Tuesday, September 25, 2012

Short-term Market Musings 09/25

Dynamic regression support circa 1425-30 on the e-mini futures (4-hour chart basis), resistance 1447.  Elder Impulse system went to sell today.  NY McClellan Oscillator -36.  TRIN closed at a whopping 3.1, so distribution was lopsided.  200SMA on the hourly chart is 142.71.

Wednesday trading stats...amazingly consistent the last dozen weeks.
Since and including 6/27 (week after the last quarterly expiration), SPY has closed up 10 out of the last 12 Wednesdays, but only by an average of 0.26...bulk of the cumulative gains of 3.06 came on 3 of those 10 days.  The 2 down days both closed down a tiny -0.12.  So basically it's been a "stuck up" day with strong underlying bid to the market...setting up for weekly expiration I suppose.

8 of the 12 days gapped up, but only 5 (42%) closed above the opening print.  Amazingly, 10 out of the last 11 Wednesdays, the opening gap was faded and reversed during regular trading hours.  In other words, if we gapped up, intraday action would close below the open.  Conversely, if we gapped down, SPY closed above its opening print.  The only day the gap wasn't faded...we closed right at the opening print, so net intraday gains was a big fat 0.  In general, Wednesday trading has seen very low volatility the last 9 weeks with an average gain of 0.07...we'll see if today was a catalyst to change that.

Might be wishful thinking, but I'm hoping for another ~1.5% downside sub 1420 on the futures...lopsided TRIN only read I see right now that might prevent that.

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