04/17/2009 大盘回顾 （Expecting Increased Volatilities）

Cobra

	Trend	Momentum	Comments - Sample for using the trend table. Warning: This is NOT a trading recommendation!
Long-term	Down		Idea for trading intermediate-term under primary down trend.
Intermediate	Up	Overbought	Beware of $NYA50R which usually means a top.
Short-term	Up	Neutral to overbought	May need take profit if further up Monday.

Report Focused On	Buyable dip or the market topped?
Today’s Summary	Expect a pullback coming soon. Expect a range bounded market in the coming few weeks.

 

周五，CPC依然小于0.8，这样根据7.0.4 Extreme CPC Readings Watch，周一有65%的机会收绿，不过这次俺不sure，理由：

 

1. 2.8.0 CBOE Options Equity Put/Call Ratio，way too bullish，好像最近CPCE掉到红线以下，第二天都不是很愉快。

 

2. Telechart的T2103，Zweig Breadth Thrust，甭管是啥意思，单从图上看，这东东的超买还是很准的。

 

3. 2.4.4 NYSE McClellan Oscillator，超买，NYMO的超买也是很准的。注意Negative Divergence，句号。

 

4. 1.0.4 S&P 500 SPDRs (SPY 15 min)，周四的报告提过Bearish Rising Wedge，不过当时的Wedge还不没熟，现在呢，看着差不多了，plus a few negative divergences。

 

5. 1.0.2 S&P 500 SPDRs (SPY 60 min)，这个图看着真的非常Bearish，俺还是认为，短期的pullback，如果有的话，应该不会小。

 

综上所述，俺倾向于周一就开始回调，如果周一还涨得话，注意以上的条件，应该不会得到修正，这样，Turnaround Tuesday几乎是可以肯定了，所以建议是套利，至少不要chase high了，周一。

 

 

中期的情况，依然是overbought plus negative divergence，plus几个Weekly指标都到了可能要调整的位置了，因此俺认为在今后的几周内，market将在高位上下震荡，buy dip and sell bounce will be the game，而不是象过去的6周一样，是单边的buy dip。

 

2.8.2 Normalized CPCI:CPCE，CPCI涨得很快，要引起注意了，因为Index option不是俺们这些retail traders可以做的，所以CPCI如果和CPCE反差很大的话，表示fund manager们在对冲风险。既然现在到处都在欢呼bottom了，那fund manager们为啥还要这样做呢？当然，俺不是暗示顶部的到来，俺是说要注意风险，expecting increased volatilities in the coming few weeks。

 

0.0.3 SPX Intermediate-term Trading Signals。

 

SPX Breadth from www.sentimentrader.com。

 

Intermediate-term Indicator Score，www.sentimentrader.com主要的Intermediate-term trading model。

 

7.3.0 SPX Long-term Trading Signals，熊市的反弹（I wonder，还有人相信这是熊市的反弹吗？），MA200往往是Target，现在呢，NYAD已经率先测试MA200了。

 

1.0.0 S&P 500 Large Cap Index (Weekly)，STO的位置，既使在牛市也不多见。

 

2.0.1 Volatility Index (Weekly)，STO的位置，过去几次都是大盘的顶部附近。

 

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1# Cobra


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BTW,retail guys can play index options as well (though dominated by institutional players). The advantage of index options (e.g. SPX)
1) Most liquid options. Bid-offer look wide but you just need to bid at mid+0.1/0.2  
2) Lower commissions, since 1 SPX option contract = 10 SPY option contracts, 1 NDX contract = 40 QQQQ contracts, lower commission because of lower number of contracts needed for same position
3) Tax. Counted as regulated futures (1256 contracts), 40% long term gain, 60% short-term gain,

Difference: very subtle difference it is european (dont exercise, just sell), cash-settled, trade up to 4:15 instead of 4PM. Beware that these options expire Friday morning cash settled (so usually better sell it on Thursday), the SPY/IWMs expire Friday afternoon like regular options