Tuesday, June 30, 2009

06.30.09 - 62% Retrace Rejection

The S&P500 came within a hair's breadth of the 62% Fibonacci retrace of the recent 8% price correction and rebound, only to face early congestion and subsequently give up two days of gains on the Consumer Confidence and Jobless reports for a wide bar down nearly $2.00. Price has found some support at that 5-DMA level, and the VIX has also flattened out.

Coincidentally, nary a dent was made in that measure, even at our earlier lows (now about 27). At the mid-day, Cumulative Tick has turned back upward, but is still very net negative and I expect strong successive resistance should we fight back to S1 ($91.85), then the VWAP ($92+).

Never Investment Advice

Monday, June 29, 2009

06.29.09 - Markup - Pause - Markup

We are seeing follow-through from last week's Thursday markup and have now recaptured over half of the recent 8% pullback. Amazingly, the VIX lies just north of 25. It has been a long time since we have seen a reading like that, let alone the markup-pause-markup pattern off of a retrace.

Overnight strength was tested early-on, but immediately bought near the Pivot, making for two easy trend trades. Although we looked a bit overbought at that point near R2, price only went sideways, allowing the NASDAQ 100 (QQQQ) and Russel 2000 (IWM) time to play catch up.

As I post this, internals continue to look very supportive for a possible afternoon continuation. However, the twenty-day moving average near SPY $92.80 may prove tempting for shorts to test the bull's end-of-month resolve.

Never Investment Advice

Sunday, June 28, 2009

ETF Rewind - Week 26 (06/26/09)

(Click Image to Enlarge/ Glossary)

The S&P 500 (SPY) posted a mild -0.2% loss last week, leaving it flat over the last twenty trading days. In contrast, the technology laden NASDAQ100 (QQQQ) was up +0.6%, making it the second strongest performer among the tracked ETFs, as ranked by current prices versus respective simple ten-month moving averages.

In this respect, the strongest ETF continues to be Emerging Markets (EEM), even in spite of its recent pullback. Certainly the most divergent to the downside has been the Energy sector (XLE), for which the rate of change over the last month has fallen far behind other sectors (see performance 'Relative to S&P500').

Incredibly to this trader, Week Twenty-Seven of 2009 officially kicks off the second half of the trading year. The holiday shortened week nevertheless features a busy economic calendar, including Jobs Thursday, as follows:

While the powerful mid-week recovery may well run into the end-of-month and through the Fourth of July Holiday, some ETFs are already looking quite short-term overbought, especially Emerging Markets, Healthcare (XLV) and Small-Cap Growth (PWT). Also note that the mean-reverting VIX (Implied Options Volatility) is slightly bearishly stretched to the downside (-11.4% below its 15-day moving average). Have a Terrific Week!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly
ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Friday, June 26, 2009

06.26.09 - Consolidation

The major indices are mixed with the NASDAQ100 (QQQQ) and Russell2000 (IWM) positively outperforming the down S&P500 (SPY) and Dow Jones Industrials (DIA). Also diverging from the mildly negative S&P are its underlying technicals, which, though negative, have been mostly upward sloping since the open. For now I'm willing to call it consolidation after yesterday's monster gains. We'll see soon enough whether "they" can continue to push it up into the end of month, or decide to pause and take some chips off the table ahead of the weekend.

Thursday, June 25, 2009

06.25.09 - Powerful Markup

Right out the gates, equities quickly recovered on improved GDP readings after the small initial jobless claims gap lower. We have not looked back since for a strong markup right up to R2 on the SPY and QQQQ, which is proving stronger resistance for now. Meanwhile, Cumulative Tick, Advancers - Decliners and Up Volume remain very strong and up trending with the VIX near 27. I'll be keeping a close eye on those indicators throughout the day for signals to re-hedge, if warranted.

Never Investment Advice

Wednesday, June 24, 2009

FOMC Statement Comparison

06.24.09 - FOMC Day Levitation

The Advance - Decline line is very, very strong today with Up Volume far outpacing Down. Tick is net strong on a cumulative basis, even though it has trailed down a bit as the S&P500 has pulled back to the VWAP ahead of the FOMC Statement, which will be found here. Stop back later for a red line comparison with the April Statement.

Tuesday, June 23, 2009

06.23.09 - Bear Test & Bull Pop

After a follow through slide into the first half of the morning, the markets rejected the move as overshoot and began to rise, now well above VWAP. Most indicators are running sideways though we just now put in new tick highs and the A-D line continues to recover to the upside. It seems that alot will be hanging on the FOMC statement tomorrow.

Lastly, after enjoying Yong Pan's daily missives for a couple of months now, I have added Cobra's Market View to ye old blog roll for his consistently well thought out, comprehensive, and yet concise daily summaries.

Monday, June 22, 2009

06.22.09 - One-Way Trade

Equities have been hit hard today with nary a bounce and the S&P 500 broke through its 50-day moving average like it wasn't even there, which is now right at the apex of a cross with the 200-day. Here is some reading on that statistic by Michael Stokes at MarketSci. Internals look equally bad, although price has apparently stabilized just above SPX 890 during the last hour. We may yet see a bounce here, but I'm always wary of trying to fade trend days.

Never Investment Advice

Sunday, June 21, 2009

ETF Rewind - Week 25 (06/19/09)

(Click Image to Enlarge/ Glossary)

Family happenings have this post necessarily short gang. The S&P 500 (SPY) fell -2.7% last week for the first negative reading in nearly a month. To cut to the chase, I once again have a mildly negative expectation for the upcoming week. Not withstanding that outlook, it will be most interesting for technicians and fundamentalists alike to see how the markets react to both Wednesday's FOMC statement and the inevitable 50/200-day moving average cross on the S&P 500 pending any day now.

Week Twenty-Six of 2009, the mid-point of the trading year, features Home Sales, Durable Orders, an FOMC Statement, and Personal Income & Spending Data, as follows:

Have a Terrific Week!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly
ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Friday, June 19, 2009

06.19.09 - Topsy Turvey

The morning expiry trade provided some serious directional volatility both ways, making for very clean and profitable day-trading on the S&P500 contracts. Just now, the SPY slide has been arrested by the flattish five-day moving average on volume, with Cumulative Tick and the Advance - Decline lines attempting to repair damage. Interestingly, Up Volume continues to outpace as well, and -- as suggested by today's title -- we once again have substantive index variations with NASDAQ100/ QQQQs leading strongly this go even as the SPYs are underwater.

Update: A reader makes a good point I had forgotten to mention when I first wrote this up - SPY went ex dividend today to the tune of $0.52.

Thursday, June 18, 2009

06.18.09 - Index Divergence

There was a quick morning markup in the S&P500 on the Jobless Claims and Philadelphia Fed numbers. However, after retaking the five-day moving average, the move was capped by SPY R1, and there has been a general lack of participation by the Nasdaq 100 (QQQQ) and the Semiconductors (SMH), in particular. Also, I always hate to see the Discretionaries trailing Staples so steeply.

Nevertheless, internals are mostly positive, if only moderately so. Perhaps if we can continue to stabilize here above the VWAP at the mid-day, the bulls will be more inclined to take on some risk and take us out of oversold into expiration Friday.

Never Investment Advice

Wednesday, June 17, 2009

06.17.09 - Bounce off the 200-DMA

Bit of an early post today with business to attend to later. The S&P put in a little follow through dip early in the morning session down past S1 to approximately SPX 900, then proceeded to bounce on cue off that round number coinciding with the 200-day moving average. The index appears to have put in a little inverse head and shoulders pattern in the morning trade as well, and the VIX is confirming the move along with strengthening Advance - Decline and Tick patterns. We'll see if it can hold. Have a terrific trading day.

Tuesday, June 16, 2009

06.16.09 - Assessing Support at 20-DMA

The S&P500 is in the process of assessing the strength of buyer support near yesterday's low coincident with the simple 20-day moving average. After early side-ways chop, the AD and Cumulative Tick lines came under stiff pressure. On the positive side, VIX readings do not indicate any strong sense of panic at the mid-day.

Monday, June 15, 2009

Hot Chicks!

My visiting father-in-law says the blog is more interesting with pictorial content. So that got me thinking... if it works for other financial blogs to feature pictures of chicks along side their more legitimate content to build visitation (you know the ones), I thought, why not give that a try here at Market Rewind?

06.15.09 - Down Trend Day

At the mid-day we find ourselves in a relatively strong down trend day. Early tells were lack of attempt to fill the gap down, a first rejection of the VWAP, nary a Tick above zero, the VIX leap and strongly trending Advance - Decline weakness and Down Volume strength. The only moderate reading for the day, is Volume. While we seem to have found some support at the rock bottom along the two-week trading range, we have broken just slightly below it, and I would be wary of attempts to fade this weakness too early.

Never Investment Advice

Sunday, June 14, 2009

ETF Rewind - Week 24 (06/12/09)

(Click Image to Enlarge/ Glossary)

Although the S&P 500 (SPY) rose another +0.6% for the year and the Dow Jones Industrial Average (DIA) hit post-swoon recovery highs, the once leading NASDAQ 100 (QQQQ) and Russell 2000 (IWM) put in divergent performances, down -0.4% and -0.8% respectively. While on one hand, the market now sits just one or two more markups below the much contemplated SPX 1,000 level, on the other, these divergences make waning price momentum all the more readily apparent.

Week Twenty-Five of 2009 features options and futures expiration Friday, and the following busy earnings and economic calendar:

Enjoy Your Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly
ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Friday, June 12, 2009

06.12.09 - Falling Flat

The market has been unable to recover from yesterday's afternoon slide off of new annual highs, with the semiconductors (SMH -2.6%) perhaps hardest hit. Cumulative Tick is negative, but mostly flat at the mid-day as price loops around the equally flattened VWAP. There is always the possibility of late-day fireworks, so traders have to keep on their toes in spite of the boredom.

Quantifiable Edges Quantfinder

Many Rewind readers are familiar with the work of Rob Hanna of Quantifiable Edges. Rob runs literally hundreds of statistical analyses on the markets each and every day, only a handful of which make it onto his highly recommended blog. The rest are reserved for his extremely well written nightly and weekly newsletters.

Rob recently added a new feature that automatically matches each day's relevant studies to all of his prior newsletter research. He calls it "The Quantfinder." Each day near the close, the Quantfinder searches his entire database of studies based on price, breadth, volume, leadership, and sector rotation, including both daily and weekly data across a wide range of indices.

Even Rob's weekly subscribers can see high level results relevant to the current day. A generous discount can be had on the combined newsletters provided by Rob, Bill Luby of Vix & More, and ETF Rewind by yours truly, through our Blogger Triple Play. Why not give us a trial spin?

Thursday, June 11, 2009

06.11.09 - Looking for a Breakout

Hope I haven't 'jinxed' it with that title, but this further consolidation on positive internals above the VWAP and fairly good news flow has me looking for a potential breakout above of the nine-day trading range during this afternoon's trade. The biggest risk to that scenario will be the reaction to the 30-year auction results, due out presently. Thus far, the SPX 950 level has certainly proven strong resistance.

1:30pm Update: Nice markup underway!

Never Investment Advice

Wednesday, June 10, 2009

06.10.09 - Gap Fill to Middle of Range

The morning gap fill took us back to the middle of the eight-day trading range between SPY $92.70 and $95.60 spot on the five-day moving average. At the mid-day, we face some news risk ahead in the form of the Ten-Year Note Auction results and Federal Reserve Beige Book report (link). Just now the AD line is falling back slightly and Cumulative Tick is headed back south, although Up and Down Volume remain fairly evenly matched and the VIX has been level since early morning in the mid-28 range.

Today's Key Levels, Slopes & Channels

Tuesday, June 9, 2009

06.09.09 - Consolidating Above Pivot

Consistent with the trend, the market has been able to hold its own this morning after a mildly choppy start. Volume is a touch under yesterday's, which is to say exceptionally low. Up and Down Volume are about evenly matched, but Cumulative Tick is moving up sharply at the time of this post.

Monday, June 8, 2009

06.08.09 - Monday Blues

After gaping lower, the market seemed to find some support in the early hours near SPY S1 ($93.40); however, the VIX scaled a cliff about an hour ago and price has struggled more seriously ever since. Negative Cumulative Tick and building Down Volume suggest that the down draft isn't over yet. That said, there is a potential supportive volume spike forming just now, see how price behaves at the VWAP if it can pull off a small bounce to that level (say $93.50).

Never Investment Advice

Sunday, June 7, 2009

ETF Rewind - Week 23 (06/05/09)

(Click Image to Enlarge/ Glossary)

Last week the S&P500 (SPY) continued its upward trajectory well above long-term moving averages and towards 1,000 territory. The +2.2% move was facilitated by early-month trade and a slew of hopeful economic signs. Week Twenty-Four of 2009 features another busy earnings and economic calendar, including the Beige Book release and Retail Sales report:

Retail Sales should be particularly interesting given Friday's retractive Consumer Credit report (LA Times - Consumer Credit). Enjoy Your Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly
ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Friday, June 5, 2009

06.05.09 - Big Jobs Reaction

Large oscillations in the pre-session and first hour put in a normal day's full range within minutes, yet left price only somewhat higher. The big trades of the day were really the opening fade and first reaction bounce off of the Five-Day Moving Average/ Pivot and back to the VWAP.

Since then price action and internals have been mostly choppy, albeit with a mild upward bias. Some large tick readings just now should be respected at the mid-day. Also, emerging markets (EEM) are popping in spite of the strong dollar (UUP), suggesting some residual risk appetite.

Bill Luby wrote earlier about the 200-day EMA; I note that we are now above that level for the S&P 500. Furthermore, that line has mostly flattened over the last week's trade.

Never Investment Advice

Thursday, June 4, 2009

06.04.09 - Rangebound on Low Volume

However, Cumulative Tick is steadily moving higher, as is Up Volume so we appear to be setting up for a breakout. Nevertheless, so far the declining Five-day Moving Average has kept a lid on any attempt to close yesterday's gap. Volume is lower than May 1st, so careful of fast breaks either way and don't forget tomorrow is the official jobs report.

Never Investment Advice

Wednesday, June 3, 2009

06.03.09 - S2 VWAP Channel

The S&P 500 has spent most of the morning in a relatively tight range between its second level of Floor Trader support (SPY S2 = $93.35) and Volume Weighted Average Price. However, internals show building pressure for more prospective downside, including weakness among the leaders, a rising VIX and grossly outpacing Down Volume. Energy has been the big loser as the dollar gains strength. Watch that support level closely.

Never Investment Advice

Tuesday, June 2, 2009

06.02.09 - Blowing Off Some Steam

As of last night, over 80% of tracked equity ETFs on ETF Rewind looked technically overbought. However, we are in an abnormally strong market, and patience should trump getting ahead of this tape without clear signs of a reversal.

At the mid-day, price on the major indices lies just below the downward sloping Volume Weighted Average Price (excepting the IWM and EFA). Internals are mixed, with a rising Tick, but down sloping AD line and nearly matched up/down volume. We have seen a series of lower highs and lows since the morning pop, however, so caution is indeed warranted for now.

Note also that the VIX is on the rise and Financials (XLF) are leading the retreat on dilution worries in spite of the outstanding pending home sales results. We may yet turn this around, but traders need to keep a close eye out at these extended levels.

Never Investment Advice

Monday, June 1, 2009

May 2009 Rewind - Choppy Advance

May's choppy trade ultimately flowered for another strong month of gains, leaving the S&P 500 positive on the year.

Last month, the S&P 500, Dow Jones Industrials and NASDAQ 100 cash indices rose +5.31%, +4.07% and +2.96%, respectively. For the year, that left them narrowly mixed at +1.76%, -3.15% and +18.48%, respectively.

The monthly price action was characterized by light choppy trade with a mild pullback in week three. News flow featured the lead up to the GM Bankruptcy, the (early) release of the Banking Stress-Tests, and the Fed's 2009 Outlook reduction. Although increasing energy costs and bond yields also threatened the third month of gains, these elements were judged to be balanced against continued "green shoots" supported by the "slowing of the decline" thesis as numerous negative economic measures nevertheless mildly beat expectations.

Sector-wise, the reflation turnaround trade left Materials (XLB), Energy (XLE) and Consumer Discretionaries (XLY) up on the year. Style-wise, the Large-Cap Value stocks (PWB) took the lead. Lastly, in spite of the major rebound in the Financials (XLF), they continued to be down on the year. While we got our spring-time hat trick, I suspect it may be harder to pull off a fourth month of advances without stronger fundamental underpinnings.

Sentiment: Mixed
Volatility: Declining (VIX 28-35)
Direction: Higher

[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.

06.01.09 - Power Markup Vaults 200-Day

Price gapped higher on the Personal Income/ Spending beats, and has maintained its trajectory after some narrow range consolidation near SPY R2 on the Construction results. Cumulative Tick is roaring ahead, the VIX is down-sloping and the Advance - Decline line is at very robust levels. I'd be careful about trying to fade this strong beginning of month markup. Minimally consider legging into your positions.

As discussed in the Weekly Rewind, note that the S&P500 has officially broken its 200-day moving average and is at highs for 2009. In that regard, I have been showing price versus the simple ten-month moving average on the Weekend Rewind for a couple months now. I have finally retitled the header to make that more clear, as seen here.

Never Investment Advice