Daily Commentary - Posted on Tuesday, November 8, 2011, 6:34 PM GMT +1

No Comments


Nov Tuesday 8

SPY w/ Gap Up after Low(est) Volume

With Tuesday’s session fully underway, I thought it might be interesting to share the following:

On Monday, November , less than 200 mio. shares in the SPY SPDR. changed hands, a three month low in volume. Although short-term negative (which already provided a favorable and profitable shorting opportunity right at the open, see my Twitter updates), the SPY (S&P 500 SPRD) gapped higher on the open (above the previous session’s high).

Table I below shows all historical occurrences and the SPY‘s performance on (equals ‘next session’) – and over the course of the then following 1 to 4 sessions – in the event the SPY gapped higher at least +0.25% at the open immediately following a session where volume in SPY SPDR came in at a 1-month low.

Please note that this time ‘next session‘ represents today’s session (Tuesday, November 8), and the trigger day represents the session where volume in SPY SPDR came in at a 1-month low !

Out of 33 occurrences, the SPY closed higher (expectedly after a gap up on the open) on 28 and lower on only 5 occurrences (with 16 vs. zero 1% moves on the upside | downside), but especially remarkable is the fact that it never lost more than -0.37% on the close.

Therefore any sell-off during today’s session might provide a favorable short-term (and intraday only) buying opportunity, targeting higher prices into the close.

Any other consequences and potential setups triggered will be discussed after today’s close.

Successful trading,

Frank

 

Disclosure: No position in the securities mentioned in this post at time of writing.

________________________________

Remarks: Due to their conceptual scope – and if not explicitly stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets).

________________________________

Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

________________________________

Leave a Reply

Your email address will not be published. Required fields are marked *