17/08/10

Pretty rare VWAP rule pattern was posted during the past monday session. After ES have slided below VWAP w/ new $tick session low, there was strong pullback. Moreover, after ES again started to shrink there was one more pullback to the upside. Only after that the market fell sharply, as the VWAP rule had called for.



Recent pattern indeed looks similar to its 31st march peer, w/ few differences.



Why did that monday's pattern appeared to be so ugly and pretty unusual in comparison to others VWAP rule occasion? The reason is volume. It has shrunk dramatically. Volume was at the lowest level during at least last five sessions and is staying now near quarters record lows.



That’s why correlation between stock indexes also fell dramatically.



Above you can see three futures charts of: S&P 500 (ES), Nasdaq Composite (NQ) and Russell 2000 (ER). From 20:04 Zurich time, when ES have posted lower high before VWAP breakout, to 21:13, after what it have started to rise considerably, it have lost only 0.6%. To compare, during the same period Russell lost 1.1% and Nasdaq some 0.8%. So it’s obvious, that on the back of low volume, there was huge support on ES near 1073.5pts, that bears had failed to breakout.

I was calling for more dramatic downside move after VWAP breakout and haven’t fixed near 1073.5. All at all, zero for the session.

11/08/10

The first trade of the past session was opened on fundamental reason. Yesterday the Fed have changed its monetary policy significantly from february's 2010 promises of pulling out financial aid and probable rate hike to support extension. Plus kind of preparation for larger scale moves to support US economy closer to the current year finish. ES already was sliding 2.5 percent but for me it was clear that during the day before stocks didn't react in full mode, that's why I was calling for downside continuation move. Internal were in favor of my digestion. As in the missle of the session ES refreshed its day low, I have decided to close the trade cause there was a possibility kind of pullback.

But I have not canceled my bearish contemplation. That's why when closing to the day finish ES was at the bring to make new session low, I ones again opened short position. Internals againg were in favor. As u can see below:



1) there was almost no $tick above +800 and 2 $ticks below -1.4k. Plus check out correlation between zero level and 20 EMA line;
2) strong downside trend on $vold chart.

ES indeed have slided as I have expected, but soon there was a pullback. I didn't expect it so I prefer to escape any possobility of the loss.

Nevertheless, after six minutes I have opened 3rd during the session short, ironically w/ open price equal w/ o/p of the 2nd position. The market again started to dip, but there was no free fall as I have expected (and indeed have occurred, but only after the closing bell). ES had some difficulties to go lower. Even more, swings were too dramatic and unclear, that's why I have decided to fix small profit. For the session plus 2.5%. I don't like this in a matter of fact, that after yesterdays Fed decision I have already been bearish on the market.

09/08/10

The long position was opened on:
1) financial sector - the weakest during the first session's hours - posted higher high;
2) $add was at the brink of higher high;
3) all the day $vold was trending higher;
4) Russell 2000 futures have already posted higher high unlike ES.

Was waiting for 1227 pts cross, that corresponds to be yesterday's overnight high, but the following issues were tending me to close the trade:
1) no financials and energies - the weakest - new interim higher highs;
2) inappropriate $add support of the ES recent move.
All at all, nice entry - nice exit.

06/08/10

OK, since now I'll forget about easy to reach take profit orders.

03/08/10

The market is loosing its momentum. Yesterday session's volume appeared to be one of the lowest during the current quarter. Useless to mention, volatility declined sharply w/ VIX near year's low. Nevertheless, have opened the position - short hour before the closing bell.

The reasons of the entry were:
1) energies and materials - the strongest and the weakest sectors during the session respectively - have posted lower low unlike ES;
2) $vold also have posted fresh session low;
3) plus $trin was at 1.5 at the moment of the entry.

Fixed as it was appeared, that leading internals - $add and $tick - were betting for continuing range mode - not decline. The trade was fixed by take profit order, placed near sessions pivot point level and day's previous lower lows.