Trading Notes 01/24

Wild day in the markets:  SPX tagged 1500, RUT closed above 900, and AAPL got crushed.  Interesting that the AAPL selloff seemed to trigger buys in AMZN, GOOG, PCLN, all closing up > 1%.  Then there were the VIX ETFs:  massive squeeze followed by a hard reversal back down to the open.  Finally, almost forgot about NFLX...up 42%++.

SPY closed above its opening print for the 11th consecutive day.  Not surprising considering how oversold we got during Q4 2012.  Plus it doesn't hurt that electronic bid-asks, be it through algos or market makers, are maintaining a very STEALTH bid under this market...driving cumulative TICK higher and keeping selling pressure muted...no one has to hit bids, just let sell orders taken out by the rising electronic bid-asks.

Only thing of interest I noticed tonight is in the futures chart below.  Basically, all of the recent pullbacks have been preceded by a spike in OBV for the e-mini S&P futures.  I've marked each of the last 3 with a white line and made duplicates to compare today's selloff against the prior to gauge time and duration.  2 of the prior 3 took longer to complete timewise, but magnitude of the current pullback has already exceed each of the last 3.  Tonight, we are hugging trendline support (not on the chart), coinciding with the 38.2% fib retracement level of the 1/18 low to today's high and also right at a heavy volume node.  Should we actually break the 149 weekly floor on SPY, 1484 (50% retracement) and 1480ish come in play.

Given the stealth nature of the market bid, bias will remain to write OTM put spreads below key support levels.  Yes, signs are building for a top, but as they're usually rounded, it will likely be weeks (if ever...tongue-in-cheek) that we see a material selloff (>3% is material these days in the algo-driven market).