15th February 2011 - Market Recap

Cumulative ticks: -10,000 which was the lows after bouncing to 5000 during 1.09pm ET
A/D: -600 for the NYSE and -600 for the NAS. Both A/D lines traded in a narrow range but off its lows whereas the NAS finished near its lows.

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: March 148% (21.35/14.34)
SPX front month 10 delta call skew: March 87.1% (10.8/12.4)
SPX Horizontal skew or Front month versus next month: 13.37% (average of March ATM options) versus 14.19% (average of April ATM options)

VIX: 16.37
SPY volume: Finished 16% below the 30 day median average.

Quant Predictions


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

Once again the dip buyers showed up as the futures sold off in the morning. However the highs and lows were established after that and the futures just traded within that range. It still amazes me how the dip buyers are showing up every time. It seems to be the lay up trade of the last week or so. Anyway we have decent gaps up in the futures this morning but the odds show a mixed bag in terms of probabilities for fading it so I will probably stand aside and watch to see what happens from here. Bonds selling off a bit after the PPI numbers came in pretty high again. I think we are starting to see inflationary pressures build and that would be bad for bonds and could be bad for this market.