18th February 2011 - Market Recap

Cumulative ticks: +35,000 but traded sideways since hitting a peak of 40,000 at 1pm.
A/D: +350 for the NYSE and 0 for the NAS. The NYSE finished off the highs hit at noon of 700 while the NAS was well off the opening print of 700.
Breadth: approx 50% positive for both the NYSE and the NAS. Both basically traded at this level the whole day.

SPX front month 10 delta put skew: March 160.34% (21.55/13.44)
SPX front month 10 delta call skew: March 89% (10.9/12.24)
SPX Horizontal skew or Front month versus next month: 12.84% (average of March ATM options) versus 14.67% (average of April ATM options).

VIX: 16.43 (-0.16)
SPY volume: Finished 3.5% below 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

Well on Friday, I faded the morning gap up (as that was what the gap guides provided over at masterthegap.com ) showed to be the best setup. The TF was the weapon of choice because the gaps were quite large and I didn't want to hold for entire gap fill in case we again rallied so the TF being the most leveraged of the e-minis was ideal as the extra leverage would give me a decent profit if I was right and I would be able to get in and out of the trade quickly as I wouldn't have to hold it for too long in case I was wrong. As it turned out I went short at 835.20 and covered at 833.20 for 2 points or $200 per contract right after the first 10 mins of the open. Thankfully I covered because after the first 20 mins after the open all of the futures bottomed and rallied higher till noon from when it preceded to sell off into the close right back to where it opened. This kind of pattern is unusual and perhaps it is a clue that some of the longer term time frame traders have hit their targets. Either that or some people knew that the situation in the Middle East was going to unravel over the weekend and no one wanted to hold positions over the long weekend. (Maybe Goldman knew as it was a quiet big seller on Thursday according to Ben from Trader's Audio).

I expect some big time selling tonight as people bail on positions so will likely be fading the gap fill.