Tuesday, February 15, 2011

Market Recap - Monday 14th Feb 2011

Cumulative ticks: +34,000 after trending higher from 11.09am ET
A/D: 250 for the NYSE and 200 for the NAS. Both A/D lines traded in a wide range before narrowing at the end of the day (indecisive market).
Breadth: approx 60% positive for NYSE and 60% for NAS. Both basically traded at this level the whole day.
SPX front month 10 delta put skew: 131% (21.55/16.46) - March 144% (20.97/14.53)
SPX front month 10 delta call skew: 98.7% (11.8/11.95) - March 89.6% (10.67/11.91)
SPX Horizontal skew or Front month versus next month: 14.20% (average of Feb ATM options) versus 13.22% (average of March ATM options).

VIX: 15.95
SPY volume: Finished 35% below the 30 day median average.

Quant Predictions


1-3 days: Neutral to bearish
1-4 weeks: Bullish
3-6 months: Bullish


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