Expiry, Rebalancing, Summer Friday
By Barry Ritholtz - June 18th, 2010, 6:39AM
We have lots of things going on in the market today — do not be surprised to see some odd trading:
• Its the end of the quarter, so we have Quadruple Expiration: Options, Futures, Indices, etc.
• Russell 2000 rebalancing will be impacting lots of the smaller names
• FIFA World Cup today features the US vs Slovenia at 10am; Pebble Beach the rest of the day (PGA video)
• Summer Friday — rookies manning the terminals!
Looks to be a squelchy day — watch for the volume fade, especially after lunch . . .
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June 18th, 2010 at 7:15 am
Muchos gracias!
June 18th, 2010 at 7:35 am
Thursday’s trading appears reminiscent of a typical summer session, with choppy price action and light volume. Although most of the major market indices registered fractional gains, market internals suggested a more mixed picture.
Up Volume represented only about 34% of total Up/Down Volume on the NYSE, but about 55% on the NASDAQ. Measures of market breadth were also mixed, with Advancing Issues edging out Declining Issues on the NASDAQ, while the NYSE showed the opposite — slightly more Declines than Advances. Overall NYSE volume at 4.7 billion shares continued a recent trend of being on the light side, below the 6.3 billion 30-day average and about 8% below Wednesday’s volume. NASDAQ Volume decreased about 7% from Wednesday’s trading and at 1.75 billion shares was also below its 30-day average of 2.6 billion shares.
The bottom line is, while short-term conditions indicate a period of consolidation or pullback may be nearing, our measures of Supply and Demand suggest a sustainable bottom is in place. While we prefer to see volume expand on a more vigorous basis and confirm the direction of the underlying trend, the overall probabilities provided by our Buying Power and Selling Pressure Indexes are still reflecting improving conditions.
June 18th, 2010 at 8:07 am
You forgot HFT shenanigans. While they like to bias the markets upwards on low volume days, you can’t count out the possibility of a grey swan event (not common but not unusual) where we have a big assed move in the markets for no particular reason or another giant rise on an accumulation of bad news.
June 18th, 2010 at 8:13 am
F.P. Powell Says:
June 18th, 2010 at 7:35 am
Thursday’s trading appears reminiscent of a typical summer session, with choppy price action and light volume. Although most of the major market indices registered fractional gains, market internals suggested a more mixed picture. …..
reply:
———–
Before HFT became 70% of the daily volume, you would have a point and you opinion would help make the market a market. Now, it’s just a little quaint. HFT and programmers and quants just look for new angles to exploit. Fundamentals don’t matter and very special technical levels are just trigger points for programs to react to in whatever way the quants feel lucky about … i.e. can they fool someone into jumping in and playing their game?
June 18th, 2010 at 8:24 am
barry – Russell Reconstitution is not today – it’s next week. The S&P 500 quarterly rebal is today on the close, though
June 18th, 2010 at 11:24 am
“How they will be able to digest these losses, whether it will lead to annihilation of the company itself, to its break up, this is a feasibility issue,” Medvedev said of BP. “We would like, speaking frankly, the interests of Russian investors that created a joint business with BP [in TNK-BP] to somehow be ensured.”
-Dmitry Medvedev
http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aHplQFUiZo0E