Tuesday, September 13, 2011


Keybot the Quant remains short going into the Wednesday session tomorrow.  More drama today. The algo told you earlier this afternoon to watch RTH 102.93, which ended up as the exact close, although the final settlement shaved off three more pennies for a final print of 102.90. With semi's in the bull camp, the algo needed to see retail, RTH, stay above that 102.93-ish to trigger the long side. At 3:46 PM, RTH launched up and over Keybot's trigger but six minutes later failed and closed under, failing to lock in the signal. Further, although the SPX took out the projected 1174.05 area, these values are changing in real-time with the algo, so in that final 15 minutes of trading the SPX actually needed to take out 1176.41, but failed. Thus, Keybot is content for now to stay on the short side and we will pick things up in the morning.

For tomorrow, the semi's, SOX, now at 366.17, are in the bull camp. SOX must stay above 363.58 or they will turn bearish. For RTH, now at 102.90, the bears have held on since the bulls need 103.03, only 13 measly pennies, to place retail in the bull camp and help launch the broad markets higher.  The utes moved solidly higher today off an ascending triangle in the five-minute time frame. The bulls need UTIL, now at 425.45, to break up thru 427.21, less than two points, and the broad markets will be throwing a party to the upside. Of course, the bears want the SOX to go sub 363.58, the RTH to stay under 103.03 and UTIL to stay under 427.21. Since Keybot goes into tomorrow's session short, the algo, at this juncture, is looking for the bear scenario, but these markets are jumpy and we will not know until the numbers start to print tomorrow.

Note that the SPX:VIX ratio closed at 32, which remains bear-friendly, as long as it stays under 35. If this ratio moves above 35, it is confirmation that the bulls will be running and the indexes will not even look back.

For the SPX tomorrow, starting at 1173, the market bulls want to see 1176.41, which they could not get prior to tonight's close. If they can touch that level, it is off to the races for the upside. For the bears, they need to see 1157.44, and the bull buoyancy will be squashed like a bug, the sellers will enter in force and the broad markets will start dropping handles faster than a media-hound drops names. There's the road map. The indexes are parked on a bull-bear line for this evening, obviously waiting on further Euro news, especially the result of the Paris-Berlin-Greece conference call tomorrow. Retail Sales are very important at 8:30 AM tomorrow morning due to the algo's projections for RTH explained above.

10/7/11; 10:00 AM EST =
10/2/11; 7:00 PM EST EOM =
9/30/11; 10:00 AM EST =
9/27/11; 10:00 AM EST =
9/25/11; 7:00 PM EST =
9/20/11; 9:00 AM EST =
9/18/11; 7:00 PM EST =
9/16/11; 10:00 AM EST =
9/13/11; 12:13 PM EST = -56; signal line is -58 but algorithm says stay short
9/13/11; 10:33 AM EST = -72; signal line is -58
9/13/11; 10:21 AM EST = -56; signal line is -57 but algorithm says stay short
9/11/11; 7:00 PM EST = -72; signal line is -56
9/8/11; 3:51 PM EST = -72; signal line is -55
9/8/11; 3:39 PM EST = -56; signal line is -53
9/8/11; 3:00 PM EST = -72; signal line is -52
9/8/11; 2:32 PM EST = -56; signal line is -51
9/8/11; 2:28 PM EST = -72; signal line is -50; go short 1186; (Benchmark SPX for 2011=-5.7%)(Keybot this trade=-1.2%; Keybot for 2011=+25.9%)(Actual this trade via SSO=-2.0%; Actual for 2011=+39.3%)

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