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VWAP reversion in T minus 5...4...3...
Since the US Treasury reads this site, can I make a request? Before China pulls the plug fairly soon, can you run FAZ down to $5? I am asking because my extended family is very very long banking stocks and I am thinking this is the easiest way for them to make an embarassing amount of money.
Hey, find your own material, alright? ;-)
Looks like TD had this a half hour over the other site...
Unless this post is just irony, in which case all is good!
It would be ironic if this tops at 999 after a low of 666. I have a you Tube video of Biggs throwing out the 666 devil low number well before we bottomed earlier this year so maybe they have it pre programed in at 999. A nice clean 50 % retrace. CNBS has declared the recession over and 3 to 4 % GDP growth forever and ever and ever. This is foulking nuts.
At risk of exposing my ignorance, is there a tutorial or backgrounder on VWAP somewhere?
Why does my husband like to read this stuff on his day off? I mean really....
Honey, is that you?
how about quickly explaining why these vwap reversion charts (or vwap ending up being the closing price) show it's all algo traders ... thanks !
Just by virtue of pure mathematics...the asset price and VWAP will ALWAYS converge towards the end of the day, this is because of the smile-shaped intraday volume pattern (open= heavy, midday=light, close=heavy), which means that the marginal weight of incremental volume printed decreases from morning to midday but then increases again towards the close.
Just run the numbers and you'll see.
(VWAP stands for Volume Weighted Average Price and is simple that.)
You're a turkey that doesn't look at charts. Thats no convergence...
sorry #20634 - that is incorrect - run the numbers and you will see - look at yesterday! SPY VWAP ws 99.24 at the close, SPY closed at 98.67, average price for yesterday (not volume weighted) was 99.37ish - big difference between VWAP and average and close...hence th flush up to yesterday's VWAP close this morning and then sell-off as traders exited their VWAP-based losses from the close yesterday...not being a bitch, just pointing out some facts.
you make a good point...I should amend my comment stating that
1) the effect i'm referring to is subtle
2) it manifests itself 'on average'
3) it is starting to be overwhelmed by increased volatility in the closing period as 'price discovery' shifts towards the end of the day
happy to chat more about this...i look at a lot of data on this and am interested in your views
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