Without having much time to post here, today is showing a somewhat unique set of criteria that while infrequent, has on average shown a pretty big short term skew to the upside.
Interestingly the VIX was down about 2% today, while SPY was down 1.5% and closed below the bollinger band and near a 52 week low.
From what I am looking at, it appears more probable for stocks to gap UP tomorrow, and possibly run up from there, BUT if a gap down does occur, the past comparable instances show about a 2/3 chance of closing above the open and with a strong expected value and about 2:1 MAX gain to MAX loss after the open.
Looking at the intra-trade volatility, it appears that using a 3.75% stop loss could be used as a protective measure for a major wipeout move like January or October 2008.
I think there is some risk of that occurring immediately, but I think the odds are a good bit higher for some rebound for 1-2 weeks.
The February low was broken in SPY, DIA, IWM, NYSE but not in the QQQ.
These breaks of lows can be times of capitulation, and so it fits from a charting standpoint that a rebound could occur.
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