Thursday, February 17, 2011

16th February 2011 - Market Recap

Cumulative ticks: +15,000 but off the early morning highs of 20,000
A/D: 1300 for the NYSE and 800 for the NAS. Both A/D lines again trading off the morning highs.
Breadth: approx 70% positive for NYSE and 73% for NAS. Both basically traded at this level the whole day but slightly off the highs in the morning.

SPX front month 10 delta put skew: March 147.1% (21.8/14.82)
SPX front month 10 delta call skew: March 88.6% (11.15/12.58)
SPX Horizontal skew or Front month versus next month: 13.7% (average of March ATM options) versus 14.55% (average of April ATM options).
VIX: 16.72
SPY volume: Finished 5% above the 30 day median average.

Quant Predictions


1-3 days: Bearish in terms of pattern and bearish in terms of seasonals
1-4 weeks: Bullish
3-6 months: Bullish

Looking for a short here on yesterday's highs. Gap probabilities at this point look ok with these small gaps. However the best play may still be to fade the gap fill.

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