FTSE volatility set to rise; UK Small-caps overbought vs Mid-250
UK markets remain firmly in the grip of Brexit. We noted last week that FTSE 100 optimism was stretched. This is set against implied FTSE 100 volatility that is extremely low, with the vol index SBI ending last week below 10 – a level that has been followed by a rise in vol over the next 30D on 77% of occasions (by ave.16%). FTSE 100 vol looks well placed to rise over the coming month.
Within the market, UK activity surprises are becoming more supportive for mid versus small-caps. The rising tide of optimism on UK small-caps has also lifted them into a stretched optimism condition versus mid-caps, as the relative tests 2013-14 highs. Similar SBI levels have been followed by a reversal in small-versus-mid caps over the next 30D on 88% of occasions (by ave.2.5%). Room for a relative reversal in FTSE Small-caps versus Mid-250 near-term. Charts p3.
Chart of the Week. The recent relative revival in precious metals versus industrials likely reflects dollar weakness, falling real yields and the unwinding of extended optimism on industrial metals. A continued loss of momentum among industrial versus precious metals would be consistent with global equities beginning to lose some ground versus bonds. On this front, Italian equities recently reached stretched optimism versus bonds. One to watch!
This research report is issued by Absolute Strategy Research Ltd, which is authorised and regulated by the Financial Conduct Authority (“FCA”). Absolute Strategy Research Services Inc. is registered as an investment adviser with the US SEC, and is responsible for all communications and dealings with, and only with, US persons. The report is intended only for investors who are Eligible Counterparties or Professional Clients, as defined by MIFID and the FCA, and may not be distributed to Retail Clients.
Absolute Strategy Research Ltd does not solicit any action based upon this report, which is not to be construed as an invitation to buy or sell any security.
This report is not intended to provide personal investment advice and it does not take into account the investment objectives, financial situation and the particular needs of any particular person who may read this report.
This research report provides general information only. The information contained was obtained from sources that we believe to be reliable but we do not guarantee that it is accurate or complete, and it should not be relied upon as such. Opinions expressed are our current opinions as of the original publication date appearing on this material only and the information, including the opinions contained herein, are subject to change without notice.
This research report may not be redistributed, retransmitted or disclosed in whole or in part, without the express written permission of Absolute Strategy Research Ltd.
© Absolute Strategy Research Ltd 2016. All rights reserved.
Absolute Strategy Research Ltd. 1-2 Royal Exchange Buildings, London, EC3V 3LF. Phone: +44 (0) 20 7073 0730 Fax: +44 (0) 20 7073 0732. www.absolutestrategy.com.
Absolute Strategy Research Ltd is registered in England and Wales. Company number 5727405. Registered Office: Salisbury House, Station Road, Cambridge