With The Perfect Job Report Could Bears Even Hope To Score?
- Thread starter shortie
- Start date
my crude chart of the recent equity call put ratio. the green line is 2dma. notice that there are only a handful penetrations of 0.5 level by 2dma. since Aug most of those were around the tops (~Oct 6th is the exception). Unusually, we have had 3 penetrations in the recent ~3 weeks (the last one on Mar-31). This illustrates that the complacency is very high. The question is whether we could dump without any news or will we need some sort of a trigger to get the ball rolling downhill.
Quote from shortie:
my crude chart of the recent equity call put ratio. the green line is 2dma. notice that there are only a handful penetrations of 0.5 level by 2dma. since Aug most of those were around the tops (~Oct 6th is the exception). Unusually, we have had 3 penetrations in the recent ~3 weeks (the last one on Mar-31). This illustrates that the complacency is very high. The question is whether we could dump without any news or will we need some sort of a trigger to get the ball rolling downhill.
if i go back to Aug, we have had 5 tops (Nov 2009 being a weak one, with only a tiny sell-off). we had exactly 5 0.5 level penetrations. 4 were around the tops, 1 (Oct-06 was a false one). interestingly, there was no penetration around the weak Nov top.
So, 4/5 hit the top, 1/5 was a false positive.
Fast forward to March 2010: we have 3 signals (1/3 is a clear false positive March 9th). The other 2/3 could still be the real thing!
SPY high:
March-17 117.48
March-31 117.52
SPY presumed top so far:
Apr-01 118.25
I speculate that, based on call/put data and assuming that the market has not changed in any fundamental way from Aug 2009, the top has either taken place or will take place as soon as this week (not much higher from the current SPY levels). In addition, the market will demonstrate a reasonable sell-off of at least 4-5%, unlike Nov 2009 sell-off.
Interestingly, we are ~5% from the early March gap that is still unfilled.
Quote from AMT4SWA:
Call GS and ask them why they sold several thousand large at the 1177's Thursday.
AMT, how the heck are you! Earlier today I was just thinking: "This is the kind of ES price action that's got AMT's antennae up."
I know how you trade and it works, but I have to stick with my comfy style; I'm shorting every breakdown of lows until I catch "the one".
Quote from shortie:
since July 94 SPY had 21 runs of 5 or more consecutive positive weeks (820 weeks are in the period studied). we have just had 5 +weeks in a row. one more week and we are really in an exclusive club (in other words, we are more likely to go down and not make it 6 weeks in a row).
similar study for qqqq and xlf only the data is since 1999. XLF is one week shy of matching the best stretch ever.
could somebody tell me what makes this leg up different from Nov-Jan in such a way that we won't fill the early March gap quickly (or that we won't fill it for a very long time)?
this time "must be different" because suddenly everyone is so optimistic about this rally. but why exactly are you optimistic? is it because trends never end? is it because of the reckless Fed policy? but we had the same policy during Nov-Jan rally...
by the way, tomorrow the March gap is 1 month old. the December gap lasted about 1 month...
this time "must be different" because suddenly everyone is so optimistic about this rally. but why exactly are you optimistic? is it because trends never end? is it because of the reckless Fed policy? but we had the same policy during Nov-Jan rally...
by the way, tomorrow the March gap is 1 month old. the December gap lasted about 1 month...
