The SPY posed an interesting question yesterday initially, later in the day I figured I might have a reason for an out of place divergence, but one that would be very influential in analysis. Today the idea I had about it seems to be on its way to being confirmed.
The other averages for the most part are still looking very much like a pin is in effect, but there's also deterioration and I'll show you that next.
There's also deterioration in AAPL, although I suspect it will close somewhere in the area on an options pin, I need to look at the chain.
Also the Risk Asset Layout is seeing deterioration today as well. There are lot of things in motion with quadruple witching/S&P Index rebalancing and all of the derivative rebalancing that is associated, so lots of moving parts so everything has to be put in its context, but all in all there seems to be some good data.
Lets tale a look at the SPY and the question of the 15 min chart from the open yesterday.
Since yesterday afternoon's intraday high, 1 min 3C has been negatively divergent. Currently on an intraday basis there's a relative positive divergence here (this is the weakest divergence) and to me suggests that the SPY is likely being modestly tweaked here and there to keep it within a range for an options expiration pin.
The 2 min chart saw a negative divergence on the 19th as prices fell, the gap was filled, but by that time the 2 min chart was already negative and that was the top. The chart now is in leading negative position, a new low for 3C in the area with a slight relative positive divergence which is the same as the 1 min chart above.
3 min chart also negative at the 19th, price down on the 20th, the same negative divergence at yesterday's highs and gap fill with a new leading negative divergence today like the 2 min chart, also a small relative positive intraday like the 1 and 2 min charts.
Here's where the initial question was yesterday and pretty important too on this timeframe. The afternoon highs on the 19th were negative, price fell on the 20th and immediately created what looked like a strong 15 min positive divergence on the open, that would suggest there had been strong accumulation of the gap down, however I later posted (which was just common sense) that the 15 min chart between the 4 pm close of the 19th and the 10 am lows of the 20th had absolutely no time to move to any position that wouldn't have shown a positive divergence, In fact if you look at 3C on that morning, it had only 4 bars to move and it only can move a fixed amount per bar, each of the 4 bars moved down before the chart simply followed price. The divergence on the 18th was real, it did have the time to form and price did respond to it.
I haven't been looking at much data pre-QE3 announcement as I want to see the specific reaction to the QE3 announcement, although it very well may be valid to include data before the announcement as QE3 very well could have been discounted and as such the data would be not only relevant, but very important. In that context, the question of the 15 min chart is easy to answer, it's leading negative.
However, staying with the post QE3 data, there's something interesting on the 15 min chart as it has had time to move today. If you draw an imaginary line from price point A to price point B you get an upward sloping trend line, however if you look at 3C it is below point 3C at point A yesterday, in fact for simple trend confirmation with no bullish or bearish bias, 3C would be where the first orange arrow is. if there were positive underlying action, then it might even be higher like the second orange arrow, perhaps leading to a new high on the price pullback, instead it's actually leading to a lower low as price is higher, the definition of a negative divergence.
I'll keep an eye out for development, I want to bring you the rest of the market and Risk Assets.
No comments:
Post a Comment