Tuesday, November 15, 2011


Keybot the Quant remains short after a wild day of action. The algo was highly active today, printing out seven numbers including a change from the long side to the short side just before lunch time.  In the final two minutes of trading, XLF dropped to close at 13.03, the exact number Keybot referenced all day long.  How does Keybot always know these numbers in advance? That's part of the secret sauce.

The settlements for XLF and VIX remain in flux minutes after the close, more evidence of the unstable markets. The quant is constantly recalculating the levels of interest for all the sectors and the XLF level to watch is now 13.04. Thus, a 13.03 print is market bearish by one measley penny.

The VIX, after joining the bull party today at noon, dropping under 31.20, traveled upwards to print 31.22 as the numbers settle out.  The quant has recalculated the level of interest for the VIX to be 31.25, thus, the market bulls can wave the banner for this variable, but only by three measley pennies. The behavior of the financials and volatility clearly illustrate the knock down drag out fight currently occurring between bulls and bears.

The algo was within seconds of capitulating to the long side at 3:30 PM for an intraday whipsaw but the touch of SPX 1264 occurred for only one minute and from there price collapsed into the close. The market bulls could not hold the higher prints.

For Wednesday, use XLF 13.04 and VIX 31.25 as your guide for broad market direction. Also, the SPX, starting at 1258 will key off of the 1264.25 level above, and 1244.34 level below. If 1264.25 is touched, it will be off to the races for the upside for the bulls.  If 1244.34 is touched, the large block sellers will beat the markets much lower. A move thru 1246-1263 is sideways action. Stay buckled in and expect the unexpected. Markets are highly unstable currently.

11/30/11; 7:00 PM EST EOM =
11/29/11; 10:00 AM EST =
11/27/11; 7:00 PM EST =
11/25/11; 10:00 AM EST =
11/20/11; 7:00 PM EST =
11/17/11; 9:00 AM EST =
11/15/11; 3:58 PM EST = -10; signal line is -12 but algorithm says stay short
11/15/11; 1:36 PM EST = +6; signal line is -10 but algorithm says stay short
11/15/11; 12:35 PM EST = -10; signal line is -10 but algorithm says stay short
11/15/11; 11:27 AM EST = -24; signal line is -9; go short 1247; (Benchmark SPX for 2011=-0.9%)(Keybot this trade=-0.3%; Keybot for 2011=+24.0%)(Actual this trade via SPY=-0.7%; Actual for 2011=+28.2%)

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