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The S&P 1,150 Strange Attractor
Why we are likely hours away from S&P 1,150: Commentary from RBS Derivatives (alternatively, just more book pushing by the Scottish bank which has about 4 traders left):
SPX 1150 calls has 65k of open interest - majority of these bought were by customers at end of 2009/early 2010. Total of ~$7.5 bln in notional exposure at that strike. If street is short (sounds like they are), it translates to roughly $200mln in index futures to buy for every $1 move in the futures, and it accelerates as futures move higher. With expiration for SPX coming Friday Morning, 1150 line is going to act like a magnet as the closer we get, the more broker-dealers are going to have to buy. All sets us up for a potential rip thru that level should SPX cash test it.
Then again forced short covering is what has kept on driving this market for months. Perhaps the earlier ES surge was meant to spook and incite a major episode of short covering. So far, it is succeeding. It's not like anyone gives a rat's ass about fundamentals in a bubble.
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That... and strong fundamentals in an obvious recovery.
Not to mention the overall 10-20% EPS beat already baked in Q4... and the roll-off of last years abysmal Q4.
But, also the options-strike, technical thingy.
lolwut?
Whatever you're smoking, I strongly encourage you to stop smoking it.
Charles Schultze to Ali G: "Don't be high when you're buying and selling"
Every day the market recovers. Even when things go terribly bad, the market heads up. Sometimes it tanks at the start, but then closes up stong. Does this remind you of anything?
Think back to Feb and March 2009. The exact opposite was going on.
I think this run has a few more weeks to go. Look for a strong positive move, probably to above 1200. All stocks will jump, charts will all be pointing higher. This will be the apex, this will be the tell. This will be the top, and then we fall fast. Mark my words
I'm not doing anything until all the "better than expected" earnings come out. March is the month to watch like a hawk.
and once better than expected earnings come out - what will you do?
Only four traders left as the Fed has hired them away!
who will e right on jpm
M whinty or the street?
$2.00 t0 $4.00
is it just me, or was there a time when a major natural disaster somewhere in the world would tend to cause a selloff of some sort in our markets as well?
I think for that to apply, the disaster has to affect people who have money, holdings of some sort of securities outside their own country, and/or some active participation in the global economy.
Add another $1.4 billion in notational exposure for the SPY at the $115 strike. About 125,000 open interest on the January calls there. I think we close slightly below it ($114.98) so the calls don't get exercised. Atleast that's how it happens usually every month.
When Bernanke's reappointment passes the Senate and Obama gets his health bill - in the next couple of weeks - then stocks will start dropping. It will keep dropping until probably mid summer - just like in 2002. It could get crushed to around 700 but probably won't go below 900. There will be more stimulus from the Congress and FED to delay the inevitable.
Good point -- I forgot to consider ambitious unilateral Fed manipulation until Bernanke were re-appointed.
So you don't think the Fed's obvious juicing of the S&P futes will keep working? Look at today--no fracking volume all day except for the huge (I mean HUGE) spike just after noon eastern time. Can anyone explain that other than an intervention?
Sorry, that was 11:05, I'm in Central time zone and I thought my charts were, too.
This is probably the most accurate way to predict market movements on expiration week.
Every month I read "They're gonna dump this pig of a market right after op-ex". If only.
If a dump is to happen it'll be right *before* expiration to catch most people with pants down.
another crap volume day on spx.
i always love it when people say "look out for vols when traders come back from holiday, vacation, birthdays, sick day, etc"
Do not short this market until the government runs out of trees...
At this point, I'd almost prefer a ban on short-selling. As it is now, people get short on the basis that at some point the market has to go down. Well, if the game is rigged and it can't go down, that's kind of a "tax" on short-sellers only and one that everyone would avoid if they knew that shorting would not work. The government (assuming for the moment that they are behind the buying) is punishing one set of market participants and not letting those participants know in advance that they are going to be punished.
The only argument to that is that it's actually a "tax" on stupidity because if you're still trying to short, you are just stupid.
"The only argument to that is that it's actually a "tax" on stupidity because if you're still trying to short, you are just stupid."
I had reached this conclusion over the summer of 2008 and only had a token short position on when September hit. In retrospect, those with a heavy short position this month are wrong but anyone closely following the economy knows we're extremely close.
Given that it is all digital money don't you mean electrons
Sounds like the couple of billions on SPX=1000 in Mar that somebody mentioned. That has played the same role in propping up the market.
Could this all is going to end up either with the U.S. formally bankrupt or the military formally intervening? Or both?
who bought 228k in futures @ 1136 today around 11:05? squeezing?
Some of that open interest in 1150 calls is volatility arbitrage between s&p cash options at the CBOE and the s&p futures options at the CME. firms will trade small differences in implied volatilites for a given month/strike at each exchange all the time.
yep...1150.00, then 1200.00.