Wednesday, September 10, 2014


Keybot the Quant remains short riding out the ongoing market drama without printing any numbers since Monday. Same-o story. Market direction is determined by the battle between financials and volatility. Today VIX runs higher to 14 and the bears were in clover, however, as the day played out VIX drops to 12.88 fueling the market recovery intraday. Financials are buoyant today which helped the bulls.

Bears need XLF under 22.93. Bulls need VIX below 12.35. One of the two will flinch. If the VIX turns bullish, and the SPX moves above 1997 and remains above, Keybot will likely flip long. For the SPX starting at 1996 on Thursday, the bulls only need one point to push above 1997 to mount an upside acceleration. The bears need to push under 1983 to accelerate the downside. A move through 1984-1996 is sideways action. The imminent turn status returns since the bulls only need some weaker volatility and a point or two higher in the SPX to begin a bull rally and potentially flip Keybot back to the long side. Interestingly, 1997 is the same level that the algo flipped short at last Thursday.

9/14/14; 7:00 PM EST =
9/12/14; 10:00 AM EST =
9/8/14; 11:57 AM EST = +40; signal line is +53

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.