A Comparison of Text Sentiment and Market Sentiment: US Treasury 10-Year Note Futures and Changes to Cash in Circulation using Sentiment Analysis and the CME Market Sentiment Meter

By Pazinski Hong & Anish R. Verma

The CME Market Sentiment Meter (MSM) calculates market sentiment states based on a novel mixture distribution, taking input from options and futures settlement data. We compare market sentiment from financial data to text sentiment from sentiment analysis as an indicator for market trends due to external events. Both types of sentiment were explored in a case study of the year 2020 about the US Treasury 10-Year Note futures (TYF). The year brought large fluctuations in the US economy due to the COVID-19 pandemic and other major events…

CME Market Sentiment Meter Historical Market Analyses: Natural Gas 2014 North American Cold Wave

By Aaron He & Anish R. Verma

From late 2013 through early 2014 there were severe cold fronts across North America, during which time natural gas futures (NG) prices spiked, peaking in February of 2014. The Market Sentiment Meter (MSM) indicated Complacent and Balanced states before the cold period. As the cold wave became more severe, the MSM indicated Anxious states, which preceded an upward movement in settlement price…

CME Market Sentiment Meter Historical Market Analyses – Gold – 2019 Federal Funds Rate Cuts

By Anish R. Verma, & Andrew Milne

Periods of Anxious market states for COMEX Gold futures (GC1) tended to be either short-lived or long-lived in the eight-year period ending in December 2019.

In 2018, the U.S. saw economic growth and the Federal Reserve hiked rates four times during the year. The year was dominated primarily by Balanced market states, and GC consistently fell once the rate hikes were announced…

Market Reactions to COVID-19 Using the CME Market Sentiment Meter

The COVID-19 pandemic has changed the world forever, and its effect will continue to send shockwaves through many parts of society, notably among the world’s financial markets. These include the eight commodity futures and options products tracked by the CME Market Sentiment Meter (MSM): S&P index futures, US Treasury note futures, crude oil, natural gas, corn, soybeans, the Euro/USD exchange rate, and gold. The MSM is a computational tool that calculates market sentiment with respect to the above futures and options products based on the assumption that their prices and volumes reflect the aggregate sentiments of traders. Asset managers need information that helps them to avoid risks and earn higher returns, even though day-to-day fluctuations are usually small relative to the  total value of the instruments being traded.

Market Sentiment Meter (MSM)

Better risk management. Higher returns from algorithmic trading.[dsm_perspective_image src="https://1qbit.com/wp-content/uploads/2021/04/toolimage.jpg" title_text="toolimage" module_class="msmatool" _builder_version="4.9.0" _module_preset="default" custom_margin="|||25px|false|false" custom_margin_tablet="|5%||5%|false|false" custom_margin_phone="0px|||5%|false|false"...

CME Market Sentiment Meter Historical Market Analyses – September 14, 2019 Abqaiq-Khurais Attack

By Anish Verma

In the year 2019, daily settlement prices (most active expiry) for WTI Crude Oil futures (CL1) rose as tensions with China and Iran grew from January to April. During this period, the Market Sentiment Meter (MSM) indicated Balanced market states.

Visualizing Market Risk to Increase Return on Investment

Market risk is commonly modelled as a normal distribution of the expected returns for a financial instrument: The most likely outcome is at the peak, located in the middle of the distribution. The width of the curve on either side of the peak indicates the uncertainty or volatility of the market. Large volatility brings the possibility of making a lot of money, but also the risk of losing a lot of money.

Texas Freezes and the Natgas Futures Market Barely Warms

Historic levels of cold and snow left millions of people without power in Texas due to a surge in demand for electricity. In the state, the majority of electrical power (about 52%) is produced using natural gas. Texas also supplies 27% of U.S. marketed production, by far the largest share of any U.S. state. How was the demand for natural gas affected by the extreme winter weather in Texas? In turn, how did that affect the natural gas futures market?

Market Reactions to COVID-19

By Anish R. Verma, & Andrew Milne

The COVID-19 pandemic had a notable effect on the eight futures and options products tracked by 1QBit’s CME Market Sentiment Meter. In some markets, such as U.S. equity index futures and U.S. interest rate futures, there were rapid increases in daily futures volumes as prices changed and traders managed their evolving risk…

Understanding Winter Trends in Natural Gas Futures

Large-scale events tend to affect the futures market. For example, demand for natural gas is affected by the weather. Demand is also affected by the patterns in people’s day-to-day lives, which have been greatly affected by the COVID-19 pandemic. In this article, we will look at a past event in the natural gas futures market, and explain why we should look for the same pattern toward the end of the present winter. The analysis is guided by the market sentiment tool, the CME Market Sentiment Meter (MSM).

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