Daily Commentary - Posted on Monday, June 15, 2009, 8:38 PM GMT +1

2 Comments


Jun Monday 15

Trading the Odds on Monday – June 15, 2009 -intraday update-

With NYSE Advancing Issues/Declining Issues < 0.15, NYSE Advancing Volume/Declining Volume < 0.1 and S&P 500 down more than -2.5% at time of writing (02:35 PM CET), a buy signal would be triggered at today’s close (assumed everything unchanged) concerning the SPX’ performance on the then following session.

Setups:

  • NYSE Advancing Issues/Declining Issues < 0.15 (Setup S1),
  • NYSE Advancing Volume/Declining Volume < 0.1 (Setup S2),
  • S&P 500 down more than -2.5% (Setup S3),
  • Setups S1 and S2 combinded (Setup S4), and
  • Setups S1 and S2 and S3 combinded (Setup S5).

Table I shows the ES (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

20090615-ES-Si


Table II now shows the ES (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Tuesday, June 16) immediately following those 25 sessions where the S&P 500 fulfilled setup S5 mentioned above:

20090615-ES-Si1


Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing (but now short volatility, long volatility positions closed).

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Comments (2)

 

  1. JLD says:

    Frank, Thanks for the intra-day updates. I just have a question, I can see where the market will probably move higher tomorrow. How does this fit into the next 5 session, going into options expiration, mo. end, and qtr. end?

    • JLD,

      I’ll check for options expiration tonight, but such a major down day like today (at time of writing) regularly provides at least a short-term edge on the then following session (the major market indexes regularly recoup some of its losses on the then following session).

      Best,
      Frank

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