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9:54:58 ES Tick Hopscotch & Mid-day Market Internals

Chopshop's picture


Technician's Corner

As S&P 500 futures gently probe the other side of 1070, a look under the hood at [1] how far US equity indices have fallen from their recent peak, [2] mid-day market internals and [3] an egregious intra-second iteration of HFT-induced stop-hunting (i.e. electronic rape).


Percent Change of the DJIA, S&P 500 & NASDAQ since their recent peak


Percent Change since<br />


Market Internals - UVOL / DVOL, NYSE Tick, VOLD, VIX, ADD

Fugly but nowhere near extremes.


Market Internals


Minute-by-minute Advance-Decline Lines of each US Equity Market

At mid-day, DJIA shows 100% decliners, S&P and NDX-100 94%, R2K 86%, NASDAQ 70%, NYSE 64%, AMEX 46%.


Advance-Decline Lines


S&P 500 E-mini (ESU10)  - 1 minute

Yellow ~ proprietary ZMA, Red ~ 50 EMA, Cyan ~ 13 EMA


ESU10 - 1 minute


@ES 30-minute

Fibo EMA pinball within 1070 - 1100 range.


@ES 30 minute


S&P 500 cash - Daily

Hovering within the 50 - 76.8 % retracement zone.


S&P 500 cash - daily


9:54:58 ES Tick Hopscotch

From 1079.25 to 1077.75 on a single tick.  Laughable.


9:54:58 Tick Hopscotch


9:54:58 ES Tick Hopscotch II

From 1079.25 to 1076.75 and back to 1078.00 within a single second.

And about as legit as an online poker algo.

Unprecedented?  Nope.

Utterly egregious electronic stop-hunting?  Yup.


9:54:58 Tick<br />


Disclosure: no position at the time of publication.  During any given session we may trade any instrument bi-directionally.


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Fri, 07/16/2010 - 15:07 | 474149 Grand Supercycle
Grand Supercycle's picture


This current down leg will continue into next week.


Fri, 07/16/2010 - 15:06 | 474143 Robslob
Robslob's picture

I thought they used ALL those yesterday?

Fri, 07/16/2010 - 14:51 | 474101 wiskeyrunner
wiskeyrunner's picture

Hum let me think what trick will the crooks play today in the last 20 minutes, hummmmmm. I'm sure CNBC will have some breaking rumor or some freaking lie to cause a run off the lows.

Fri, 07/16/2010 - 14:04 | 473952 TaggartGalt
TaggartGalt's picture

What data feed are you using dude?  The Time & Sales data looks as if its been consolidated.

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