In the meantime the 2s10s has left the building.
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Showing posts with label VWAP. Show all posts
Showing posts with label VWAP. Show all posts
Friday, July 17, 2009
Inflation And VWAP Rule
VWAP algos back to ruling the day.
In the meantime the 2s10s has left the building.
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In the meantime the 2s10s has left the building.
Thursday, June 18, 2009
VWAP Reversion Programs Win The Day
The 4 or 5 computers that were trading with each other today all executed perfectly according to the "regress to VWAP" program. If you were a human (presumably, since only a few East Setauket machines do serious OCRing here), and you thought you had any edge trading this market, you were a fool. Play again though, and better luck tomorrow.
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Friday, May 22, 2009
Parallel SPY Channels
And, as always, the VWAP is the low intraday bound.
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Thursday, April 9, 2009
Putting The Low Volume Rally In Context
Zero Hedge has previously discussed the aberration effects of daily gaps (up and down) as well as trading volume on the true state of market fair value indications. We present some VWAP (Volume-Weighted Average Price) data for our readers based on SPY index price and volume levels. We end up with some interesting conclusions.
The SPY is currently trading at a price of 84.77 (10x less than the S&P500 it tracks). Curiously, since the 3/06 lows in SPY, the VWAP is $78.21, or an implied correlation to roughly 782 in the S&P500. The VWAP number is around 2 standard deviations from its average, after hitting a a high of 12 standard deviations in the time chart. The VWAP is hardly rising at an aggressive level but is still positively trending – volumes are dwindling clearly, yet the market keep trading higher on lower and lower volumes.
In more recent data, the daily (rolling) VWAP is around $83.11 which is way lower relative to the recent VWAP data and shows the opening gap exaggeration relative to real price volume action. The chart below shows just how out of line with the VWAP and VWAP volatility the current day’s price action is.
On a dollar relative value basis, the VWAP for the SPY is $14.26 from March 6 lows:
Looking at the culprit of today's shennanigans, WFC had a $15.57 VWAP in the current week, and today's VWAP and the price have actually converged, as the actual price has dropped.
Lastly, for absolute value purists, we show that as a result of today's financial frenzy, the current bear market rally has just hit a 27.6% retracement, making it the biggest one since the down turn began: resistance or new support?
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The SPY is currently trading at a price of 84.77 (10x less than the S&P500 it tracks). Curiously, since the 3/06 lows in SPY, the VWAP is $78.21, or an implied correlation to roughly 782 in the S&P500. The VWAP number is around 2 standard deviations from its average, after hitting a a high of 12 standard deviations in the time chart. The VWAP is hardly rising at an aggressive level but is still positively trending – volumes are dwindling clearly, yet the market keep trading higher on lower and lower volumes.
In more recent data, the daily (rolling) VWAP is around $83.11 which is way lower relative to the recent VWAP data and shows the opening gap exaggeration relative to real price volume action. The chart below shows just how out of line with the VWAP and VWAP volatility the current day’s price action is.
On a dollar relative value basis, the VWAP for the SPY is $14.26 from March 6 lows:
Looking at the culprit of today's shennanigans, WFC had a $15.57 VWAP in the current week, and today's VWAP and the price have actually converged, as the actual price has dropped.
Lastly, for absolute value purists, we show that as a result of today's financial frenzy, the current bear market rally has just hit a 27.6% retracement, making it the biggest one since the down turn began: resistance or new support?
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