Daily Fib chart Briefing

Very similar sell-off.

10-26: 1st leg down 3days 26pt, -2.4%

then up 1day 21 pt, 2%

2nd leg down 4days 54 pnts -4.9%

then up 1day 25pts, 2.4%

3rd leg down 2 days 37 pnts, 3.5%

total down 9days, 72pnts, -6.5%

2007: 1st leg down 5days -70 points or -4.8%
then up 26 points, or 1.8% from low
2nd leg down 3 days -42 points or -3%
then 5 days bounce 36 points or 2.6%

3rd leg down 2day 45pt -3.2%

total 15day down 96pts, -6.6%

2004: 1st leg 4days -56 points or -4.9%

then monday up 15 points or 1.4% from low

2nd leg down 17pt -1.5%

then up 2days 24pt 2.2%

3rd leg down 5days 39 pt, -3.6%

total 13 days down 76pt, -6.5%

2010: 1st leg down 3 days -60 points or -5.2%

If bounce off Monday (looking for 15-20 points from low, 1.5~1.8%), sell every thing!

ES close at 1141.5. Both daily AL and intraday AL target were hit. ES also hit the up line of a likely 5th-wave end-diagonal wedge, and two other bigger wedge TLs. Needless to say, there is a huge resistance here . Indicator wise, STO stays above 80 for 5 days now, and negative divergences are every where.

On Sunday night, watch for any pullback to initiate a gap fill trade. If market pulls back to 1136-37, watch closely for buying activity.

On Monday morning, if market couldn't hold above 1136-1137 due to lacking of buying activity, this bull run is done for certain, as breaking this levels also marks the break down of the end-diagonal channel.

Watch DoubleMA signal for initiate spy option trade.

http://tradeflight.com/

2009 ES Gap Fill Summary

January 5th, 2010 • Futures • Comments Off

Many traders regard the gap fill on the E-mini S&P 500 futures contract (designated on many trading platforms by ticker symbol root ES) as one of the highest probability trades each trading day.

Well, let’s see if the statistics held true in 2009. The gap fill is defined by price action that touches or breaks through the closing price of the previous trading day.

Since many traders regard the 4:00PM Eastern Time close as the gap to be filled, we’ll use the 4:00PM closing time for our analysis. Many trading platforms show the ES closing prices based on the 4:15PM session close, so custom tweaks are required to show the previous trading day’s 4:00PM closing price.

In this analysis, we track the number of trading days the ES filled its gap, or at least touched the 4:00 closing price from the previous trading day. We also observe the hourly time slot the ES first fills its gap on gap fill days.

Traders often regard the half gap fill as an even higher probability trade. The half gap is defined as half the distance between the opening price at 9:30AM Eastern Time and the previous trading day’s 4:00PM closing price.

No surprise here: Further analysis of the ES reveals that the half gap fill was truly a higher probability trade in 2009.

IMPORTANT DISCLAIMERS
Of course, past performance and 2009 statistics are no guarantee for future results. And, 60-80% probabilities do not necessarily reflect optimal trade entry and exit execution points. Finally, not every trading day affords a gap fill or half gap fill that is worth taking. Traders must ask themselves whether the remaining distance to the gap or half gap is worth the risk:reward ratio involved from the point of entry and stop loss levels. Often, ES gap fill trade setups occur in premarket globex trading hours, before the 9:30AM opening bell. Trades always require discretion and should never be placed blindly. However, astute traders keep these things in mind as they observe what many regard as one of the highest probability ES trades.

FUTURE ANALYSIS
We can continue our study of ES gap fills by considering 4:15PM closing prices, the average number of points for trades placed precisely at 9:30AM market open, option expiration day Fridays, etc. Perhaps we’ll revisit a few of these in the near future.

Market indicators summary 1/6/10

Vix,vix/vnx: oversold, vix/vnx turnup
US$/Euro: oversold, little room for down
TLT: oversold
GLD: oversold/turnup
NYSI: up
NYMO: peak
NYAD:
NYHL: peak

EW:

Fib tgt: 1136/1138

Market indicators summary 1/5/10

Vix,vix/vnx: little room to go down
US$/Euro: still has some room to go down
TLT: oversold
GLD: oversold/tick up
NYSI: up
NYMO: up
NYAD: peaked
NYHL: overbought

EW: