82.75 points in 3 days (from Tuesday's low) is a nice thrust but happening too fast. I do hope we touch the 760's though before a nice plunge one more time.
ES Journal Archive (2009 - 2010)
- Thread starter Jahajee
- Start date
- Status
82.75 points in 3 days (from Tuesday's low) is a nice thrust but happening too fast. I do hope we touch the 760's though before a nice plunge one more time.
Don't know if you found what you were looking for, but here is my previous answer to your question.
There is a relatively simple arbitrage relationship between ES and the cash SPX. It is a function of just interest rates and dividends. The simple way to look at it is that you could buy all the stocks in the SPX in the correct numbers to mimic the index but that would cost you the interest you would earn by not investing, and on the plus side you would receive dividends. As apposed to the ES which has a much smaller cash requirement but you donât get the dividends. Therefore the fair value of ES to SPX is interest minus dividends which is all explained here http://www.indexarb.com/fairValueDecomposition.html
With interest rates so low the dividends outweigh them and we are in a period of negative fair value. These calculations are just simple mathematics, there is no information gained bullish or bearish from these numbers.
Quote from iloveoptions:
82.75 points in 3 days (from Tuesday's low) is a nice thrust but happening too fast. I do hope we touch the 760's though before a nice plunge one more time.
Bull markets often begin that way. See Dan Sullivan and Gary Smith on 5 day market moves.
<i>True, selling pressure was nearly nonexistent. However, volume was less than 2 million. Isn't that a bit on the lighter side?</i>
volume was higher today than yesterday... or any recent days. Add March and June contracts together for 1.98mil March and 2.5mil June = 4.48mil total ES contracts.
When the morning highs were taken out in afternoon, high-odds to keep on plowing higher. TF led strong all the way on big volume, same with NQ.
ES topped at gap-fill 2/26/09... third upper gap fill in past three days. One more in sight near 775 from 2/19/09
But the gap below at 672+ will be filled likewise, sooner or later. May be a bottom formation here, but high-odds it'll be a double bottom pullback test to fill that Mon-Tue open gap.
volume was higher today than yesterday... or any recent days. Add March and June contracts together for 1.98mil March and 2.5mil June = 4.48mil total ES contracts.
When the morning highs were taken out in afternoon, high-odds to keep on plowing higher. TF led strong all the way on big volume, same with NQ.
ES topped at gap-fill 2/26/09... third upper gap fill in past three days. One more in sight near 775 from 2/19/09
But the gap below at 672+ will be filled likewise, sooner or later. May be a bottom formation here, but high-odds it'll be a double bottom pullback test to fill that Mon-Tue open gap.
option MM is targeting 750-800 level, which I mentioned somewhere else today.
Only if they failed to get it close to 750, i.e. stalled at 40 or lower with huge sell orders above, would they stop trying.
Today, at first try, they have succeeded pushing it thru. You think they are going to stop now at "just" 750?
Edit: After option expiration, maybe you get a chance to crack 720 or lower. Only then.
Quote from iloveoptions:
82.75 points in 3 days (from Tuesday's low) is a nice thrust but happening too fast. I do hope we touch the 760's though before a nice plunge one more time.
On weekly basis, a pullback to 900 from 666 in 4-8 weeks is not that "fast".
So watch out for Pek's deadly 9 period SMA on daily to see if down trend can resume.
Good luck!
<i>"Edit: After option expiration, maybe you get a chance to crack 720 or lower. Only then."</i>
Only then?
C'mon... we've both been around long enough to know there are no certainties... only probabilities. The indexes could go right back down faster than they went up for a myriad of reasons. Let's just go with the flow, which is relieving oversold extremes for now. Might continue for days & weeks ahead, might have peaked already today.
Time alone will tell
Only then?
C'mon... we've both been around long enough to know there are no certainties... only probabilities. The indexes could go right back down faster than they went up for a myriad of reasons. Let's just go with the flow, which is relieving oversold extremes for now. Might continue for days & weeks ahead, might have peaked already today.
Time alone will tell
Quote from austinp:
<i>"Edit: After option expiration, maybe you get a chance to crack 720 or lower. Only then."</i>
Only then?
C'mon... we've both been around long enough to know there are no certainties... only probabilities. The indexes could go right back down faster than they went up for a myriad of reasons. Let's just go with the flow, which is relieving oversold extremes for now. Might continue for days & weeks ahead, might have peaked already today.
Time alone will tell
If 700 is taken out tomorrow, I will jump in - no question asked!
rollover sessions are usually sideways twisters, up & down like yesterday was. A directional session was expected after all these recent "doji" days in succession, but those afternoon ramps are always hard to believe.
Three gaps filled in three days... congestion at these highs, then clustered magnets near next gap above 775. ES 920 is the highest open gap from early Jan drop.
March full moon was 2:38am est, I believe. Always gets wild once a month there
- Status