Wednesday, December 31, 2008

2008 ~ Wasn't That...

Which Was It For You?

2008 ~ Wasn't That Great!!!

2008 ~ wasn't that great...

Either Way, Here Is To A More Sublime 2009:
A Happy New Year to You All!

12.31.08 - Nice Holiday Follow Through

Today's pre-holiday follow-through on strong tick action should leave the S&P 500 (SPY) above both its 20- and 50-day moving averages. However, should we close here price will be quite overbought on a very short-term basis.

Tuesday, December 30, 2008

12.30.08 - Trend Day Attempting to Evolve

With the Cumulative Tick and the A-D lines looking strong, we have the possibility of a good trend day setting up. For that to be confirmed, however, we will need to break out of this mini-range that the SPY has been in for the last half hour or so post resistive volume spike peaking at 8:55am PST. VIX is down over 1% to 43. As of this posting; however, the immediate trend has waned and I will be looking for potential support at the VWAP ($87.80).

Close - Great day. Tagged the VWAP some four times after the morning pop, but it held and catapulted into the close. I placed a partial hedge on core assets at the close and fully closed my levered swing trade from last week. S&P 500 component changes tomorrow.

Monday, December 29, 2008

12.29.08 - Back to Bottom of Range

Cumulative Tick and Declining Volume are very negative as the implications of global tensions finally sink in. For now I will be looking for SPY support between $85.30 and $86.00 with a view towards the lower end of the range if the VIX trend can't stabilize here soon (now nearing 46). Volume remains low.

Sunday, December 28, 2008

Weekly ETF Rewind - Week 52 (12/26/08)

(Click Image to Enlarge/ Glossary)

This is just a mini-holiday post on this last week of the year, gang. Last week's light volume trade left mostly red on the screen, with the S&P 500 (SPY) down about -1.6%. In fact, the only exceptions were Real Estate (IYR +4.1%), the US Dollar (UUP +0.8%) and a handful of commodities.

In spite of the holidays, trader's will no doubt be keeping a close eye on the evolving geopolitical rifts, as illustrated by the sharp rise in gold late last week (Bloomberg - Gold Rises on Tensions).

The first week of 2009 is again holiday shortened, but this time much lighter on the reporting calendars, as follows:

Enjoy your weekend and have a warm holiday season!

Friday, December 26, 2008

12.26.08 - Rejected at the Five-Day

Today's opening gap put the SPY just above it's five-day moving average. However, this proved to be resistance, as it often does, and price is now roughly tracing along below this line. That said, Cumulative Tick is largely positive, and Advancing versus Declining volume are keeping well paced and we have thus far found support near the Wednesday highs. Individual sectors are also divergent, indicating no strong market-wide trend. Post holiday trading is light.

10:30AM PST - SPY gap is filled and now we have caught a small bid. Not unexpected, but not alot of significance on the day whatever happens. The more times we test the five-day, the higher the likelihood of breaking through. Just note that it continues its down slope and VWAP may continue to provide resistance.

12:45PM PST - I have scaled back my long-swing trade from Tuesday's close by half.

Wednesday, December 24, 2008

12.24.08 - Recovery to Pivot

First Half of Day

We have recovered past the daily pivot line on advancing tick readings after opening at yesterday's closing lows on the unemployment claims figures. If you've never seen the source Department of Labor press release, it's worth a review.

Second Half of Day

From MarketRewind, a Very Happy Holidays to You and Yours.

Tuesday, December 23, 2008

12.23.08 - Heading to Retest Monday Lows

After a choppy morning session, we have seen an interrupted decline on worsening Tick and Advance Decline readings. I will be looking for potential support near yesterday's lows, which roughly coincides with today's Support Level 1. Volume is again on the low side and the VIX remains moderate. Most leading sectors are exhibiting high correlation on the downward drift -- many will call this a simple "buyer's strike" ahead of the holiday.

12:05AM PST - Dow is resting above its S1 (right below DIA $84). The Nasdaq 100 (QQQQ) has been showing relative strength, down 'only' 75 basis points.

Close - We have been in a tight range over the last 12 days between roughly SPY $85.20 and $92.50. On one hand, traditional MACD looks like it is hooking to the downside. On the other, volume has been very low, we are now at the bottom of that 12-day range, the seasonal bullish + end-of-month effects should begin to take hold now if they are ever going to, RSI and the S&P Oscillator are extremely oversold, and we have been down five successive days in a row. It's usually inadvisable to take long swings in a bear market, but I will take a small (and consider scaling towards moderate) sized position overnight and into the next week as an over-sold fade.

Never Investment Advice

Monday, December 22, 2008

12.22.08 - Hugging S1 on Negative Tick

The S&P 500 has been trading above and around S1 (SPY $87.20) since the morning sell-off and break below it's twenty-day moving average. Cumulative Tick is trending lower, which doesn't have me optimistic on the day. Note, however, that the VIX (43) has been trending down along with price. In this regard, here is an interesting article from one of our new blog role sites, "Ripe Trade," on positive correlation periods between the SPX and VIX. Volume is at extreme lows.

Blog Role Additions: Excellent quantitative trading blogs, check them out!

o Skill Analytics - Discussing system-based trading strategies.
o Ripe Trade - Providing actionable trading signals.

If you've missed it, also note Traderfeed's excellent series of recent expositions on constructing, interpreting and trading with Cumulative Tick.

11:25AM PST - Cumulative Tick/ A-D/ TRIN have only continued to deteriorate. Watch S2 ($86.20) for possible support, but be careful on this negative trend day.

Close - Nice bullish hammer with the recovery, although some view last dash recoveries as bearish. The final half-hour respite back to S1 came quickly, with TRIN being the most obvious tell, though it felt risky the whole way through after S2 having been broken. For the time being, SPY $85.50 appears to be an important level (also see 12/12).

Never Investment Advice

Saturday, December 20, 2008

Weekly ETF Rewind - Week 51 (12/19/08)

(Click Image to Enlarge/ Glossary)

Another historic policy week left the S&P 500 down just a fraction after the Federal Reserve cut its key lending rates to all time targeted lows of 0% to 1/4% (SPY -0.1%). This move had the effect of putting strong additional pressure on the US Dollar, leaving Bonds at bubbly highs even as Crude Oil fell to an incredible $33/BBL, nearly 80% off its summertime peak. (Bloomberg - Dollar Touches Lows on Cuts)

Also impacting the week was Friday's ultimate resolution to the $17.4B intermediate Auto-bailout package, sending Big-Three stocks soaring back from fears related to structured bankruptcy negotiation tactics espoused by the White House just a day earlier. (CBS - Mixed Views)

Week 52 is holiday shortened, but nonetheless contains the final Deflator and GDP readings, Home data, and Personal Income measures among others, as follows:

I am a bit concerned over just how quickly the VIX (implied options volatility) has fallen given its mean-reverting, price-inverse tendencies, but this is moderated to a degree by the advent of the holidays, the pending end of month, and the more immediate implications of this week's policy announcements. Enjoy your weekend and have a warm holiday season!

Never Investment Advice

Friday, December 19, 2008

12.19.08 - Auto Nation

The market has taken a small header since it's early morning run-up just past the S&P 500's daily pivot (SPY $90). However, the Cumulative Tick and Advance-Decline lines turned south at 8:00am pst, and price soon followed. We then got a small bounce at SPY $88.45 (near yesterday's lows) and a nice supportive volume spike occurred. However, price action has yet to confirm.

I'll be watching this level closely over the next few minutes. In the event it fails, I'll then look to SPY $87.50 to $88.00 for support near the rising 20-day moving average. Volatility can never be unexpected on expiration Fridays, even as the VIX remains at a "relatively moderate" 44.

Here is why you need to follow twitter:

mrkt_rwnd 11:04AM PST - I believe we will hold and break that VWAP.

mrkt_rwnd Advancing Vol outpacing Decl. Vol.; Tick & AD Positive... but still need to bust that resist.

mrkt_rwnd 10:47AM PST - And here we are at the VWAP.

mrkt_rwnd 9:39AM PST - I need to go into a meeting, poss. resistance on the rebound at the VWAP $89.40.

mrkt_rwnd 9:18AM PST - Tick trying to reverse higher + supportive volume spike.

mrkt_rwnd 8:52AM PST - Note how Cum. Tick began to fade early in the hour. Watch this all day long.

Close - The market couldn't bring it home past the Quad-Qs and IWM, but the suggested "breakdown" SPY support held just fine. Check in on the weekend update and have a good one!

Never Investment Advice

Thursday, December 18, 2008

12.18.08 - Small Caps & Financials Outperform

The market is holding its own on this pre-expiration Thursday. Here is a terrific article looking at the upward bias during expiry weeks by MarketSci. Note the relative outperformance of small-caps (IWM) and financials (XLF) today. The dollar (UUP) has also caught a small bid for the first time in a long while.

10:50AM PST - Slight range break-down on the SPY. I'll reiterate that there are several technical indicators now suggesting the possibility of weakness ahead. However, I am just personally uncomfortable being too net short [add: US equities] given the Fed announcement this week and various seasonal patterns, however you feel about those. Certainly other alternatives are to keep it small or hedge long holdings with put options (or even sold calls) with the VIX being "relatively" moderate just now (perhaps militating towards the former).

Never Investment Advice

Wednesday, December 17, 2008

12.17.08 - Bullish Pullback

No contradictions in that title! After a morning pullback to the daily pivot (SPY $90.60), the market has found strong support at that level and is attempting an advance. The Cumulative Tick and the A-D lines look very healthy. I also like the relative strength in Consumer Discretionaries (XLY -0.09% vs XLP -0.34%). Although down volume has edged out up volume, the two are mostly keeping pace with each other as the Trin attempts to bullishly fall back under 1.0. All this leaves the major indices down less than half a point at the mid-day.

You may note my twitter posts on TBT. I am also keeping a close eye on the Dollar (UUP -1.15%) versus relative advances in the highly overbought foreign markets (ie EFA -0.26%), as well as Treasuries versus Corporate spreads.

12:28PM PST - Volume is so low we are getting pushed around; VIX remains lower vs. the open. So - so far so good, but I don't like the repeated tests of VWAP support going into the close. A-D has flattened, so watch it.

[Add:] Note how the Dollar (UUP) now lies just above it's 200-day moving average. Will it find support there? As bad as it looks for the dollar, the currency world is all relative and things certainly aren't any rosier overseas, so I'm supposing it will. Downward velocity admittedly looks grim though. Patience will pay; I'll keep tracking it.

Never Investment Advice

Tuesday, December 16, 2008

12.16.08 - FOMC Trend Day

It's a strong Fed-trend day, although Cumulative Tick is now showing some signs of toppiness and we've seen strong SPY price resistance just over the $89 mark (spot on R1, infact).

I'll be closing out my overnight long at this point and reassess after "the news" reaction. This will include looking at scaling up on a short bond trade with TBT - but I'd really like the dust to settle on that first and will stick with my small tracking position until then.

Obviously the rate is all a confidence game at this point, and all eyes will be on the statement. Unless it's really out of left field, which is always a possibility, I'd lean towards anticipating a strong rally post-noise. You really have to be careful on getting too framed in your opinion though, these days can wind up going strongly either way and it's often hard to tell the shakeout noise apart from the ultimate trend until after the fact.

Till then it's "Ben be nimble, Ben be quick, don't f-iretr-uck-up our candlestick?" Couldn't help myself, but do be nimble if you plan to play the noise yourself. And, watch that VWAP closely up to the announcement.

Reading: VIX & More on FOMC days; Quantifiable Edges Fed Studies.


Have you done your holiday shopping for the little tykes yet? I don't usually post these, but you have to admit that the new Amazon interface is pretty cool. Toys not your thing? Here is a gift card link. Yes, sales support this site.

11:50AM PST - Finding some first fade reaction support at SPY $89.30.

12:00PM PST (twitter) - Dollar obviously getting killed even more; UUP -1.53%, GLD +1.85%, TLT +2.1% - but - USO -2.45%. Resistance AGAIN at SPY $90.40.

Chart of the Day:

More Reading: Excellent Traderfeed article on the Tick, which you all know I am a fan of (both the Blog and the Indicator).

Close - PS, don't take my small short scalp trade (twitter) for being bearish on tomorrow/ the days ahead, I'm not -- even though this would be the typical trade. Heck, this is more or less the ultimate Bernanke Put, so we had better hold - at least through year-end! I'm just looking for a small range recapture after the huge +4% day. Also, if memory serves, we haven't seen rates like these since the 1950s... Spring Refi anyone? [Add: Did I write 50's, how about ever?]

Never Investment Advice

Monday, December 15, 2008

12.15.08 - Negative Action

As we head towards the earlier morning lows (SPY $87), note the following:

o Cumulative Tick Slope Very Negative
o Rising Down Volume
o Low Absolute Advancers
o VWAP Negative
o 5-Day Moving Average Declining
o Recovery Attempt Rejected at VWAP
o Rising VIX (57+)

10:14AM PST (by Twitter) - Possible Supportive Volume Spike forming. Coinciding with QQQQ S1 (last week's relative leader among the majors). Still needs to prove out.

11:30AM PST - Indicators are listless with a downward drift... still having a hard time with VWAP. Volume is slight.

Support at SPY $86?

Maybe being hopeful, but should be clear into the new year with a Fed boost tomorrow? If it fails, intermediate channel support back through the Fall has been SPY $83.50.

Sunday, December 14, 2008

20,000 Visitors & Counting

2008 ETF Cointegration Leaderboard

A "cointegrated" security pair is one for which the return series are correlated in a mean-reverting manner. Thus, a strongly cointegrated pair can make a terrific long-short trade after a period of performance divergence.

As described earlier in the year, the way the intuition behind cointegration was first related to me, was to imagine a man walking his dog. The man and dog may seemingly move independently and in different directions for a while, but the leash ensures that they will eventually cross paths.

With the recent explosion of ETFs, I thought I would update this year's earlier post on the topic. Among a diversified pool of about 160 tracked ETFs, here are the top ten pairings for the last 250 trading days against the Standard & Poors 500 Spiders (SPY) and iShares MSCI EAFE (Foreign) Index(EFA), respectively, as ranked by the Augmented Dickey-Fuller (ADF) Unit Root Test.

Cointegration ADF hypothesis test results versus the SPY, updated monthly, will be provided in the forthcoming ETF Rewind nightly newsletter. For more on pairs trading, see this post from the Market Rewind blog vaults.

Weekly ETF Rewind - Week 50 (12/12/08)

(Click Image to Enlarge/ Glossary)

You may have not guessed after Thursday evening's rout on the auto rescue vote failure that the S&P 500 (SPY) was up +1.2% on the week, but indeed it was (AP - Auto Bailout Dies). However, US gains were meager in comparison to International (EFA) markets, up +7.1% no doubt assisted by continued US Dollar (UUP) weakness, down -4.4%. On a related trade, many Commodity and Bond ETFs look increasingly over-stretched to the upside (RSI-2/5 -- DBC 91/64; TLT 79/75).

In spite of the positive week, note how uneven performance was among the sectors, featuring a Materials (XLB +5.3%) and Energy (XLE +9.3%) comeback, and Technology (XLK +2.1%) outperformance at the expense of the Transports (IYT -5.5%) and Financials (XLF-5.3%).

Week 50 of 2008 holds a busy economic calendar, the least of which will not be Tuesday's FOMC policy statement. Also note that it is an option expiry week, as follows:

Enjoy your weekend!

Never Investment Advice

Friday, December 12, 2008

12.12.08 - Market Loves a Good Rescue

I have electricians buzzing around me so ye old Tradestation is down and I'm on the laptop. Considering Asia was down some 7% at one point overnight, the recovery is more than welcome from the bulls. There was some hint that we may see this just before the open as the SPX had come off its high-820 lows, stabilized at 840, then jumped over 15 points in just minutes on the initial news leak. Personally, I think we were set up for this one my friends -- pure political scripting. Before I switched over to the laptop, internals looked very strong with broad participation. I think we should hold onto this run well beyond the day.

11:35AM PST - Chart updated. Cumulative tick has weakened and we couldn't quite get enough thrust to break the declining 5-day moving average. While the rising VWAP is providing support thus far, I would be concerned if it breaks. Also, note the lack of serious VIX reaction today (56). Bullish falling wedge going into the final hour?

11:50AM PST - Bullish falling wedge going into the final hour? (Posted on twitter just before the actual breakout.) Update - Volume is quiet to average.

12:35PM PST - Pivot needs to hold into the final half hour here (SPY $84.40). Couldn't quite break the five-day. Signals have flattened out -- anything goes into the close, but I certainly don't expect a repeat of yesterday ahead of some formalized auto-deal announcement over the weekend.

Reading: Dr. Steenbarger turned me on to trading with the Tick years ago, here is an excellent post with embedded links on the subject. I add the AD line on my charts. When the two are aligned, I've found a trend-scalp edge.

Close: Saved by the bell for once... how is that. Very bullish day indeed. All sorts of important support held in the face of very bad news and a strong excuse to take it down in what remains a vicious bear market.

Never Investment Advice

Thursday, December 11, 2008

12.11.08 - (XLE > XLF) + Thin Volume = Not Good

Nice downside gap fill on more bad news. However, Financials have been the 'tell' for most of 2008, and I don't like to see them lag so poorly (XLF -2.7%), especially on such light volume. In fact, among the leaders it would appear that the Energy sector is what's taking us higher (XLE +3.00%).

Nonetheless, with the overall resiliency we have been seeing -- it is now easier for me to imagine SPX 950 to 1,000 by mid-January. So to clarify, the big picture odds sheet as I see it: very short-term (hours to days), neutral to bearish; intermediate-term (weeks) slightly to moderately bullish; longer-term, still quite bearish for now. Thoughts?

12:35PM PST - Broke past S2 - next SPY support at $86?

After Hours - Okay, well this after-hours action sure has me inclined to change my view. Estimated support broken after all. My goodness -- we'll see. Retail Sales, PPI and Michigan Sentiment tomorrow. Here's to you Jamie D!

... and that was before the Auto vote debacle... not saying that was necessarily a good idea -- but who said "Tarp II III"? Just say'in ... what a mess...

Wednesday, December 10, 2008

12.10.08 - Characteristic Trend Day?

Title Date Fixed
The five-day moving average continues its upward path and has really come up to meet current price. Note how Advancing Volume has continuously widened its spread over Declining Volume, Cumulative Tick is very positive, the Advance-Decline line indicates strong breadth, and we have continually pushed past resistive volume spikes. As I write this, however, we've seen a couple big down bars. If this is indeed a trend day, the market should find support at the rising VWAP, Pivot, or Five-Day Moving Average, successively. So watch closely whether or not these hold.

Separately, I hope this automotive "bridge" doesn't become "The TARP Vote" -- Part Tres. Remember the first attempt on that? For now, let's see if this rally can hold up as the tick just now shows signs of a possible fade.

Free INO Training Video on Using Fibonacci Retracements

10:50AM PST - Back into the range and under the 5-day moving average. Daily gap is now closed and we are trending down.

11:40AM PST - Volume picked up at yesterday's lows and we found some support. Downward VWAP may now prove resistance on any recovery attempt.

12:30PM PST - The market held at yesterday's lows and has been recovering with a series of higher highs and lows. At potential resistance just now, but signs of busting through. Choppy yet resilient day overall with something for every type of trader.

Close - I thought we might see a touch more pull-back today, but the market has really caught up with itself through time here, allowing marginally overbought conditions to mostly work themselves out sans a large corrective volatility reaction as we've become accustomed to. If we do see some more downside range (add: still likely), I'd expect strong support between SPY $86-88. Either way, as we head into the end of the year I'd say short-biased traders should consider this recent action carefully.

Never Investment Advice

Tuesday, December 9, 2008

12.09.08 - Lateral Trade

Lateral trade ahead of the automotive bailout outcome. Cumulative tick is positive, but nothing like yesterday (see second sub-pane), and the AD line is trailing off. The five-day moving average is upward sloping, but with a second day of short-term RSI's found in the 80's, the market could stand to blow off some steam with a mild-pullback soon. Also note that the 50-day moving average is just above at SPY $92.70. Nonetheless, so far today the daily pivot has held up as support in another encouraging day for the bulls.

Regarding RSI's, check out this terrific summary article posted by MarketSci, "Trading with RSI[2]". RSIs are published every weekend here across more than a dozen sector and style securities within the Weekly ETF posts.

Daily ETF Rewind Beta Testers

I am looking for about a dozen beta testers for the Daily ETF Rewind, an MS Excel 2003 spreadsheet to be published nightly. The report provides 45 comprehensive summary statistics for about 170 ETFs across all asset classes. The summary includes:

o Change
o Z-Score
o High-Low Patterns
o Trend Analysis
o Relative Performance
o Volatility Analysis
o Risk-Reward Metrics
o Volume
o Daily Trading Pivots & ATRs

Think The Weekly Rewind on steroids! I believe the report is unique in its presentation of market status across so many asset classes at only a quick glance. The initial report is information oriented; later versions will include model ETF portfolios based on the included statistics. Please email me at jgpietsch @ to participate. In return, I only ask for your feedback during the beta period.

Note to self -- 60% of MRW readers use MSE '03 or higher (split '03/'07; 30% none or other).

Close - Bulls can feel good about this pull-back as yet. As long as the slope of the decline/ pace doesn't steepen and the news cycle doesn't appreciably worsen (if that is possible), we should see support near the rising 5-Day Moving Average SPY $87.85.

My former Governor is quite a piece of work. I'd say unbelievable, except that I lived in Illinois for eight years. Now he can have tea with his predecessor on a daily basis. Daily, rhymes with Daley -- how about that?

Post Close - Is the retracement over? Maybe, but I don't think so; keep a close eye on the 5-DMA, as discussed above.

Never Investment Advice

Monday, December 8, 2008

12.08.08 - Where Is the Volume?

Volume is very light on this +3% up day with a large gap below. Nonetheless, indicators are highly positive at the moment as we continue to flirt with the daily VWAP.

10:30AM PST - Leading sectors are pointed south off of the 7:45 am highs, as is the AD line. Tick is beginning to waver as price sits spot on R1 (SPY $90). If we can't hold that line, we may yet see a gap fill.

11:40AM PST - Resistance, now support has held throughout the day. Perhaps no one wants to be short ahead of the bailout announcement. [Add:] Real question is what action we see after...

11:45AM PST - Note that 50DMA for SPY is $93. Normally this may be viewed as potential resistance, but also note that it coincides with typical-level short-side volatility stops. RSI-2 is 87. Hmmm... maybe an immediate pullback reaction followed by a longer-term cover rally on the second test? Just idle speculation here.

12:45PM PST - R2 proved strong resistance. As mentioned on twitter, I put on a short tracking trade and added to it. Already looking for exits. I heard the auto "news" may be coming out after the bell.

Saturday, December 6, 2008

Weekly ETF Rewind - Week 49 (12/05/08)

(Click Image to Enlarge/ Glossary)

Markets largely recovered from a near 700-point Dow (DIA) downdraft last Monday, posting a mere -1.9% decline for the week. However, considering the period's dour economic news - starting with an official NBER recession call and culminating in the worst jobs report since 1974 - the move almost feels outright positive. (USA Today - NBER Statement; AFP - US Sheds Jobs)

Sector-wise, Consumer Discretionaries (XLY) outperformed with a positive +2.9% pop, but is now approaching overbought status with an RSI-2 of 90 and an RSI-5 of 70. Nonetheless, it has been a relatively steady performer this month with a Trend Stability score of 73. Could this be a leading indicator for a nascent recovery? Meanwhile, the undoubtedly related loser was Energy (XLE), down a whopping -12.2%. If you are looking for oversold, though, look no further than Commodities (DBC), now featuring extreme readings (see Non-Equity).

Week 50 of 2008 (can that be possible?) features the following economic reports:

Enjoy your weekend!

Never Investment Advice

Friday, December 5, 2008

12.05.08 - Encouraging Mid-day Action

After an abysmal jobs report (-533K), I think today's -2%-plus loss is quite impressive. Thus far we have been stable at S1 with a flattened VWAP. Tick and AD line slopes have been mostly upward since the early morning trade. I'm still surprised last night's after-market held in as long as it did; it was a real opportunity to build substantive short positions. Ironically, some level of covering today may be responsible for this session's relative stability. Let's see if it can hold.

PS - Note that XLF is up +1.4% on the day.

11:15AM PST - Program traders wouldn't let us break the 5-day moving average (SPY $85.46). Looked possible for about 12 nano-seconds. At least it was an easy scalp. Still, we are holding in fairly well.

So "Doc Mango", are you going to set up a twitter account or no?

11:45AM PST - A series of large up bars finally has us through both the 5DMA and the Pivot, which should act as support into the close (Friday caveats and all). Although there are many signs of short-covering, we'll take what we can get as the VIX drops to the low 60s. Or is the market starting to look ahead?

12:20PM PST - TRADESTATION -- Complete utter flippin highway robbery, covers my short TLH positions at a flippin minor loss. If they didn't have the inventory, they shouldn't have let me short them and THEY should eat it. Explitive, explitive, SEC mandate my Hawaiian explitive. BOND ETF'S for flippin sakes! Arghh. PS -- SPY resistance at R1. Very technical day.

CLOSE - And there we have it -- Dow +272. Check in for the weekend update and see you Monday.

Thursday, December 4, 2008

12.04.08 - Pushing a String

Not a lot of directional move, but easy fades within the range. Watch for possible resistance as we come up to the VWAP, may have already bounced down by the time I hit 'publish.' Indicators are all over the map, so I'm more inclined to play both sides albeit with small size. I came into the day with negative expectations, but so far downside appears limited. Volume is so light, watch at the close though.

12:20PM PST - Lo and behold, down volume really picked up hard (as noted on twitter 12:07), and 5-DMAs have failed.

12:30PM PST - Support between SPY $83.50 & $84.00?

Wednesday, December 3, 2008

Which Version of MS Excel?

Not for Republication

Hi Gang, as you know, I will soon be offering a comprehensive technical summary of daily ETF performances across more than 150 security types. If you trade ETFs, it will be for you - and I'm not just blowing my own horn (OK, maybe a little).

Conundrum - I am developing in Excel 2007, which has advantages in file size, formatting and other areas. However, I expect many of you still run 2003 or earlier. Would you please complete the poll to the right so I can decide how necessary it is to "down save." Thanks!

Speaking of which, I don't know how I'd do my technical analysis and data importing into Excel without the AnalyzerXL plug-in suite - at least check it out - highly recommended, and well worth it! The "Pro" package is the way to go; they are running a holiday promotion right now.

12.03.08 - Consolidating Gains

A bug has me in bed and posting/trading lightly. It looks as if price action is consolidating the morning move higher. Perhaps we can get a second leg up in the afternoon session. As you may have followed on twitter, I faded the first move higher (personal accounts only).

I also think it bullish that Financials (XLF) are keeping pace with Consumer Discretionarys (XLY) actually leading, perhaps on lower oil once again (gasoline is at three year lows gang!).

10:40AM PST - Failing... Again, I'd really like to see us hold SPX 840.

Submitted by my brother - cute video on the evolution of Fiat Money, requisite "new world order" overtones included. Warning - carve out an hour to watch.

11:00AM PST - Hmmm... broke 840 but losses shallowing... take a look at yesterday's pm action again before hitting the pedal to the metal. Update: Posted this awhile ago on twitter... hope you got my meaning - back up we go.

Never Investment Advice

Tuesday, December 2, 2008

12.02.08 - Recovery Day

Today looks nearly as upwardly lopsided as yesterday did to the downside. Take a look at $UVOL today compared to yesterday's $DVOL (bottom pane). However, Daily Cumulative Tick is flattening and I believe we may see some resistance as we approach the five-day moving average at ruffly SPY $85.75 (still a dollar above current levels), if not sooner.

Undoubtedly much of this recovery has been short covering off of yesterday's move. That overnight long certainly worked out well though, so no complaints here even as I consider getting neutral again. CNBC is reporting overseas Yahoo! deal speculation.

10:33AM PST - Back down to Pivot. Indicators have rolled over. It's a warning, not a sign we are necessarily going to give up the day, but be careful here. Volume looks light.

10:55AM PST - That support looks increasingly dicey - broke through, but no breakdown yet... I certainly wouldn't be inclined to trade against the indicators, which are all downward sloping now as the TRIN ticks higher.

11:35AM PST - Indicators trying to repair themselves and a Supportive Volume Spike is trying to assert itself, but not so sure. Even if we hold today, I'm beginning to wonder if we may not see SPX sub-800 early in the month again before any sort of year-end rally. Frankly, I'd rather we didn't! Just idle thoughts for now -- not a researched action point here gang.

12:25PM PST - Encouraging action going into the close after the morning and mid-day retests.

CLOSE - Amazing, the fade was the trade today and key levels played well. I was a little down on the action at the mid-day, but was encouraged to see the bulls coalesce here. Looks like the Automakers took it, may help out tomorrow. Have a good one.


Monday, December 1, 2008

12.01.08 - Negative Trend Day

It was inevitable that we would see some level of pullback after five historic up days. However, questions about the strength and sustainability of holiday retail sales on top of tensions abroad really sunk that battle ship -- I hope you were ready for it. Down volume is still trending solidly higher and the VIX is now over 63. It looked earlier like SPY $85 would hold, but really we've seen nothing but continued lower-lows and highs and major indices are now down 5-6%.

By request, I am experimenting with Twitter posting to the right. My "follow" name is "mrkt_rwnd". This cool little widget supports real-time updates and tracking by web or mobile device.

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10:20AM PST - I am covering most shorts near this area (SPY $84.50-85.00), which roughly corresponds with the 10-Day Moving Average and lows from earlier in the Fall excepting the November 20-21 down draft.

11:40AM PST Bernanke - "No comparison between now and the Great Depression..." Except for the volatility and the charts! Ten-Year Treasuries have fallen off a cliff to 2.70%. I'll short bond ETFs with much more move for a trade, maybe at day-end. Update - Got some TLH off, but hard to find inventory on anything in this duration range - all hard to borrow. Does anyone know of inverse long bond ETFs?

12:25PM PST - Now looking at support near SPY $81-82 (SPX 815 top end) for next couple days should we see downside follow through.

12:45PM PST - Obviously let most of my shorts go to early. Will probably hold long overnight with a small position.

1:10PM PST - Volume was relatively light. Additional length of the recession? 6-9 more months easy, just off the cuff. What do you think?


Sunday, November 30, 2008

November 2008 Rewind - The New Hope

After two months of significant declines, many investors may have believed that November would provide a post-election reprieve. If so, their hopes were dashed as the severity of the global economic crisis revealed its mainstreet connections and US equities posted their third consecutive month of declines and eighth month of losses for the year.

This November, the S&P 500, Dow Jones Industrials and NASDAQ 100 cash indices closed down -7.48%, -5.44% and -11.17%, respectively. Year-to-date, that left the indices down -38.96%, -33.44% and -43.13% from their respective 2007 closes. Even so, those final levels mask the extent of losses experienced intramonth when the S&P 500 traded at eleven-year lows.

Sentiment for the period was characterized by an evolution from systemic concern to economic panic, featuring major automotive and home sales declines, cross-industry layoffs, profit losses and outlook reductions, and a series of dismal economic reports indicating multi-decade slowing and unemployment topping 6.5%.

Matters were only made worse by depressing Big Three Automaker testimony before Congress on a failed bid to seek $25 billion in loans, major internal changes to the workings of the planned TARP rescue efforts, and a near miss on Citigroup's survival.

Similar to October, however, the final sessions of the month saw a major reversal of epic proportions on extreme oversold technicals and a modicum of economic leadership offered by the President Elect.

Style-wise, Mid- and Large-Cap stocks outperformed Small-Caps, while Sector-wise, Consumer Staples and Energy stocks greatly outpaced all others, especially Financials in spite of their outsized month-end recovery. With many technical indicators once again suggesting short-term overbought conditions, The New Hope among traders for December, is that longer-term oversold readings, positive seasonality and continued responsiveness in the credit markets will provide equities with a holiday boost into the new year.

Sentiment: Negative
Volatility: Extreme/Historic (VIX 47-81)
Direction: Down

[Click to Enlarge/ Additional ETF Analyses Posted on Market Rewind]

The Style-Box was calculated using the following PowerShares™ ETFs: Small-Growth (PWT), Small-Value (PWY), Mid-Growth (PWJ), Mid-Value (PWP), Large-Growth (PWB), and Large-Value (PWV). The Sector-Ribbon was calculated using the following Select Sector SPDR™ ETFs: Materials (XLB), Industrials (XLI), Energy (XLE), Staples (XLP), Discretionary (XLY), Financials (XLF), Technology (XLK), and Healthcare (XLV). The Standard & Poors 500, Dow Jones Industrial Average and NASDAQ 100 may be traded through ETF proxies, including the SPY or IVV, DIA and QQQQ, respectively.

Weekly ETF Rewind - Week 48 (11/28/08)

(Click Image to Enlarge/ Glossary)

Markets built strongly on the prior week's reversal into the Thanksgiving holiday shortened week, leaving the S&P500 (SPY) up +19.1%. The period's biggest sector winners were Financials and Real Estate (XLF +34.8%; IYR +31.9%) on hopes of further credit easing and promises of federal consumer lending facilities (Washington Post - US Moves to Revive Spending). Among the tracked ETFs, only the US Dollar (UUP) registered a slight decline of -2.0%.

Week 49 of 2008 holds a packed economic calendar, as follows:

Analysts will no doubt be closely assessing "Black Friday" retail reports next week (MarketWatch - Sales Up +3%), as well as "The Big Three Automakers" part deux (NY Times - Three Plans). Meanwhile, eight out of 11 sector ETFs are highly overbought on a short-term basis. Also, as strong as this recovery has been, with 20-Day Trend Stability indicators universally in the twenties among equity indices (save Utilities XLU), don't forget that this remains an erratic market. Lastly, Precious Metals (DBP) and Bonds (TLT) are even more over-stretched on an intermediate basis. I hope you enjoyed your extended weekend!

Never Investment Advice

Friday, November 28, 2008

11.28.08 - Financials Continue to Lead

Bit of an erratic day within a narrow range. I expect more and more swing traders will be getting net short here either at the close or on Monday, and possibly in size. The magnitude and duration of any pullback will set the tone for the rest of 2008 after this 80-year upside correction. The S&P500 has officially tagged its 20-day moving average (SPY $89). Have a good extended weekend.

9:55AM PST: Strong close - good week for the bulls. Be careful of pile-ons on any signs of weakness next week though.

Thursday, November 27, 2008

Thanksgiving Rally Sector Review

As of Thanksgiving, the S&P500 has rallied 19.8% in the three and a half days since last Friday's bear market lows. The powerful move has left 9 out of 12 major sectors overbought in the very short-term by several technical measures. Possibility of a pending pause or immediate pullback aside, that's not to say there still isn't room to run higher through the end of the year: intermediate-indications remain neutral, debt markets are finally responding to government efforts, and we have entered the traditionally bullish post-Thanksgiving to Christmas season for equities.

The graphs and tables excerpted below from the pending Daily ETF Rewind provide insight into the relative performance of the sectors during the rally, as represented by selected tracking ETFs. Although the weakest sectors for the year, namely Financials (XLF) and Real Estate (IYR), put in the best recovery performances, they still lag the market badly longer-term. The reverse can be said of the recession trade winners, including Consumer Staples (XLP), Healthcare (XLV) and Utilities (XLU).

In the days and weeks ahead, I will focus on emerging shifts in leadership. I hope you had an enjoyable Thanksgiving.

Reading: Traderfeed's Sector Take