Thursday, February 10, 2011

Thursday morning update

From this point forward, I shall endeavour to summarise the main technical indicators that I use every morning. At the end of each trading day I will also summarise these indicators and also my outlook/forecast for the short term (1-3 days), intermediate term (1 - 4 weeks), long term (3-6 months). Doing this will help you as well as me as it will force me to record these values and give me an objective measure of the tape each day.

Time: 10.20am ET

Cumulative ticks: -3,000 and bouncing off the lows of -7,000
A/D: -323 for the NYSE and -71 for the NAS. Both well off the lows of sub 1000
Breadth: approx 60% negative (ie 40% positive) for both exchanges but well off the extreme of 80-90% negative
SPX front month 10 delta put skew: 134%
SPX front month 10 delta call skew: 81.3%
SPX Horizontal skew or Front month versus next month: 12.85% (average of Feb ATM options) versus 13.75% (average of March ATM options).
SPY volume: Currently 60% above the 30 day median average.

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