Global Insights Report

from www.mrtopstep.com
November 29th, 2010

Today's Points of Interests:

Volume: 7.5k SPZs and 2.78mil ESZs traded
S&P futures vs. fair value: -5.50. NASDAQ futures vs. fair value: -13.00.
15 SPZ/H spds traded

“BLACK FRIDAY’s S&P INDEX TRADE”

Friday started with combined GLOBEX volumes of 2k SPZs and 275k ESZ traded and a sharply
lower 8:30 opening range of 1186.50 to 1186.80. Just after the opening print the SPZ sold off a little
over 1 handle down to 1184.40 then slowly made it way back to a new daily high of 1193.00. The
SPZ opened 4 handles above the GLOBEX lows of 1182.50 and with all the selling done pre~open
and most people unable to hold the futures over the weekend the SPZ and ESZ did what the does
best lately, it went for the buy stops. Its 10:38 CT , we have still 30 locals in the pit, 7.6k S&P
options trade - 5.2k calls and 2.5k puts, total SPZ volume is 2k with 510k minis traded. It’s 11:22
and after a few small sell offs the SPZ is back trading at the 1190 level. For the half hour the SPZ
traded 1188 to 1190 and got hit by a big sell program going into the 12:00 cash close that sold the
SPZ from 1188.50 down 1185.50 in less then 1 minute. The SPZ traded 1188.30 on the 12:00 cash
close and at 12:05 the SPZ was traded 1185.50. At 12:09 the SPZ hit out more sell stops down to a
new low at 1183.80 and another new low going into the futures close 1183.00 on the last tick of the
day. In the end the Dow and S&P lost 1% and 0.9 % accordingly while the NASDAQ gained 0.7 %
for the week. European debt concerns and North Korea helped end the week on a sour note.

Monday? That was an ugly close last Friday, the VIX settled back above 21. In Asia of 8 of 11
markets closed higher. In Europe 10 out 10 markets are trading lower. Last night the ESZ traded
all the way back up to 1193.75 and gave up its gains overnight and made new low at 1179.50. Its
6:30 am and the SPZ is 1182.50 last , down .20 The big question here is what the markets will do
going into month end. The way we see this is it’s like a game of cat and mouse. The BULLs only
have so many days left in the year to mark things up and the BEARs know time is running short
for the BULLs. Our call? Today is CYBER / Mutual Fund Monday and based on Fridays close
we think it’s possible to see some early weakness then some type of bounce. Our levels for the day
1173.00 to 1175.00 and above we have 1193 to 1195.00 and then 1199 to 1203.

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Contributor’s Corner: Fari Hamzei / Hamzei, Founder HamzeiAnalytics.com

Market Timing Comments as of November 28, 2010

Twice per month, we hold a Market Timing Webinar which is open to all. There we discuss what
we see as critical technical and quantitative analyses of our equity markets including, but not
limited to, potential exopgenous pending news, upcoming economic calendar, big-cap high-beta
earnings calendar, indices price levels and quantified sentiment data. Here is a short excerpt on
one of the charts discussed in our Sunday November 28th webinar.
Here is our SP1_MoMo Chart. It depicts S&P-500 Cash Index both in daily and weekly
barintervals plus a modified S&P-500 only Proprietary Advance Decline (Breadth) Indicator (SP1)
and its fast shorter-term brethren (MoMo).

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On the intermediate timeframe (WEEKLY graph on the left), you can see that we are still on an
UP bias, while on DAILY graph (center) we are on a shorter-term SELL signal. What is critical
in both of these charts is the New 52-week Highs and Lows. New 52wk Lows are picking up a bit.
Also note the 200bar moving average (the thick white line). This is a key line-in-the-sand price for
large institutional players.
SP1 is obviously at a critical juncture (it is at -1 sigma) and MoMo suggests we may see a further
drop in the S&P-500 Breadth before we resume the upward move. On or about negative ten (-10)
on MoMo often coincides with short-term reversals to the upside. In like fashion plus ten (+10) is
where often market eases off and reverses to the downside.
Bottom Line: With a backdrop of Irish Debt Crisis and North Korean adventurism, we should
expect additional upward moves in equity index volatility which could flush out the weak longs and
set us up for an enhanced move up into the much-anticipated year-end tax selling.

THE WEEK AHEAD:

MONDAY: Texas manufacturing outlook survey, Chicago Fed Midwest manufacturing index, St.
Louis Fed Pres Bullard speaks, Cyber Monday
TUESDAY: ISM-NY report on business, S&P/Case-Shiller home price index, consumer confidence,
Minnesota Fed Pres Kocherlakota speaks, Bernanke speaks, Obama meets with Congressional
leaders
WEDNESDAY: Auto sales, MBA mortgage applications, Challenger job-cut report, ADP
employment report, productivity and costs, ISM mfg index, construction spending, oil inventories,
Beige Book, Fed vice chair Yellen speaks
THURSDAY: ECB announcement, jobless claims, pending home sales, Philadelphia Fed Pres
Plosser speaks, Fed Gov. Duke speaks, chain-store sales; Earnings from Toll Brothers, Del Monte
and Kroger
FRIDAY: Employment situation, factory orders, ISM non-mfg index

The information and data in this report were obtained from sources considered reliable. Their
accuracy or completeness is not guaranteed and the giving of the same is not to be deemed
as an offer or solicitation on our part with respect to the sale or purchase of any securities or
commodities. Mr. TopStep, its officers and directors may in the normal course of business have
positions, which may or may not agree with the opinions expressed in this report. Any decision to
purchase or sell as a result of the opinions expressed in this report will be the full responsibility
of the person authorizing such transaction. There is a substantial risk of loss in trading futures
and options.

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There is a substantial risk of loss in trading futures and options. Past performance is not
indicative of future results.

Distributed by mrtopstep.com. © 2010