Tuesday, September 30, 2008

09.30.08 - Volatility Contraction

The markets are getting their expected bounce. Most measures are maintaining a stable posture, though the slope of the AD line is flatter than I'd like. Also, like yesterday (amazingly), volume appears quite low. The VIX has come in some -12% to 41.

10:05AM PST: Ted Spread jumped to 3.53% at one point today, but has also since come in a good deal to 3.14%.

12:15PM PST: Ted spread now down to 3.05, Vix still falling. Not alot of opportunity to play noise today, it has been a fairly consistent uptrend. And yet we are still below yesterday's range before the big fall! Should we see a surge at the close up to the five-day MA/ R1 on the SPY, consider trimming exposure. Doubt we'll get there, but you never know. I suspect a better bet may be a run back down to the rising VWAP -- anyway, just idle speculation, I'm not playing that trade -- maybe if we start to turn. Meanwhile, you can literally "see" money coming out of bonds. Good for the day.

CLOSE: And what do you know, we did hit the five day, after which price finally pared gains a touch. Interesting on the MTM draft changes. If they look familiar, you may have read something similar here! This bounce could still have days to go, but I'd pick spots carefully based on pull backs to the VWAP or better, and don't forget this is truly a news-driven, highly volatile environment (in case you didn't notice).

Never Investment Advice

No comments: