ES Journal Archive (2009 - 2010)

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Something does not make sense happened today.

Tick index huge buying all the way this morning - as if someone is determined to not allow the gap below to get filled.

Why?

Could it be weekend media luring retail to chase, or, something else at work?
 
happened on friday also , the uvol was higher than dvol whilst dow was down, sorry , it rose from 12:30 eastern while dow dropped 100 points
 
Quote from Lawrence Chan:

Without VWAP bots, NQ can fill gap below today.

It has a very high probability to happen.
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Hey LC, are VWAP bots only buy programs or do they also switch to selling? We're now exactly at VWAP (1005) right?
 
Quote from Insearch:

Hey LC, are VWAP bots only buy programs or do they also switch to selling? We're now exactly at VWAP (1005) right?
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Depending on the nature of the bot, some are there to handle orders from institutions to get fill without moving the mkt if it were done with a big block.

Some are mkt making bots that go long or short depending on the orderflow.

Obviously, there are way more outside paper sell orders since 950 was reached and these bots just take advantage of that.

VWAP at 1005.
 
Quote from ivanbaj:

Low volume. It will be tough to break under 1000 and over 1010.

What should we do? Perhaps buy 1000 and sell 1010?
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For what it's worth I will be happier to sell 1010 than to buy 1000.
 
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