<p>作者：Lawrence G. McMillan</p>
<p>如果积极的季节性因素开始发挥作用，投资者可以期待在年底前创下历史新高</p>
<p>标准普尔 500 指数（SPX）在历史最高点下方停滞，因此 6,500 到 6,900 的交易区间仍然保持不变。无论哪个方向突破都将导致强劲的走势。显然，SPX 更接近向上的突破，并且市场内部有一些新的积极信号，以及有利的季节性模式。</p>
<p>附带的 SPX 图表中一个显著的特点是修正后的布林带（mBB）之间的宽幅差距。这是由于自 10 月 10 日首次爆发以来，实现的波动性保持相对较高。目前没有有效的麦克米兰波动带（MVB）信号。</p>
<p>尽管最近出现了反弹，股票单一的认沽 - 认购比率仍在持续上升。只要这些比率在上升，对股票来说就是看跌的。最近上升的速度有所放缓，但这些比率在回落并开始下降之前不会产生买入信号。本周加权比率保持横盘，但我们用来分析这些图表的计算机程序仍在 “表示” 卖出信号将保持有效。</p>
<p>市场广度开始停滞。仅股票的广度振荡器仍然发出买入信号，但基于纽约证券交易所的振荡器正在接近翻转为卖出信号。与此同时，累计成交量广度（CVB）距离新的历史最高点仍有一定距离。</p>
<p>纽约证券交易所的新高继续超过新低，11 月 26 日注册的买入信号仍然有效。该指标在不断波动，这很不寻常，但目前它是看涨的。</p>
<p>如上所述，实现的波动性相对较高，这可能对股票构成问题。SPX 的 20 日历史波动率（HV20）仍在 15% 左右，略低于近期高点，但足够高，以至于市场中存在大量的不确定性（和波动性）。</p>
<p>隐含波动率（VIX）已下降，因此 11 月 21 日的 VIX“峰值” 买入信号仍然有效。目前没有 “VIX 趋势” 信号在起作用，尽管可能很快会出现。如果 VIX 及其 20 日移动平均线均低于 200 日移动平均线，这将发出新的 “VIX 趋势” 买入信号。附带的 VIX 图表右下角显示这两个移动平均线基本上处于相同的值，而 VIX 低于 200 日。</p>
<p>波动率衍生品的构造在经历了 11 月 21 日那一周的短暂恐慌后，已恢复对股票的看涨展望，当时似乎期限结构可能会反转。目前，两个期限结构均向上倾斜，VIX 期货以强溢价交易，所有看涨信号良好。</p>
<p>此外，感恩节后的季节性时期已经开始。从现在到 1 月底，有各种积极的季节性指标。到目前为止，这并没有产生太大影响，但仍有时间发挥作用。罗素 2000 指数（RUT）继续略强于 SPX，这与积极的季节性因素一致。</p>
<p>总之，SPX 仍在其交易区间内，但在一些领域出现了新的买入信号，并且没有新的卖出信号。如果积极的季节性因素开始发挥作用，我们可能会在年底前看到历史新高。无论如何，我们将根据新信号采取相应的头寸，并继续保持深度实值头寸。</p>
<p>新推荐：潜在突破</p>
<p>如果 SPX 突破历史新高，我们希望增加看涨头寸：</p>
<p>如果 SPX 连续两天收于 6,900 以上，则买入 1 份 SPY（1 月 16 日）平值看涨期权，并卖出 1 份 SPY（1 月 16 日）行权价高 20 点的看涨期权。</p>
<p>如果该推荐成立，我们将为该头寸设定止损。</p>
<p>新推荐：SPDR 黄金 ETF（GLD）</p>
<p>SPDR 黄金 ETF GLD 发布了新的加权认沽 - 认购比率。我们最近对此进行了投资并获得了不错的利润。在 10 月到 11 月的调整期间，GLD 实际上并没有回调太多，但认沽买入激增。似乎市场无法等待对黄金看跌。现在黄金再次反弹，新的买入信号已发出。</p>
<p>买入 1 份 GLD（1 月 16 日）390 看涨期权，并卖出 1 份 GOLD（1 月 16 日）415 看涨期权。</p>
<p>只要认沽 - 认购比率保持买入信号，我们将继续持有。</p>
<p>后续行动：</p>
<p>所有止损均为心理止损，除非另有说明。</p>
<p>我们对 SPY 价差使用标准的滚动程序：在任何垂直看涨或看跌价差中，如果标的资产触及短期行权价，则滚动整个价差。在看涨价差的情况下将向上滚动，在看跌价差的情况下将向下滚动。保持相同的到期日，并保持行权价之间的距离相同，除非另有指示。</p>
<p>此外，对于直接的长期期权，如果它们变为 8 点实值，则进行滚动。</p>
<p>持有 1 份 TSEM（12 月 19 日）115 看涨期权和 1 份 TSEM（12 月 19 日）130 看涨期权：由于 TSEM（TSEM）在 12 月 2 日交易于 115，整个价差应已滚动至 115-130 看涨期权价差。继续持有，暂时不设止损。</p>
<p>持有 2 份 BXP（1 月 16 日）72.5 看跌期权：由于认沽 - 认购比率已翻转为买入信号，卖出这些 BXP（BXP）看跌期权。</p>
<p>持有 2 份 CME（12 月 12 日）285 看涨期权：只要认沽 - 认购比率保持买入信号，继续持有 CME（CME）。</p>
<p>持有 1 份 SPY（12 月 26 日）679 看涨期权和 1 份 SPY（12 月 26 日）699 看涨期权：这是 “峰值” 买入信号头寸。原始价差在 SPY 交易于 679 时已向上滚动。将持有 22 个交易日。如果 VIX 收于 28.27 以上（最近的 VIX 峰值），则将被止损。</p>
<p>持有 2 份 PLD（12 月 19 日）125 看跌期权：只要 PLD（PLD）的认沽 - 认购比率处于卖出信号，我们将继续持有。</p>
<p>持有 2 份 SPY（12 月 12 日）682 看涨期权和 2 份 SPY（12 月 12 日）697 看涨期权：这是我们的感恩节后季节性交易。如果长期看涨期权变为 10 点实值，则向上滚动。否则，最初整个支出都处于风险之中。</p>
<p>持有 3 个 SLV（1 月 16 日）48 的看涨期权：只要 SLV 的加权认沽 - 认购比买入信号保持有效，我们将继续持有这些期权。</p>
<p>所有止损都是心理止损，除非另有说明。</p>
<p>如有问题，请发送至：lmcmillan@optionstrategist.com。</p>
<p>Lawrence G. McMillan 是 McMillan Analysis 的总裁，该公司是一家注册的投资和商品交易顾问。McMillan 可能在本报告中推荐的证券中持有个人和客户账户的头寸。他是一位经验丰富的交易员和资金经理，并且是《期权作为战略投资》的作者。www.optionstrategist.com</p>
<p>免责声明：</p>
<p>(c) McMillan Analysis Corporation 已在 SEC 注册为投资顾问，并在 CFTC 注册为商品交易顾问。本通讯中的信息是从被认为可靠的来源仔细编制的，但不保证其准确性和完整性。McMillan Analysis Corporation 的官员或董事，或由此类人员管理的账户可能在建议中推荐的证券中持有头寸。</p>
<p>-Lawrence G. McMillan</p>
<p>此内容由 MarketWatch 创建，MarketWatch 由道琼斯公司运营。MarketWatch 与道琼斯新闻通讯和华尔街日报独立出版。</p>
<p>（结束）道琼斯新闻通讯</p>
<p>12-04-25 1742ET</p>

黄金 ETF - SPDR

标普 500 ETF - SPDR

SPDR 金 ETF

<p>标普 500 指数即将突破上行，积极的季节性因素可能导致年底创下历史新高。尽管波动性较大，但出现了新的买入信号，且没有新的卖出信号。建议在标普 500 指数突破 6,900 时增加看涨头寸，并因出现新的买入信号而投资于 SPDR 黄金 ETF。市场前景依然看涨，受到有利的季节性模式和波动性衍生品的支持</p>

<p>By Lawrence G. McMillan</p>
<div class="lb-trans"><p>作者：Lawrence G. McMillan</p>
</div><p>If positive seasonality kicks in, investors can expect all-time highs before year-end</p>
<div class="lb-trans"><p>如果积极的季节性因素开始发挥作用，投资者可以期待在年底前创下历史新高</p>
</div><p>The S&amp;P 500 index SPX has stalled just below all-time highs, so the trading range between 6,500 and 6,900 is still intact. A breakout in either direction should result in a strong move. Obviously, SPX is much closer to an upside breakout, and there are some new positive signs from market internals as well as a favorable seasonal pattern.</p>
<div class="lb-trans"><p>标准普尔 500 指数（SPX）在历史最高点下方停滞，因此 6,500 到 6,900 的交易区间仍然保持不变。无论哪个方向突破都将导致强劲的走势。显然，SPX 更接近向上的突破，并且市场内部有一些新的积极信号，以及有利的季节性模式。</p>
</div><p>One standout on the accompanying SPX chart is the wide gap between the modified Bollinger bands (mBB). That's due to realized volatility remaining fairly high since it first exploded back on Oct. 10. There's no McMillan volatility band (MVB) signal in effect at this time.</p>
<div class="lb-trans"><p>附带的 SPX 图表中一个显著的特点是修正后的布林带（mBB）之间的宽幅差距。这是由于自 10 月 10 日首次爆发以来，实现的波动性保持相对较高。目前没有有效的麦克米兰波动带（MVB）信号。</p>
</div><p>Equity-only put-call ratios have continued to climb despite the recent rally. As long as these ratios are rising, that is bearish for stocks. The rate of ascent has slowed recently, but these ratios won't generate buy signals until they roll over and begin to decline. The weighted ratio has moved sideways this week, but the computer programs that we use to analyze these charts are still &#34;saying&#34; that the sell signals will remain in effect.</p>
<div class="lb-trans"><p>尽管最近出现了反弹，股票单一的认沽 - 认购比率仍在持续上升。只要这些比率在上升，对股票来说就是看跌的。最近上升的速度有所放缓，但这些比率在回落并开始下降之前不会产生买入信号。本周加权比率保持横盘，但我们用来分析这些图表的计算机程序仍在 “表示” 卖出信号将保持有效。</p>
</div><p>Market breadth is beginning to stall. The stocks-only breadth oscillator remains on a buy signal, but the NYSE-based oscillator is flirting with rolling over to a sell signal. Meanwhile, cumulative volume breadth (CVB) is still some distance from new all-time highs.</p>
<div class="lb-trans"><p>市场广度开始停滞。仅股票的广度振荡器仍然发出买入信号，但基于纽约证券交易所的振荡器正在接近翻转为卖出信号。与此同时，累计成交量广度（CVB）距离新的历史最高点仍有一定距离。</p>
</div><p>New highs on the NYSE have continued to outpace new lows, and the buy signal that was registered on Nov. 26 remains in place. This indicator has flipped back and forth, which is unusual, but at the moment it's bullish.</p>
<div class="lb-trans"><p>纽约证券交易所的新高继续超过新低，11 月 26 日注册的买入信号仍然有效。该指标在不断波动，这很不寻常，但目前它是看涨的。</p>
</div><p>As noted above, realized volatility is relatively high and that can be a problem for stocks. The 20-day historical volatility of SPX (HV20) is still at 15% - off slightly from its recent highs, but high enough that a great deal of uncertainty (and volatility) is in place in the market.</p>
<div class="lb-trans"><p>如上所述，实现的波动性相对较高，这可能对股票构成问题。SPX 的 20 日历史波动率（HV20）仍在 15% 左右，略低于近期高点，但足够高，以至于市场中存在大量的不确定性（和波动性）。</p>
</div><p>Implied volatility (VIX) VIX has fallen, and so the VIX &#34;spike peak&#34; buy signal of Nov. 21 remains in place. At the moment, there is not a &#34;trend of VIX&#34; signal working, although one may be forthcoming soon. If both VIX and its 20-day moving average are below the 200-day moving average, this would signal the beginning of a new &#34;trend of VIX&#34; buy signal. The lower right-hand area of the accompanying VIX chart shows these two moving averages at basically identical values, while VIX is below the 200-day.</p>
<div class="lb-trans"><p>隐含波动率（VIX）已下降，因此 11 月 21 日的 VIX“峰值” 买入信号仍然有效。目前没有 “VIX 趋势” 信号在起作用，尽管可能很快会出现。如果 VIX 及其 20 日移动平均线均低于 200 日移动平均线，这将发出新的 “VIX 趋势” 买入信号。附带的 VIX 图表右下角显示这两个移动平均线基本上处于相同的值，而 VIX 低于 200 日。</p>
</div><p>The construct of volatility derivatives has returned to a bullish outlook for stocks, after a brief scare during the week ending Nov. 21, when it appeared that the term structures might be inverting. Currently, both term structures are sloping upwards, and the VIX futures are trading with a strong premium to VIX, and all is well on the bullish front.</p>
<div class="lb-trans"><p>波动率衍生品的构造在经历了 11 月 21 日那一周的短暂恐慌后，已恢复对股票的看涨展望，当时似乎期限结构可能会反转。目前，两个期限结构均向上倾斜，VIX 期货以强溢价交易，所有看涨信号良好。</p>
</div><p>Moreover, the post-Thanksgiving seasonal period is in place. There are various positive seasonal indicators from now through the end of January. So far, this hasn't had much effect, but there is still time for it to work. The Russell 2000 Index RUT continues to be slightly stronger than SPX, which is in line with the positive seasonals.</p>
<div class="lb-trans"><p>此外，感恩节后的季节性时期已经开始。从现在到 1 月底，有各种积极的季节性指标。到目前为止，这并没有产生太大影响，但仍有时间发挥作用。罗素 2000 指数（RUT）继续略强于 SPX，这与积极的季节性因素一致。</p>
</div><p>In summary, SPX remains in its trading range, but new buy signals have arisen in a few areas, and there are no new sell signals. If the positive seasonality kicks in, we may see all-time highs before year end. In any case, we will take positions in line with new signals as they occur, and we will continue to roll deeply in-the-money positions.</p>
<div class="lb-trans"><p>总之，SPX 仍在其交易区间内，但在一些领域出现了新的买入信号，并且没有新的卖出信号。如果积极的季节性因素开始发挥作用，我们可能会在年底前看到历史新高。无论如何，我们将根据新信号采取相应的头寸，并继续保持深度实值头寸。</p>
</div><p>New Recommendation: Potential breakout</p>
<div class="lb-trans"><p>新推荐：潜在突破</p>
</div><p>If SPX breaks out to new all-time highs, we want to add to our bullish positions:</p>
<div class="lb-trans"><p>如果 SPX 突破历史新高，我们希望增加看涨头寸：</p>
</div><p>If SPX closes above 6,900 for two consecutive days, then buy 1 SPY (Jan. 16) at-the-money call and sell 1 SPY (Jan. 16) call with a striking price 20 points higher.</p>
<div class="lb-trans"><p>如果 SPX 连续两天收于 6,900 以上，则买入 1 份 SPY（1 月 16 日）平值看涨期权，并卖出 1 份 SPY（1 月 16 日）行权价高 20 点的看涨期权。</p>
</div><p>If this recommendation is established, we will set a stop for the position.</p>
<div class="lb-trans"><p>如果该推荐成立，我们将为该头寸设定止损。</p>
</div><p>New recommendation: SPDR Gold Shares ETF (GLD)</p>
<div class="lb-trans"><p>新推荐：SPDR 黄金 ETF（GLD）</p>
</div><p>A new weighted put-call ratio has been issued for SPDR Gold Shares ETF GLD. We were invested in this recently and made a decent profit. GLD really didn't pull back all that much during its October-November correction, but put-buying exploded. It seems that the crowd couldn't wait to get bearish on gold. Now gold is rallying again and a new buy signal is in place.</p>
<div class="lb-trans"><p>SPDR 黄金 ETF GLD 发布了新的加权认沽 - 认购比率。我们最近对此进行了投资并获得了不错的利润。在 10 月到 11 月的调整期间，GLD 实际上并没有回调太多，但认沽买入激增。似乎市场无法等待对黄金看跌。现在黄金再次反弹，新的买入信号已发出。</p>
</div><p>Buy 1 GLD (Jan. 16) 390 call and sell 1 GOLD (Jan. 16) 415 call</p>
<div class="lb-trans"><p>买入 1 份 GLD（1 月 16 日）390 看涨期权，并卖出 1 份 GOLD（1 月 16 日）415 看涨期权。</p>
</div><p>We will continue to hold as long as the put-call ratio remains on a buy signal.</p>
<div class="lb-trans"><p>只要认沽 - 认购比率保持买入信号，我们将继续持有。</p>
</div><p>Follow-up actions:</p>
<div class="lb-trans"><p>后续行动：</p>
</div><p>All stops are mental closing stops unless otherwise noted.</p>
<div class="lb-trans"><p>所有止损均为心理止损，除非另有说明。</p>
</div><p>We are using a standard rolling procedure for our SPY spreads: in any vertical bull or bear spread, if the underlying hits the short strike, then roll the entire spread. That would be roll up in the case of a call bull spread or roll down in the case of a bear put spread. Stay in the same expiration and keep the distance between the strikes the same unless otherwise instructed.</p>
<div class="lb-trans"><p>我们对 SPY 价差使用标准的滚动程序：在任何垂直看涨或看跌价差中，如果标的资产触及短期行权价，则滚动整个价差。在看涨价差的情况下将向上滚动，在看跌价差的情况下将向下滚动。保持相同的到期日，并保持行权价之间的距离相同，除非另有指示。</p>
</div><p>Also, for outright long options, roll if they become 8 points in-the-money.</p>
<div class="lb-trans"><p>此外，对于直接的长期期权，如果它们变为 8 点实值，则进行滚动。</p>
</div><p>Long 1 TSEM (Dec. 19) 115 call and short 1 TSEM (Dec. 19) 130 call: Since TSEM (TSEM) traded at 115 on Dec. 2, the entire spread should have been rolled up to the 115-130 call spread. Continue to hold without a stop for now.</p>
<div class="lb-trans"><p>持有 1 份 TSEM（12 月 19 日）115 看涨期权和 1 份 TSEM（12 月 19 日）130 看涨期权：由于 TSEM（TSEM）在 12 月 2 日交易于 115，整个价差应已滚动至 115-130 看涨期权价差。继续持有，暂时不设止损。</p>
</div><p>Long 2 BXP (Jan. 16) 72.5 puts: Sell these BXP (BXP) puts as the put-call ratio has rolled over to a buy signal.</p>
<div class="lb-trans"><p>持有 2 份 BXP（1 月 16 日）72.5 看跌期权：由于认沽 - 认购比率已翻转为买入信号，卖出这些 BXP（BXP）看跌期权。</p>
</div><p>Long 2 CME (Dec. 12) 285 calls: Continue to hold CME (CME) as long as the put-call ratio remains on a buy signal.</p>
<div class="lb-trans"><p>持有 2 份 CME（12 月 12 日）285 看涨期权：只要认沽 - 认购比率保持买入信号，继续持有 CME（CME）。</p>
</div><p>Long 1 SPY (Dec. 26) 679 call and short 1 SPY (Dec. 26) 699 call: This is the &#34;spike peak&#34; buy signal position. The original spread was rolled up when SPY SPY traded at 679. It will be held for 22 trading days. It would be stopped out if VIX were to close above 28.27, the most recent VIX spike peak.</p>
<div class="lb-trans"><p>持有 1 份 SPY（12 月 26 日）679 看涨期权和 1 份 SPY（12 月 26 日）699 看涨期权：这是 “峰值” 买入信号头寸。原始价差在 SPY 交易于 679 时已向上滚动。将持有 22 个交易日。如果 VIX 收于 28.27 以上（最近的 VIX 峰值），则将被止损。</p>
</div><p>Long 2 PLD (Dec. 19) 125 puts: We will hold as long as the put-call ratio for PLD (PLD) is on a sell signal.</p>
<div class="lb-trans"><p>持有 2 份 PLD（12 月 19 日）125 看跌期权：只要 PLD（PLD）的认沽 - 认购比率处于卖出信号，我们将继续持有。</p>
</div><p>Long 2 SPY (Dec. 12) 682 calls and short 2 SPY (Dec. 12) 697 calls: This is our post-Thanksgiving seasonal trade. Roll up if the long call becomes 10 points in-the-money. Otherwise, the entire debit is at risk initially.</p>
<div class="lb-trans"><p>持有 2 份 SPY（12 月 12 日）682 看涨期权和 2 份 SPY（12 月 12 日）697 看涨期权：这是我们的感恩节后季节性交易。如果长期看涨期权变为 10 点实值，则向上滚动。否则，最初整个支出都处于风险之中。</p>
</div><p>Long 3 SLV (Jan. 16) 48 calls: We will hold these calls as long as the weighted put-call ratio buy signal for SLV SLV remains intact.</p>
<div class="lb-trans"><p>持有 3 个 SLV（1 月 16 日）48 的看涨期权：只要 SLV 的加权认沽 - 认购比买入信号保持有效，我们将继续持有这些期权。</p>
</div><p>All stops are mental closing stops unless otherwise noted.</p>
<div class="lb-trans"><p>所有止损都是心理止损，除非另有说明。</p>
</div><p>Send questions to: lmcmillan@optionstrategist.com.</p>
<div class="lb-trans"><p>如有问题，请发送至：lmcmillan@optionstrategist.com。</p>
</div><p>Lawrence G. McMillan is president of McMillan Analysis, a registered investment and commodity trading advisor. McMillan may hold positions in securities recommended in this report, both personally and in client accounts. He is an experienced trader and money manager and is the author of &#34;Options as a Strategic Investment.&#34; www.optionstrategist.com</p>
<div class="lb-trans"><p>Lawrence G. McMillan 是 McMillan Analysis 的总裁，该公司是一家注册的投资和商品交易顾问。McMillan 可能在本报告中推荐的证券中持有个人和客户账户的头寸。他是一位经验丰富的交易员和资金经理，并且是《期权作为战略投资》的作者。www.optionstrategist.com</p>
</div><p>Disclaimer:</p>
<div class="lb-trans"><p>免责声明：</p>
</div><p>(c) McMillan Analysis Corporation is registered with the SEC as an investment advisor and with the CFTC as a commodity trading advisor. The information in this newsletter has been carefully compiled from sources believed to be reliable, but accuracy and completeness are not guaranteed. The officers or directors of McMillan Analysis Corporation, or accounts managed by such persons may have positions in the securities recommended in the advisory.</p>
<div class="lb-trans"><p>(c) McMillan Analysis Corporation 已在 SEC 注册为投资顾问，并在 CFTC 注册为商品交易顾问。本通讯中的信息是从被认为可靠的来源仔细编制的，但不保证其准确性和完整性。McMillan Analysis Corporation 的官员或董事，或由此类人员管理的账户可能在建议中推荐的证券中持有头寸。</p>
</div><p>-Lawrence G. McMillan</p>
<div class="lb-trans"><p>-Lawrence G. McMillan</p>
</div><p>This content was created by MarketWatch, which is operated by Dow Jones &amp; Co. MarketWatch is published independently from Dow Jones Newswires and The Wall Street Journal.</p>
<div class="lb-trans"><p>此内容由 MarketWatch 创建，MarketWatch 由道琼斯公司运营。MarketWatch 与道琼斯新闻通讯和华尔街日报独立出版。</p>
</div><p>(END) Dow Jones Newswires</p>
<div class="lb-trans"><p>（结束）道琼斯新闻通讯</p>
</div><p>12-04-25 1742ET</p>
<div class="lb-trans"><p>12-04-25 1742ET</p>
</div>

The stock market is verging on a holiday breakout - taking gold and silver with it

- S&P 500 指数接近历史高点，交易区间在 6,500 至 6,900 之间。  
- 市场内部出现积极信号，若季节性因素生效，年末可能创下新高。  
- 新的买入信号出现，建议在突破 6,900 后增加看涨头寸。  

股市正接近假期突破，并带动黄金和白银一起上涨