Wednesday, September 12, 2007

Rally stalls


Oil was the news today, along with umpteen prognostications on what effect the FOMC meeting will have on the markets. Vix and More profiles an interesting little study on VIX behavior pre and post FOMC that's worth a look. I took the Qs data and looked at FOMC meetings back to Feb 2005 to see if there was any confirmation. The results were statistically insignificant. Tomorrow I'll run the same test on the SPY to see if there's any correlation.
The Qs finished just pennies off the open after a relatively low volatility day. We are currently mid-signal with no clear direction.
The VIX had a 7% range day and finished 1.01 below the open.
Neither the TICK nor the NYAD showed much enthusiasm today, so it was difficult to find good trading candidates. Today was also curious in that the VIX was down, along with the IWM, $DJII, $SPX and $COMPX (not expected), while the Qs, the DIA and the SPY were all UP.
I welcome any thoughts on explaining this market-wide divergence.

1 comment:

Cucca said...

Stocktiming.com tried to come up with an explanation for it here:
http://www.stocktiming.com/Thursday-DailyMarketUpdate.htm , not very convincing, my own thoughts are that the VIX is moving in the same direction with the market, at times, as I believe the big boys are hedging their positions just in case, IE the market goes up, they hedge a little more, whad ever.