Tuesday, September 20, 2011


Keybot the Quant remains long after today's action. The algo calmly motors along and has not kicked out any numbers this week thus far except for the pre-scheduled number before the open today. Looks like markets are in idle mode in front of the Fed tomorrow afternoon.

If you are following along with the sectors currently of most interest to the quant, you see the utes, retail and socks maintaining their buoyancy, even after the markets drifted lower late in the day today. The SPX tagged 1215 so the indexes jumped higher as expected, the SPX came up to test the 1219-1220 resistance cluster, printing a HOD of 1220.39 which actually surpassed the 1220.06 HOD printed on Monday, but considering this is formidable resistance, a spank down occurred. SPX fell back thru 1209-1210 support, then 1204 support closing at the lows for the day.  SPX:VIX ratio stayed above 35 all day favoring bulls so the markets were very much in idle mode today showing sideways action with the bulls maintaining control of the markets overall.

For tomorrow, watch the socks, SOX now at 372.76. Keybot is scanning 367.60 currently, five points lower, so the bulls will continue to maintain market control unless SOX loses 367.60.  The utes exploded to the upside today hinting that the market bulls may have further legs to this recovery rally.  Retail hung in there as well, RTH now at 107.37 and market bulls have no worries unless it loses 104.60. Interesting split in the major sectors since copper, commodities and financials remain firmly bearish.

For the SPX tomorrow, starting at 1202, the market bulls need good news out of Europe as well as from Chairman Bernanke since they need to push back up to touch 1220 to accelerate the recovery rally. If they touch 1220, that is the third test of the 1219-1220 resistance cluster so she should spike up thru and the indexes will not look back.  For the market bears, they have an easier task ahead for Wednesday.  The bears only need to move 90 cents lower to get under 1201.29, and the downside will open up quickly. If you are a bear you want to see red futures overnight.1198-1199 test will occur and most likely fail right away, then the SPX will head down to 1193. The indexes favor the bulls, if the bears want to stop them, they will need to make a stand tomorrow. A move thru 1203-1219 is sideways slop but with data and the Fed on tap, as well as Europe remaining in trouble, the markets should make a more firm committment one way or the other.

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 = -24
9/18/11; 7:00 PM EST = -24
9/16/11; 10:00 AM EST = -24
9/14/11; 12:43 PM EST = -24
9/14/11; 12:39 PM EST = -40; signal line is -58; go long 1180; (Benchmark SPX for 2011=-6.2%)(Keybot this trade=+0.5%; Keybot for 2011=+26.4%)(Actual this trade via SH=+0.4%; Actual for 2011=+39.7%)

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