Dec

1

A VAs the S&P begins its advance off of the decade lows, we find a telling indicator in daily Open Interest breakdown. We just completed five straight up-sessions, beginning with the 11/21 Fri bounce from the 739 low: O.I. in bigSP and E-mini were little changed. On 11/24, a powerful up-day: O.I. in bigSP was up big, E-mini's down. 11/25 up-tick: bigSP O.I. up, E-mini down. 11/26 big up-day: but bigSP O.I. slightly down, E-mini's down. 11/28 up-tick: bigSP O.I. down, E-mini's up.

So, the observation of this five-day bounce showed that bigSP players correctly went Long early-on and then basically aborted up-higher; while E-mini players did the opposite!


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