Wednesday, October 29, 2008

Last Hour

No sooner than I was done kicking myself for not getting long the greatest last hour rally (Tuesday 10/28 2pm cst) than we had the biggest last hour head fake (Wednesday 10/29 2pm cst).  I left the office Tuesday angry I did not "make more."  Wednesday afternoon's action showed me why Tuesday afternoon was not my pitch.  And there have been plenty of pitches to look at and swing at lately.  Which brings me to some data I have been following...

At Trading RM we have several propietary oscillators.  I particularly track one that compares the S&P daily range to NYSE volume and another that compares the # of 5 and 10 point S&P moves to NYSE volume.  The high mark in my oscillators were obviously mid September and Mid October.  In both situations NYSE volume spiked ahead of the daily ranges and the intra day moves.  

This week I have seen the daily range of the S&P begin to spike again along with the intraday S&P point moves. However NYSE volume is somewhat flat lined.  I know many traders look for a revisit to a stock/index level on less volume to fade the move.  I am not exactly sure what my data tells me, but I will continue to watch if expanded daily ranges and point oscillation is met with increased volume or static volume.  

In the below chart the green line is the 5 day NYSE volume moving average.  The pink and green lines are moving averages of the S&P daily range.  Again... I will watch to see if expanded ranges (crazy last hour moves) are met with increased volume or not. 

On a side note, this is the CNBC quote of the week, compliments of Mark Haines: "If you can't handle the truth get out of the kitchen."  ????