Feb

13

1. It is remarkable to have a streak of 30 consecutive days go by in the SPU's without a move down of 1/2% or so broken like it was on Friday. The way it was broken with an up from open to close after a down open of 1%, yet down on the day is equally remarkable. It shows to me that the recent spate of 15 days with a vix below 20%, and volume below 2 million contracts is causing strains in the underpinning of the market, as there's not enough happening to cause the public to lose as much as it should to keep the wheels of commerce going (although less would seem to be required when the market goes up 15% without a single down day of consequence). It also shows the infinite creativity of the market. One notes also that this is the longest stretch of daily S&P moves without a decline of 0.5% going back at least 15 years.

2. How many times does the market mistress pull out of the hat "Greek Deal Falling Apart" one day and cause massive public selling and then the next– "Greece Parliament Approves Austerity Plan". It's happened about 10 times, and countless billions by the public has been lost. You'd think that the same old overreaction to bad news gambit would not work so many times in a row, but …. we're close to a 50, and I guess anything goes until we get there.

Gary Rogan writes:

I could never figure out why the market (as opposed to some of the participants) is interested in keeping the wheels of commerce turning. It the wheels are not turning, someone other than the public is losing more than their "fair share" to use O's favorite expression, but how does that translate into a market counter-reaction?

Vince Fulco writes:

I am waiting for the deliciously ironic day when our President points to ”the markets” as evidence his policies are working. I still haven't heard the Fed's announcement of their estimate of SP fair value as they like the market up, up, up and are releasing so many other targets. Let's call a spade a spade…


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5 Comments so far

  1. Emmett Moore on February 14, 2012 12:47 am

    Talk about small sample size.

  2. vic on February 14, 2012 12:24 pm

    Yes, Mr. Moore what do youosuggest one do about such a thing that hasnt happened perhaps in last 30 years. A descriptive thing seems apt. and what I wrote about the scans a week ago has a reasonable number of obs, I think.vic

  3. Sam on February 14, 2012 6:57 pm

    Looking at SPY, which will differ slightly from SP futures, only three down-half% days this year, inclusive of Friday -

    SPY PctChg DnYN
    2012-01-03 127.50 1.594 0
    2012-01-04 127.70 0.157 0
    2012-01-05 128.04 0.266 0
    2012-01-06 127.71 -0.258 0
    2012-01-09 128.02 0.243 0
    2012-01-10 129.13 0.867 0
    2012-01-11 129.20 0.054 0
    2012-01-12 129.51 0.240 0
    2012-01-13 128.84 -0.517 1
    2012-01-17 129.34 0.388 0
    2012-01-18 130.77 1.106 0
    2012-01-19 131.46 0.528 0
    2012-01-20 131.95 0.373 0
    2012-01-23 131.61 -0.258 0
    2012-01-24 131.46 -0.114 0
    2012-01-25 132.56 0.837 0
    2012-01-26 131.88 -0.513 1
    2012-01-27 131.82 -0.045 0
    2012-01-30 131.37 -0.341 0
    2012-01-31 131.32 -0.038 0
    2012-02-01 132.47 0.876 0
    2012-02-02 132.68 0.159 0
    2012-02-03 134.54 1.402 0
    2012-02-06 134.45 -0.067 0
    2012-02-07 134.79 0.253 0
    2012-02-08 135.19 0.297 0
    2012-02-09 135.36 0.126 0
    2012-02-10 134.36 -0.739 1
    2012-02-13 135.36 0.744 0

  4. vic on February 15, 2012 1:21 am

    Sam, we’re both rite as Sholem Alechem would say.and as you know, i dont use % because they’re highly misleading especially with adjustments, and a loss is a loss of 5 which I used anyway which did occur once only, and nary for the last 16 or 30 years or so, albeit I could see using % when you get bak to the early 80’s. vic

  5. Sam on February 20, 2012 2:48 pm

    In that spirit, using the publicly-available TradingBlox ES futures dataset for purposes of replicability, I get these observations of waits of 20 days or longer between declines of more than 5 literal ES points,

    1996 02 14 25
    1996 10 22 33
    1996 12 03 27
    1997 06 23 25
    1998 02 24 22
    1998 04 06 22
    2004 01 09 21
    2005 11 28 21
    2006 10 27 26
    2009 08 06 21
    2010 04 07 30
    2011 01 19 34
    2012 02 10 30

    It’s likely TradingBlox handles rollovers differently than in the original reference study, and there may be quirks with holidays & etc, but at first glance there was a similarly long dry spell in Dec10/Jan11, and before that in Feb10-Apr10. Remarkably, though, no wait of >30 for the ~15 years ending in 2010.

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