how about this nice discreet selloff into the close?

Highest ever!!!

I hear that a lot of it was option related. Heavy option trading in the qubes too. Interestingly, it came on a day that was basically down with a surge in the last hour. The volume wasn't at the bottom really. It probably will act as a multi-day bottom. It is part of the reason that I covered and then bought some common. Note that QQQ closed down today.

I'm really not sure what to make of it.
 
Quote from opmtrader:

p2 brought up the issue of the SOX index (SMH). As evident by my thread here, http://www.elitetrader.com/vb/showthread.php?s=&postid=445185#post445185 I am trying to take a more systematic and aware approach to the impact of other indicies on the primary equity index futures. In the midst of researching this topic I found the following stat in a paper:

Down day in SPX. - Average Next Day Return = 0.03%
Down day in SPX. SOX outperforms SPX. - Average Next Day Return = 0.22%
Down day in SPX. SOX underperforms SPX. - Average Next Day Return = - 0.11%

Today the SPX moved down - 0.84% while the SOX closed down - 3.76%. Lets see if this historical tendency holds tomorrow. Could be interesting.
More...


Might I note that behavior noted in the research I passed along yesterday held true today. The SPX closed down -0.58%. Hope some of you made some money out there.
 
Very interesting work.

Tell me, are you using the SMH as a proxy for the SOX?

Cause today the SPX was -.58% and the SMH was +.68%

Would that then lead you to believe that the SPX will be +.22% tomorrow? Do I understand this correctly?

Also, how far back have you backtested your parameters?
This is cool stuff, and I really have to thank you for sharing it with all of us!

:)
 
Blew out the last of my SMH, too small to keep on the screen. Got .14.

Looking for another 30-50 before getting short again.

Luck guys,

H:.
 
The Pivot Today on the S&P Futures is 1140.90 with S1 coming in to offer some support at 1134.80, and S2 at 1130.15

Of course, yesterday's low of 1136.30 is being tested as we speak. Don't be surprised if we take it out by a few ticks and reverse back up into the range . . .

Could be a chop-chop day today.
Bonds are running up, gotta go!
 
waggie945,

Yes you would be correct that today's anticipated average return for the SPX would be 0.22%. This research is not my work. I simply found it and shared it. The test goes back all the way to 1994. It would be best to use the SOX index. I only mentioned SMH as p2 mentioned he was keying his trades of that. The two are highly correlated but as you mentioned with your fact about SMH's concentration with a few stocks perhaps it is best to use the SOX index as my impression is that it is more balanced across a number of stocks.
 
Thank you for the follow-up!

Check this little factoid out from www.hardrightedge.com

"On a few trivial notes, the TRIN came close to closing above 3.0, which it's only done 11 other times since 1997. Three days later, the SP500 was higher all 11 times, with an average gain of +2.5%."
 
This is my definition of fun.

Covered 5's of a lot of shorts. Just want to get lighter so that I can reshort higher. Worst case, I am just living with puts and no common.

I can live with that.


Too bad that gold/silver is taking most of my gains today.

Hope you all are loving this.
 
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