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 />
peak

 

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 />
Hopscotch

 


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