* Lots of Bearishness Out There - We've had six consecutive days in which equity put volume has exceeded equity call volume. I went back to the start of 2004 (N = 868 trading days) and examined occasions in which five-day equity put volume exceeded equity call volume. This occurred in mid-May, 2006; early-mid June, 2006; mid July, 2006; and a broad stretch of time from 2/27/07 through very early April, 2007. Out of the 28 trading days covered during these periods, 27 were up thirty days later in SPY by an average of 4.73%--much better than the average 30-day gain of .89% for the remainder of the sample. Interestingly, we're only down slightly during this most recent five-day period of bearishness, suggesting that the bears are having difficulty keeping the market down.
* Blogs that Kirk Reads - Here's a potpourri of readings from some of the blogs Charles Kirk checks out, including speculation as to what sparked that late rally on Wednesday.
* Trading EuroStoxx and DAX Futures - On August 7th there will be a live trading event sponsored by Eurex and hosted by Market Delta's Trevor Harnett describing trading techniques utilized by proprietary traders.
* Trading Events Through the Day - This is a useful post on when the world's exchanges open and close. Those of you who read my Twitter comments will note that I've begun posting the times of important U.S. economic releases. (Last five comments appear on the blog home page).
* The Brain and Performance - Here's a linkfest from the Sharp Brains site, with a number of articles dealing with practical aspects of cognitive neuroscience. Check out the link re: beating forgetfulness and boosting the brain; relevant to many performance disciplines.
* Market A Buying Opportunity? - Trader's Narrative outlines 12 reasons to be buying this market. Worthwhile contrary thinking.
* How Will the Election Affect Stocks? - A Dash of Insight has begun an "election project" to highlight stocks that will benefit from election developments. Excellent idea.
.
Subscribe to:
Post Comments (Atom)
Posts
8 comments:
Your statistical work is some of the best, but this result occurs during a blistering bull market. What would we observe if you used the period from Jan 2000-April 2003? Or better yet, a period during which the market was moving sideways?
Thanks
Hi Brett, I just wanted to thank you for your continued and interesting historical analysis of the markets. I am not a trader, but find these kinds of posts very interesting.
Thanks!
Hi Tommy,
I'll see if I can dig up the data for a broader perspective in a post this weekend. My point was that this level of bearishness (and decline) has not been incompatible with bull mkt conditions and, indeed, has provided good buying opportunities.
Brett
Thanks for the feedback, Will. I think it helps to know how recent markets have behaved under given conditions...then you're better able to see if the current mkt is following the script or not.
Brett
Hi Brett, good points as always about the market's behavior amidst downturns over the past few years. I do wonder, though, how much of a factor--if any--the sheer daily volume figures associated with the recent downturn provides some alternate rationale for looking at the expected short-term returns?
Thanks as usual,
Bert
Hi Bert,
Great observation; we've seen 10 days of weakness on unusually high volume. This weekend I will take a historical look at this going back a number of years.
Brett
Hi Brett, I can't say enough about what your doing on your blog, your a generous man with your time and knowledge.. I thank you for all you do...
I'm sighed up for the Market Delta webinar on the euex. I trade the dax and use neoticker's equivalent $TICK indicator, vol & time and sales for gauging activity on breakout and false breakouts...
I'm interested on YOUR take regarding MD's ability to differentiate filled orders..
A seller using a limit has the same look as a buyer going in with a market order... on time and sales.
Are you able to see the who's playing on breakouts using MD?
Or should I say can MD differentiate the difference btw a seller entering on a limit and a buyer entering with a market order?
thank you for everything Brett... J
Hi TTMarun,
Good question. In Market Delta, someone who works an order to buy the bid will show up as volume at the bid because someone had to sell those contracts at that price. Market makers are always working bids below the mkt and offers above; it's where the volume transacts relative to the bid/offer at the time that is key.
Brett
Post a Comment