S&P500 - Analysis and Trading

[MRC & Co]

Re: S&P Analysis

Second uptake of LTRO tonight along with Bernanke testimony.

Could really explode tonight, watch for it......

 

[Trembling Hand]

Re: S&P Analysis

Second uptake of LTRO tonight along with Bernanke testimony.

Could really explode tonight, watch for it......

which way?

 

[MRC & Co]

Re: S&P Analysis

which way?

Ah, here he is!

Which way you reckon? Up. EOM, industry is long, window dressing? Mkts isn't stretched either on CFTC positioning or adv/dec for S&P. Liquidity pump to come not to mention USD index is looking weak. Not sure how you could stand in the way unless the LTRO is a real shocker (estimate appears anywhere from 300bil to 1tril), but with one more chance to get almost free liquidity for your bank without any stigma attached, why wouldn't you take as much as you could get (may push towards the 1 tril range).

BTW, when you making the trek to my part of the woods!?

 

[Trembling Hand]

Re: S&P Analysis

Yep she's been a nice day of window dressing already today.

Mid April - put the beer ice now so its ready...

 

[MRC & Co]

Re: S&P Analysis

Ah, mid-april, perfect timing, the beer will be cold and flowing!

Don't like the SPi selling off into the close, ominous although only long Nikkei and DAX on the equities right now.

 

[Trembling Hand]

Re: S&P Analysis

Yep she's been a nice day of window dressing already today.

Up untill 30 mins ago anyway

 

[MRC & Co]

Re: S&P Analysis

Here we go on LTRO2!

 

[MRC & Co]

Re: S&P Analysis

Was all going smoothly until Bernanke opened his mouth about no QE3! Ciant!

 

[sinner]

Re: S&P Analysis

Was all going smoothly until Bernanke opened his mouth about no QE3! Ciant!

I'm having a great time trading the swings this morning on AUDUSD. Thanks for the overnight vol!

 

[Trembling Hand]

Re: S&P Analysis

I'm having a great time trading the swings this morning on AUDUSD. Thanks for the overnight vol!

The walk up in Gold has been pretty smooth too.

 

[MRC & Co]

Re: S&P Analysis

It is literally a walk up in gold and in silver! Was actually long both last night, but stopped both and then flipped short gold which saved me on the metals luckily! Still short though

 

[sinner]

Re: S&P Analysis

The walk up in Gold has been pretty smooth too.

Wow that looks real nice, thanks for pointing it out! I don't make a habit of trading gold anymore so don't usually check the intraday charts during Tokyo. I've had a good run this morning, gonna finish my week a day early, at least as far as intraday shenanigans are concerned.

 

[rx2]

Re: S&P 500

Does anyone know where I can get hold of the historic index constituents for the S&P500?

 

[MRC & Co]

Re: S&P Analysis

And the grind up continues (although Bernanke caused a stop on half my Dax and two thirds of my Nikkei).

 

[Trembling Hand]

Re: S&P Analysis

Was all going smoothly until Bernanke opened his mouth about no QE3! Ciant!

You know how I like my squiggly lines. How smooth is it going?

 

[Trembling Hand]

Re: S&P Analysis

And the grind up continues

Just some more squiggles,

This time on the Nas. Same pattern, new highs in the index yet divergence with the amount of stocks going up. Is that good?



And have a look at the 52 week highs. Or lack thereof new 52 week highs.

 

[MRC & Co]

Re: S&P Analysis

Yep, things like the Facebook IPO are doing their job.....for the moment.

 

[professor_frink]

Re: S&P Analysis

Just some more squiggles,

This time on the Nas. Same pattern, new highs in the index yet divergence with the amount of stocks going up. Is that good?

Right now I'm going to go with no. Breadth has fallen away a little too quickly for my liking at the moment. IMHO the market isn't looking weak enough for a short here, but has me concerned enough to lighten up on longs. Currently I'm going to start looking for reasons to increase size again if we get down to the 1340-45 area on the S&P

 

[Trembling Hand]

Re: S&P Analysis

Right now I'm going to go with no. Breadth has fallen away a little too quickly for my liking at the moment. IMHO the market isn't looking weak enough for a short here, but has me concerned enough to lighten up on longs. Currently I'm going to start looking for reasons to increase size again if we get down to the 1340-45 area on the S&P

I agree. I wouldn't be chasing new longs right here but certainly an interesting point in time.

Another little internal change. Nas vs Russell 2000 correlation has just broken down for the first time in a loooooong time.



Sorry about all the charts guys. Have just figured out how to use NTs multi series charts. This could get out of hand. :

 

[sinner]

Re: S&P Analysis

I agree. I wouldn't be chasing new longs right here but certainly an interesting point in time.

Another little internal change. Nas vs Russell 2000 correlation has just broken down for the first time in a loooooong time.

View attachment 46312

Sorry about all the charts guys. Have just figured out how to use NTs multi series charts. This could get out of hand. :

I've watched this as a pair since the flash crash in 2010 along with a few other similar ones. The early response in Jul 2011 was identical to the week of the flash crash, but with a huge expansion of the short-term (2-3y) range which kicked the pair (unlike the flash crash) into non-stationary mode.

I say short-term because if you look at a long term chart you can see the damn thing has actually been up-trending (large beating small) since Q1 2007.

An interesting thing to note is the pair responded opposite to the Jul 2011 decline versus the GFC decline despite the magnitude of the moves being very similar.

To me it looks like the pair will set up a new range ~3-3.25 stacked on top of the old one ~2.75-3, probably safe to play with a close eye to cash VXN below 22.5-25.