Friday, February 26, 2010

Checking Close Imbalances

One of the nice features of the Schwab SSPro platform is the dynamic news window that automatically reports the daily NYSE order imbalances at 15:40 and then again at 15:50. Traders who've looked at these numbers probably also know that a few prop shops (like Bright Bros) make a good portion of their daily bread by trading these imbalances in the name of providing liquidity. Most of these imbalances are effectively untradeable by the average retail trader due to the small margins, but occasionally the skew is sooo large that it behoves a quick scalp.
Such was the case with Thursday's BAC imbalance. At 15:40 the BAC imbalance was 16.5 M and 10 minutes later that number had only been shaved by 600K shares. The implication was clearly bullish at both the 15:40 initial report and the subsequent 15:50 update. This setup is as close to a free lunch as it gets but you have to deploy significant capital to make it pay off. Entering BAC at 15:40 and exiting at the close would have yielded .14 . . not a lot, but very low risk.
VIXEN traders should have caught the clear VIX cross at 13:45 ($ 16.15) and ridden BAC to the close for a more productive .39 gain.
Note those closing volume bars. BAC actually traded 17.7M shares in the last 2 minutes.
Also note the continually upslope mid panel SMAs and the price position on the double 8s channel . . all very bullish.

2 comments:

Shirley said...

Hi bzbtrader,

This is a great tip. I'll test it out today.

Scalping is my trademark, as a day trader.

Thanks for your continuous helpful trading hints.

Shirley

Shirley said...

Hi bzbtrader,

I'll comment here.

Only now I am seeing where my comment went: straight to your blog. Great stuff.

Today, I want to profusely thank you for bringing the $VIX to my attention. After using it for months, it finally has made its mark as an indicator. It took time to learn its usage.

Thanks so much.

Hoping that your trading is going well, thanks for sharing.

Have a nice weekend.

Shirley