With Tuesday’s session the SPY now closed at least 2 standard deviations below it’s 20-day SMA (the well-known Bollinger Bands) on three consecutive sessions.

Table I below shows the SPY‘ historical performance (since 01/01/1990) over the course of the then following five sessions after the SPY had closed at least 2 standard deviations below it’s 20-day SMA on three (or more) consecutive sessions in the past.

Interesting to note that historically three or more consecutive closes at least 2 standard deviations below it’s 20-day SMA represented a favorable intermediate-term (one-week time frame) opportunity on the long side, especially in the event of some intraday weakness and/or a lower close on the following session (like today’s session) after the signal had been triggered.

The SPY was trading lower at least -1.0% below the trigger day’s close (in this event Tuesday’s close) four sessions later on only one out of 32 occurrences (limited downside potential), and posted at least one higher close (than the trigger day’s close) over the course of the then following four sessions on 31 out of those 32 occurrences (96.88%), significantly better than the at-any-time probability of at least one higher close over the course of the then following four sessions (76.64%). And the SPY already posted at least one higher close over the course of the then following three sessions on 29 out of those 32 occurrences.

In addition, with the Distribution of Returns (see stats above) above 70% four and five sessions later (and a Profit Factor of 6.64 four sessions later), the median trade ranks significantly better (means shows a significantly higher rate of return / positive magnitude of change) than the median trade (=50%) within the at-any-time distribution of returns four and five session later (low risk and high odds/reward).

Successful trading,
Frank

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

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

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.

Market internals were heavily lopsided on the downside, with declining issues (concerning all optionable stocks) outnumbering advancing issues by a factor of 16, and optionable stocks penetrating their previous session’s low posting a multi-year high (in absolute and percentage-wise terms), not surprisingly on a session where the ES E-MINI S&P 500 posted an intraday low -2.31% below the previous session’s low.

_________________________

The following setups (among others) were triggered on Friday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/1990) of the next session (in this event Monday, November 30) immediately following those sessions where setups S1 to S4 listed above had been triggered in the past.

Disregarding the fact that the ES E-MINI S&P 500 closed in the upper half of it’s daily trading range (on a session where the futures left an unfilled gap down, setup S1), probabilities and odds are at least slightly tilt in favor of a higher close on Monday’s session, and with respect to setup S3 (‘Optionable stocks Declining Issues outnumbered Advancing Issues by a factor of greater than 15‘), the ES E-MINI S&P 500 shows a perfect track record (unfortunately with 13 occurrences only) of up to now always posting at least one higher close (than the trigger day’s close) over the course of the then following three sessions (and on 12 out of 13 occurrences closing higher already two sessions later).

Setup S1 (‘the ES E-MINI S&P 500 closed in the upper half of it’s daily trading range on a session where the futures left an unfilled gap down‘) is a setup (among dozens of other setups) followed and tracked by Rennie Yang from MarketTells (highly recommended), and this is the only setup which puts the famous fly into the oinment – at least with respect to the close. But even with setup S1 triggered on close of the previous trading day, the ES E-MINI S&P 500 opened higher on 24 out of the last 28 occurrences.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 01/01/1990) concerning the open, the intraday high, the intraday low, the last hour of the session and the close on those sessions where setup S2 (‘the VIX CBOE Volatility Index surged higher greater than +20%‘) had been triggered on close of the previous trading day in the past.

It is interesting to note that – since 01/01/1990 and with respect to the then following session (in this event on Monday, November 30) – the ES E-MINI S&P 500

• opened higher on 2 out of every 3 occurrences,
• shows an above-average probability for some follow-through of the previous session’s weakness at least at some time during the session (negative t-score with respect to the intraday low),
• shows a statistically significant tendency for trading higher during the final hour of the session (on 3 out of every 4 occurrences, and thereof on the last 13 ocurrences), and finally
• shows a statistically significant tendency for a higher close (on 2 out of every 3 occurrences, and thereof on 10 out of the last 11 ocurrences).

So – from a historical and statistical perspective – Monday’s session might start on a positive note, with a temporary resumption of Friday’s downtrend probably during the first part of the session, but a happy (positive) ending into the close.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance with respect to the open, the final hour of the session and the close on Monday, November 30 is positive, but at least some follow-through of Friday’s weakness during the first part of Monday’s session seems likely.

A favorable short-term opportunity on the long side of the market would be provided in the event of any pre-opening weakness on Monday’s GLOBEX session targeting a higher open (but it doesn’t seem wise to chase a higher open) and probably at the start of the final hour of the session (see stats above), while a higher open and/or any significant strength during the first hour of Monday’s session might provide a favorable (very) short-term (and intraday only) opportunity on the short side playing the odds (which apply to almost all of those setups listed above) for a temporary pullback and some follow-through of Friday’s weakness during the first part of Monday’s session (closing the short position at the start of the last hour of the session at the latest).

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 30, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No position in the securities mentioned in this post at time of writing (but short volatility).

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.

Thanksgiving (exchange holiday, with a shortened session on Friday, November 27) is celebrated on the fourth Thursday in November, this year on November 26.

I thought it would be interesting to check if – and to what extend – the market historically shows a positive or negative bias during the respective trading week (compassing Thanksgiving) until the end of the then following week (assumed one would have went long on close of the last business day the week immediately preceding Thanksgiving, in this event on Friday, November 20).

Table I shows the ES E-MINI S&P 500 performance over the course of the then following 10 sessions (since 01/01/1990) assumed one would’ve went long the ES E-MINI S&P 500 on close of the last business day the week immediately preceding Thanksgiving, in this event on Friday, November 20 (so ‘next session‘ equals the session on Monday, November 23).

It is interesting to note that – since 1990 – the ES E-MINI S&P 500

• was trading higher 10 sessions later (regularly the Friday of the week immediately following Thanksgiving) on 3 out of every 4 occurrences, while the at-any-time probability for a higher close 10 sessions later is only slightly better than even,
• the median close 10 sessions later was +1.04% (means the market closed higher than +1.04% on 9 sessions, and lower than +1.04% on 9 sessions as well, separating the higher half of a sample from the lower half), while the at-any-time median trade 10 sessions later is +0.28% only (and the profit factor significantly exceeds the at-any-time profit factor),
• was never trading lower than -5.36% below the trigger day’s close (even intraday) during the entire 10-day period,
• and there were only 2 (out of 19) occurrences (marked with an asterisk) where the ES E-MINI S&P 500 did not manage a close above the trigger day’s close on even a single session during the entire 10-day period.

_______________________________

Bottom line:

At least based on historical probabilities and odds, the market shows a positive performance over the course of the then following 10 sessions (during the week compassing Thanksgiving and the then following week), and there is a significantly above-average probability that the ES E-MINI S&P 500 will be trading above last Friday’s close (1090.00) on Friday, December 11.

Successful trading,
Frank

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: Long ES E-MINI S&P 500 at time of writing (and short volatility).

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.

The ES E-MINI S&P 500 left an unfilled opening gap on the downside of -0.70%, Puts traded on an uptick (regularly purchased) outnumbered Puts traded on an downtick (regularly sold) – the first occurrence during the last 12 sessions, and only happens on approximately one out of every ten sessions -, Calls traded on a downtick (regularly sold) outnumbered Calls traded on an uptick (regularly bought) by a factor of 1.75 – the first occurrence during the last 13 sessions -, and more than 85% of all optionable stocks penetrated their previous session’s low.

_________________________

The following setups (among others) were triggered on Thursday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/1990) on the next session (in this event Friday, November 20) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

Probabilities and odds are clearly tilt in favor of a positive performance (close) on the then following session, and the respective t-score regularly exceeds the +1.645 mark for statistical significance, means there is a low probability that the positive performance (amd out-performance of the market) occurred by chance only.

In addition, the median trade over the course of the then following 5 sessions is positive as well, partly significantly exceeding the respective at-any-time median change over the course of the then following 5 sessions (and probabilities for a higher close 2, 3, 4 and 5 sessions later exceed the respective at-any-time probability for a higher index close 2 – 5 sessions later).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on close of Friday, November 20 is positive, and with market internals heavily lopsided on the downside on Thursday’s session, downside potential on Friday’s seems to be limited.

A favorable short-term opportunity on the long side would be provided in the event of any pre-opening weakness on Friday’s GLOBEX session targeting a higher open and probably a higher close as well.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Friday – November 20, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

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

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.

But there was some remarkable weakness beneath the surface: Despite the fact that almost all US major market indices (S&P 500, ES E-MINI S&P 500, Nasdaq 100, Dow Jones, except the Russel 2000) posted a higher low (than the previous session’s low), the majority of stocks listed in the respective indices did not: more than 55% of S&P 500 stocks and more than 60% of all optionable stocks penetrated their previous session’s low, which is regularly a reliable indication for some weakness beneath the surface and has – with respect to historical occurrences – led more often than not to an above-average pre-opening weakness, a weak open and/or limited upside potential (potential magnitude of change on the intraday high) on the then following (GLOBEX) session (see below).

Some other remarkable peculiarities: The Nasdaq 100 out-performed the S&P 500 the fourth day in a row, and the SOX Semiconductor Index out-performed the S&P 500 the fifth day in a row, while the BKX Bank Index under-performed the S&P 500 by a wide margin of almost 1.0% the second day in a row.

Regime shift: On November 5, 6 and 9 the ES E-MINI S&P 500 posted it’s intraday low always during the first hour of the session while the intraday high was regularly made during the final hour of the session. On November 10, 11 and 12 the ES E-MINI S&P 500 posted it’s intraday high always during the first hour of the session while the intraday low was made at later stages of the session (during the first half – but after the first hour – of the session on November 10, during the second half of the session – but before the final hour – on November 11, and during the final hour of the session on November 12).

_________________________

The following setups (among others) were triggered on Friday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the pre-open (GLOBEX) high and the pre-open (GLOBEX) low on those sessions where any of setups S2, S3 or S4 had been triggered on close of the previous trading day in the past.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Monday, November 16) – the ES E-MINI S&P 500

• opened lower on 2 out of every 3 occurrences,
• posted a median (not average) intraday low of -0.94%,
• was trading below the previous session’s close at the end of the first hour on 2 out of every 3 occurrences, and greater than +0.30% on only 2 out of 28 occurrences,
• was trading lower at least -0.50% below the previous session’s close on the then following GLOBEX session on 10 out of the last 11 occurrences.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the pre-open (GLOBEX) high and the pre-open (GLOBEX) low on those sessions where setup  S4 had been triggered on close of the previous trading day in the past.

Although 11 occurrences since 01/01/1990 is nothing to read anything statistically significant into it and even more nothing to bet the farm on, it at least confirms the negative forecast not only with respect to the expected weakness before or on Monday’s open, but with respect to Monday’s close as well (although a setup like three consecutive sessions with a positive first and last hour, but negative middle part of the session is more a statistical anomaly than anything to read something meaningful into into, quite different from setups S2 and S3 where the index posted a higher low, but the majority of stocks did not for a remarkable negative divergence).

In addition:

• with setup S1 triggered on close of the previous trading day, on 10 out of the last 20 occurrences (50%) did the ES E-MINI S&P 500 post it’s intraday low during the first hour of the then following session, while on 12 out of the last 20 occurrences did the ES E-MINI S&P 500 post it’s intraday high in the second half of the then following session,
• the ES E-MINI S&P 500 posted it’s intraday low during the first hour of the session on 16 out of the last 27 Monday’s (60%) – significantly skewed in favor of the first hour of the session -, and posted it’s intraday low before it posted it’s intraday high on 19 out of the last 27 Monday’s (70%).

So there is a good chance that Monday’s intraday low will probably be posted early during the regular session and probably before the high, for a low(er) probability that the open short position (if not already closed before the open) will be stopped out before it could hopefully be closed for a profit.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance before or on the open on Monday, November 16 is negative, and additionally upside potential seems to be limited (therefore I went short on Friday’s close targeting a pre-opening quote at least -0.50% below Friday’s close).

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength on Monday’s GLOBEX session (beginning at Sunday 06:00 PM EST) targeting a lower open and probably some wekaness during the session as well.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 16, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: Short ES E-MINI S&P 500 at time of writing.

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.

On Friday the ES E-MINI S&P 500 not only closed higher the fifth day in a row, the  ES E-MINI S&P 500 closed at least +0.90% above the open on a second day in a row as well (55 occurrences since 01/06/2001).

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour of the session in comparison to the previous session’s close, and the close on those sessions immediately following a session where the ES E-MINI S&P 500 had closed higher and at least +0.90% above the open on a back-to-back session in the past (in this event on Monday, November 9). A lot of red …

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Monday, November 9) – the ES E-MINI S&P 500

• opened lower on 2 out of every 3 occurrences (and on 17 out of the last 21 occurrences),
• was trading below the previous session’s close at the end of the first hour on 4 out of every 5 occurrences, and lower on 19 out of the last 21 occurrences,
• was trading below the previous session’s close at the start of the last hour on 2 out of every 3 occurrences, and lower on 17 out of the last 21 occurrences,
• closed lower on 37 out of those 55 occurrences.

The ES E-MINI S&P 500′ statistically significant (the respective t-score exceeds the -1.645 mark on the downside) under-performance during all stages of the then following session confirms the bearish case at least with respect to the first part of Monday’s session (including the pre-opening session on GLOBEX).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance at least until the end of the first hour of Monday’s session is negative, but probably with respect to a lower close as well.

A favorable short-term opportunity on the short side would be provided in the event of any pre-opening strength targeting a lower open or weakness during the first part of Monday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 9, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: Short ES E-MINI S&P 500 and long volatility at time of writing.

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.

Wednesday’s FOMC announcement session again perfectly complied to historical probabilities and odds calling for some extensive strength between yesterday’s close and the start of Wednesday’s last hour of the session.

The ES E-MINI S&P 500 gaped up +0.89% on the open, was trading +1.32% above Tuesday’s close at the end of the first hour of the session and +1.34% above Tuesday’s close at the start of the last hour of the session.

_________________________

The following setups (among others) were triggered on Wednesday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/1990) on the next session (in this event Thursday, November 5) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All setups are agreeing concerning their negative outlook on the then following session, showing an above-average probability and significantly above-average profitability (average loss) for a lower close (over the course of) the next session(s). Not one of those setups shows an average (!) gain over the course of the then following five sessions. With setup S4 triggered on close of the previous session (unfortunately 7 occurrences only), the ES E-MINI S&P 500 closed lower the next session on 6 out of 7 occurrences.

Table II below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the intraday low, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the previous session’s close, and the close on those sessions where setup S5 had been triggered on close of the previous session.

It is interesting to note that – since 01/06/2001 and with respect to the then following session (in this event on Thursday, November 5) – the ES E-MINI S&P 500

• opened lower on 26 out of 38 occurrences,
• left an unfilled opening gap up on only one out of 38 occurrences,
• was trading higher (in comparison to the previous session’s close) at least +0.50% at the end of the first hour on only three out of 38 occurrences,
• managed a gain on the close of +0.75% or more on only three out of 38 occurrences, while losing -1.0% or more on 9 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance on the open and the first hour of Thursday’s session is at least slightly negative, which will probably apply to Thursday’s close as well .

A favorable short-term opportunity on the short side (if not already positioned likewise) would be provided in the event of any pre-opening strength and/or a higher open targeting some weakness during the first part of Thursday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing.

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.

Unfortunately I’m still suffering from the touch of the flu, so posting will still be light (but that doesn’t matter with respect to Wednesday’s session).

Tuesday’s session perfectly complied to historical probabilities and odds calling for some extensive weakness before the open (the ES E-MINI S&P 500 posted a pre-opening low of -1.44% on Tuesday’s GLOBEX session) and for a lower open as well (providing another profitable trade), see my posting Trading the Odds on Tuesday – November 3, 2009.

The commanding (bullish) setup with respect to Wednesday’s session will be the FOMC announcement at 02:15 PM EST. The market regularly shows a statistically significant, way above-average probability (and profit factor) for trading higher between the close of the session immediately preceding an FOMC announcement session until at least the start of the last hour of the FOMC announcement session (FOMC Meeting calendars, statements and minutes can be found here).

_________________________

The following setups (among others) were triggered on Tuesday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/01/1990) concerning the intraday high, the end of the first hour of the session in comparison to the previous session’s close, the start of the last hour in comparison to the end of the first hour of the session, the start of the last hour of the session in comparison to the previous session’s close, and the close on all FOMC announcement sessions (Scheduled Meetings only) since 01/01/1990.

It is interesting to note that – since 01/01/1990 and with respect to the then following FOMC announcement session (in this event on Wednesday, November 4) – the ES E-MINI S&P 500

• was trading lower at least -0.75% at the end of the first hour on only one out of the last 53 occurrences (not all occurrences listed), but up +1.0% or more on 7 out of the last 13 occurrences,
• was trading higher between the end of the first and the start of the last hour on 20 out of the last 23 occurrences,
• was trading above the previous session’s close at the start of the last hour on 21 out of the last 22 occurrences (thereof on the last 14),
• and finally closed higher on 9 out of the last 11 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ performance until the start of the last hour on Wednesday, November 4 is positive.

A (highly) favorable short-term opportunity on the long side (if not already positioned on the long side) would be provided in the event of any pre-opening weakness and/or a lower open targeting some extensive strength until at least the start of the last hour of Wednesday’s session.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mentioned in this post at time of writing (but long DAX German Aktien Index, short Volatility) .

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.

Unfortunately I’ve caught a touch of the flu, so posting will probably be light for a couple of days.

Monday’s session complied in (almost) every way to the positive historical probabilities and odds where the CBOE Volatility Index (VIX) had surged 20%+ on the previous session in the past, doing it’s job as an indicator for the next session’s probable outcome (almost) quite as well as the VIX did on Friday’s session (forecasting some serious weakness after the VIX had closed lower -11% on Thursday’s session), see my posting TRADING THE ODDS on Monday – November 2, 2009 .

Fortunately Monday’s pre-opening strength provided a favorable opportunity to close the long position entered into on Friday’s close ahead of the time (due to the fact that the ES E-MINI S&P 500 left an unfilled opening gap up > +0.50% only once), and a second opportunity for re-entering into a long position when the market showed the expected weakness when the ES E-MINI S&P 500 was trading approximately -0.75% below Friday’s close (see my Twitter Updates).

_________________________

The following setups (among others) were triggered on Monday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I below shows the ES E-MINI S&P 500’s intraday performance (since 01/06/2001) concerning the open, the end of the first hour of the session (in comparison to the previous session’s close), the close, the pre-open high (GLOBEX between 04:30 PM EST and 09:30 AM EST next day) and the pre-open low (GLOBEX between 04:30 PM EST and 09:30 AM EST next day), on those sessions (in this event Tuesday, November 3) immediately following a trading day where setup S1 or S2 had been triggered in the past.

It is interesting to note that – since 04/01/2009 and with respect to the then following session (in this event Tuesday, November 3) – the ES E-MINI S&P 500

• posted a pre-opening low on GLOBEX at least -1.0% below the previous session’s close on 16 out of the last 23 occurrences,
• opened lower on the last 9 occurrences,
• was trading below the previous session’s close at the end of the first hour on 9 out of the last 10 occurrences.

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular recent performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ open (!) and/or first hour of the session on Tuesday, November 3 is negative (I don’t have a bias with respect to the close).

A favorable short-term opportunity on the short side might be provided in the event of any pre-opening strength and/or a higher open targeting some follow-through of the last session’s weakness before the open or during the first hour of Tuesday’s session.

But going into the FOMC announcement session on Wednesday historical probabilities and odds favor the long side of the market beginning with Tuesday’s close until 02:15 PM EST on Wednesday.

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mantioned in this post at time of writing).

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.

Friday’s session complied in every way to (the heavily lopsided negative) historical probabilities and odds (even to the magnitude of change on the intraday low and on the close) where either the CBOE Volatility Index (VIX) had closed lower at least -11% on the previous session, or the ES E-MINI S&P 500 had posted a large white candle immediately following a large black candle  – with some significant weakness beneath the surface due to the relatively high number of stocks penetrating their previous session’s low despite the fact that the S&P 500 itself posted a significantly higher low – in the past ( see my posting Trading the Odds on Friday – October 30, 2009 ).

Market breadth was extremely lopsided on the downside, 20:1 negative for both Advancing / Declining Issues (0.04) and Advancing / Declining Volume (0.04) in S&P 500 stocks. It was the third out of the last 5 sessions where Advancing / Declining Volume in S&P 500 stocks closed below 0.15 (first occurrence since 01/01/1990). With Advancing / Declining Volume in S&P 500 stocks closing below 0.15 on two out of the last three sessions (16 occurrences since 01/01/1990), the ES E-MINI S&P 500 was always trading at a higher level (above the trigger’s day close) within the next three sessions (on 15 occurrences already within the next two sessions).

What had triggered a spot-on sell signal on Thursday’s close (in this event a VIX closing lower at least -20%) applies the other way around as well. The VIX closed higher +23.95% on Friday’s session, and with respect to historical occurrences this had been a reliable indication that downside potential on close of the then following session will probably be limited to say the least (see stats below).

_________________________

The following setups (among others) were triggered on Friday’s close:

* ) : -

( * the setup doesn’t provide a statistically significant edge on any side of the market)

Table I shows the ES E-MINI S&P 500 performance on the close (since 01/01/2000) on the next session (in this event Monday, November 2) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

All setups are agreeing concerning their positive outlook on the then following session, showing an above-average probability and significantly above-average profitability (average gain) for a higher close (over the course of) the next session(s). Not one of those setups shows an average (!) loss over the course of the then following five sessions. With setup S5 triggered on close of the previous session (unfortunately 20 occurrences only), the ES E-MINI S&P 500 never closed lower than -0.51% on the then following session (while the average winning trade on the close exceeds +2.00%).

Table II below shows the ES E-MINI S&P 500’s performance (since 01/01/1990) over the course of the then following five sessions. What will probably present a favorable opportunity on the long side with respect to the then following session (in this event Monday, November 2), might present a selling opportunity on close of the then following session. On only 3 out of 20 occurrences did the ES E-MINI S&P 500 post a close above the next session’s close two days later (in this event there is an historical 85% probability that the ES E-MINI S&P 500 will post a lower close on Tuesday’s session in comparison to whatever will be the close on Monday, although 20 occurrences since 01/01/1990 is a bit too low to read anything statistically relevant into it).

________________________________

Bottom line:

At least based on historical probabilities and odds and the market’s regular performance on the session after those setups listed above had been triggered on close of the previous trading day, the outlook concerning the ES E-MINI S&P 500′ close on Monday, November 2 is positive.

A favorable short-term opportunity on the long side might be provided in the event of any pre-opening weakness and/or a lower open targeting a significantly higher intraday high and probably a higher close as well. But due to the fact that volatility is (significantly) on the rise, and regularly there is some follow-through of the previous session’s weakness either before or during the first part of the then following session, I wouldn’t chase a higher open but wait for a quote at or aournd -0.75% below Friday’s close before I’d make any serious commitments on the long side (or increase my stake respectively; I’m already positioned on the long side).

Successful trading,
Frank

________________________________

Summary of potentially tradable edges for Monday – November 2, 2009

________________________________

If you might want to be instantly notified about what’s happening in the markets and at TRADING THE ODDS, I encourage you to subscribe to my RSS Feed or Email Feed, and (or) follow me on Twitter.

xx

Disclaimer: No positions in the securities mantioned in this post at time of writing (long DAX German Aktien Index).

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.