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Volumeless Levitation Sends Market To Closing High As VWAP Unchanged On The Day

Tyler Durden's picture





 

With volume in S&P futures more than 20% below average, the afternoon's rumor-mill managed to juice stocks to overnight highs, well ahead of credit once again and more than two standard deviations above the day's VWAP. Interestingly, today's VWAP and Friday's VWAP were within 1 S&P point, rather coincidental given the 2% swings from high to low to high during the day.

Notably we shifted from almost 2 standard deviations below VWAP at today's lows to over 2 standard deviations at the close - though notably little real auctioning shifts happened - as the solid dark blue line shows - with peak volume trading flat from mid-morning. The dark red line is the volume-weighted average price (VWAP) for today's action (and the dashed dark red horizontal line is the VWAP for Friday). The fact that heaviest transaction volume occurred at VWAP today and that is very close to Friday's VWAP suggests that so-called Mutual Fund Monday (inflows) were not really active.

ES managed once again to handily outperform as buyers appeared into the rumpr this afternoon - with HY credit remaining notably cheap to stocks, we should be seeing it outperform if risk appetite was really back. We also note the exact same behavior on Friday that reverted dramatically overnight.

Gold and Silver followed each other tick for tick and the former almost touched $1800 into the close as the USD leaked lower on the day.

For some balance, it is worth noting that broad risk markets were not as weak as ES during the day which likely meant that correlations were implicitly dragging stocks to the upside for much of the day (imply bias to buying from the algos). The CONTEXT model shows that ES tended not to drag broad risk lower and by the close we had reverted 'up' in ES to a more broad-risk-based perspective of what was fair (based on correlations).

All-in-all, an odd somewhat news-less volume-less day that seemed dominated by algos (for a change) as opposed to real risk appetite - even though HY actually some issuance (where concessions were very high). Intriguingly, we note that the rumors of something out of Europe started to appear as ES shifted to its most weak relative to broad risk assets (oh yes we are sure the whole European crisis will be over in 1-2 years!) and then was juiced by more 'news' at around 3pmET (wow, an EFSF structured credit vehicle with external buyers...brilliant!) - were 'they' starting to worry that they were losing control?

Charts: Bloomberg

 


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Mon, 11/07/2011 - 17:12 | Link to Comment GeneMarchbanks
GeneMarchbanks's picture

The latest in a series of Short bans...

Mon, 11/07/2011 - 17:34 | Link to Comment rosex229
rosex229's picture

I really can't figure this out at this point. If you talk to any individual (in private that is, not on CNBC) whether they're a banker, politician, investor, hedge fund manager, etc. They will readily acknowledge the intense strengthening of severe downside risks over the last week. I mean look at Italy's yields! Are market participants waiting for the outcome of the vote tomorrow before fleeing? I have a sneaking suspician that even though most market participants see the writing on the wall their desire to make up some lost ground from recent losses is keeping them in the market until the very last possible moment.

Mon, 11/07/2011 - 17:50 | Link to Comment redpill
redpill's picture

Just look at them yawning bands.  Bollinger?  I don't even know her!

Mon, 11/07/2011 - 21:23 | Link to Comment DeadFred
DeadFred's picture

A double top at the 61.8 retrace of the recent drop. Sounds bullish to me. The whole universe according to the bots consists of charts and news feeds. They can't tell what's real and they don't care. Real people on the other hand should care but it's been so long since facts mattered that their memories are growing dim.

Mon, 11/07/2011 - 17:12 | Link to Comment Richard Chesler
Richard Chesler's picture

A healthy and CONfident market.

 

Mon, 11/07/2011 - 17:12 | Link to Comment Irish66
Irish66's picture

Everything I open to use is smaller than it used to be, very annoyed

Mon, 11/07/2011 - 18:23 | Link to Comment J 457
J 457's picture

Not only is it smaller than it used to be, it seems more wrinkled too.  Yes, very annoyed, but it comes with age.

Mon, 11/07/2011 - 17:12 | Link to Comment Western
Western's picture

Smelly turd of a market.

Mon, 11/07/2011 - 17:23 | Link to Comment HedgeAccordingly
HedgeAccordingly's picture

Pictures of hot chicks should cheer us all up. - http://hedge.ly/gFWVSm

Mon, 11/07/2011 - 18:55 | Link to Comment Hedge Fund of One
Hedge Fund of One's picture

Certingly! Thanks for that. :-)

Mon, 11/07/2011 - 17:13 | Link to Comment pods
pods's picture

The only way to win is not to play.

pods

Mon, 11/07/2011 - 17:25 | Link to Comment GeneMarchbanks
GeneMarchbanks's picture

Or stop shorting because this is clearly some sort of a shorting ban.

Mon, 11/07/2011 - 17:49 | Link to Comment EL INDIO
EL INDIO's picture

Very wise man, very wise.

Mon, 11/07/2011 - 17:13 | Link to Comment mynhair
mynhair's picture

Was this not Mutual Fund Monday?

Mon, 11/07/2011 - 18:30 | Link to Comment SheepDog-One
SheepDog-One's picture

The article says 'Apparently not'.

Mon, 11/07/2011 - 17:13 | Link to Comment ZeroPower
ZeroPower's picture

Watch us gap up big tomorrow. Problem's haven't changed, except rumor mill is working 10x as hard as the prior weeks it seems.

Mon, 11/07/2011 - 17:16 | Link to Comment topcallingtroll
topcallingtroll's picture

It figures.

Just when I went all cash again.
I think Santa just arrived early.

Mon, 11/07/2011 - 17:36 | Link to Comment GeneMarchbanks
GeneMarchbanks's picture

Mike "I went to jail" Milken: Get rid of fatty

http://www.bloomberg.com/video/79667476/

and the markets will soar!

Mon, 11/07/2011 - 17:14 | Link to Comment javajaw
javajaw's picture

BTFD

 

Mon, 11/07/2011 - 17:15 | Link to Comment monopoly
monopoly's picture

Just your standard Broken Markets. Nothing has changed.

Mon, 11/07/2011 - 17:15 | Link to Comment Traianus Augustus
Traianus Augustus's picture

Today's markets commit another crime...when does the punishment get here?!?!

Mon, 11/07/2011 - 17:17 | Link to Comment max2205
max2205's picture

.......

Mon, 11/07/2011 - 17:25 | Link to Comment topcallingtroll
topcallingtroll's picture

Yeah...I have had some good runs recently, but now may be time for doing the opposite of what I think.

If I am now a contrary indicator again it means;
Gold up
Risk on/reflation trade on
Dollar down.

Because I am all usa cash again.
My trades have been consistently wrong fall and winter....scary.

Mon, 11/07/2011 - 17:16 | Link to Comment Caviar Emptor
Caviar Emptor's picture

The "It's all Good" market ...

Just remember this: if bio warfare killed every human being, the market would edge up the next day because the bots would still be running...until the power plants finally shut down. Kinda beautiful, actually. 

Tue, 11/08/2011 - 01:23 | Link to Comment you enjoy myself
you enjoy myself's picture

i'm starting to have that same mindset too.  in a detached, academic, bemused wonderment i'm now just really curious how long this nonsense can persist.  hmmm, you think a whole 'nother year?  yeah, that'd be really neat - reminds of when we saw that guy careening towards the cliff after hitting black ice.  he really went on forever.  crazy, right?  i know!

Mon, 11/07/2011 - 17:17 | Link to Comment Oswald Spengler
Oswald Spengler's picture

The music doesn't stop until the ship goes under.

Mon, 11/07/2011 - 17:18 | Link to Comment Dick Darlington
Dick Darlington's picture

The unelected have spoken! Ugh!

11-07 16:03: EU's Junker says there could be a teleconference to approve... Coulda shoulda woulda...

11-07 16:03: EU's Rehn says new Greek government, once set up, must express... Oh, if it's in written then we all believe they will do all the things they didn't do since the first bailout 1,5 yrs ago...

11-07 16:03: EU's Juncker says EFSF will now consult markets to come up with... Mr "when things get tough I have to lie" apparently didn't see todays "consultation" with markets when the epic failure of EFSF printed undersubscribed (plus downsized with shorter maturity and once delayed) PLAIN VANILLA bond...

 

Mon, 11/07/2011 - 17:27 | Link to Comment GeneMarchbanks
GeneMarchbanks's picture

Juncker, Rehn, Barroso, Von Rompuy, Merkozy, the Paps... neverending (shitty) story...

Mon, 11/07/2011 - 17:21 | Link to Comment midgetrannyporn
midgetrannyporn's picture

The consistent vwap thingie is definitely bullish.

Mon, 11/07/2011 - 17:21 | Link to Comment bmusic
bmusic's picture

It's amazing how well they are able to play the headline scanning algos.

Mon, 11/07/2011 - 17:21 | Link to Comment bmusic
bmusic's picture

It's amazing how well they are able to play the headline scanning algos.

Mon, 11/07/2011 - 17:23 | Link to Comment El Viejo
Mon, 11/07/2011 - 17:24 | Link to Comment silverserfer
silverserfer's picture

its like the algos are taking out the shorts in equities like JPM has been taking out the silver longs. its harvest time. Somebody up top ordered bear stew. So it will be bear stew for supper this winter.

Mon, 11/07/2011 - 17:23 | Link to Comment mynhair
mynhair's picture

"When AVL pops, I listen."

A C change is in the works.  Must be that Chinee tril going at it.

Mon, 11/07/2011 - 17:26 | Link to Comment Mark123
Mark123's picture

Did someone just depreciate fiat currencies?

 

Funny thing...over the last month S&P is up about 14% and Gold is up about 12%.  A beautiful symmetry?

Mon, 11/07/2011 - 18:15 | Link to Comment SheepDog-One
SheepDog-One's picture

Yes, and equities are not keeping up with fiat depreciation, AT ALL. 

Mon, 11/07/2011 - 17:26 | Link to Comment Alex Kintner
Alex Kintner's picture

This market is on Propofol.

Mon, 11/07/2011 - 18:49 | Link to Comment Saro
Saro's picture

Or viagra.

Mon, 11/07/2011 - 17:26 | Link to Comment lolmao500
lolmao500's picture

You know what's funny? Italy's budget vote that could lead to the fall of Berlusconi is tomorrow morning at 9.30AM EST... right on schedule for the stock market open.

It could be hilarious if Berlusconi falls.

Mon, 11/07/2011 - 17:41 | Link to Comment youngman
youngman's picture

What politician would want the job of crashing the country....and his name attached....

Mon, 11/07/2011 - 17:28 | Link to Comment LongSoupLine
LongSoupLine's picture

Central Banking...period.

Mon, 11/07/2011 - 17:28 | Link to Comment NEOSERF
NEOSERF's picture

Take this to an illogical extreme and there is no reason this market can't go to 15K by next Spring even with recessions, higher unemployment and a banking collapse...everything bad is simply an opportunity to clear volume out in the first few hours...

Mon, 11/07/2011 - 17:29 | Link to Comment PontifexMaximus
PontifexMaximus's picture

The market must climb the wall of worries, too many short positions around, can't fall of the cliff, needs to suck in the shorties. Berlusca will win confidence, but it won't change the big picture, time is running out. But big numbers first...

Mon, 11/07/2011 - 17:37 | Link to Comment sabra1
sabra1's picture

everyone keeps saying to many shorts around! bullshit! everyone i know is in cash, sleeping well at night, in their canadian homes, which are not in a bubble! HFT's are programmed to run through everyone's stops, short or long!

Mon, 11/07/2011 - 18:14 | Link to Comment SheepDog-One
SheepDog-One's picture

Right, I know of no 'shorts' myself. This is just manipulation, a ton of longs stops are getting kornholed daily on 2% swings, theyre not doing jack shit either.

Mon, 11/07/2011 - 21:14 | Link to Comment Mesquite
Mesquite's picture

The goal of the algos is to scoop up money...

That's the way I see it...

Mon, 11/07/2011 - 18:29 | Link to Comment SheepDog-One
SheepDog-One's picture

Pontifex what 'big numbers'...like the inflation adjusted US market levels which are at about 1995 values now? If even that good? Not impressed.

Mon, 11/07/2011 - 17:32 | Link to Comment Dr. Gonzo
Dr. Gonzo's picture

I just looked at the 1 year chart for the DJIA. It looks like a sick pig. AND I DON'T EVEN KNOW HOW TO READ CHARTS!!! We've moved 20% higher in 1 month after a 1 month 20% increase. Anybody who is prudent would RUN AWAY from this thing. I am of course shorting the shit out of it.

Mon, 11/07/2011 - 17:49 | Link to Comment sabra1
sabra1's picture

if you could get hold of the 20 year chart, you'd see that it never failed to call a recession!

Mon, 11/07/2011 - 17:35 | Link to Comment Caviar Emptor
Caviar Emptor's picture

What's the worst that can happen if things keep going this way? 

99% starve to death?

That would leave the 1% to party hardy! 

Then the market would go to the sky cause no more weak hands or profit takers. Booyaaa!!!

Mon, 11/07/2011 - 17:55 | Link to Comment SheepDog-One
SheepDog-One's picture

LOL the 1 thing they forgot is the 1% dont produce anything....they dont even know how to make bathtub gin so when the 99% are gone, the 1% will have NOTHING.

Mon, 11/07/2011 - 17:38 | Link to Comment Mark123
Mark123's picture

I watched in stunned disbelief the internet stock bubble of the late 90's....how could it keep going up!? In the end it just collapsed of its own weight....can't even recall if there was any specific trigger. 

 

Since the Fed stopped printing in June there is nothing but hope holding up this market - in particular the belief that the Fed will print again.  Remember that the Fed could give a rats ass about the economy and they will let the market crash if it suits their purpose (i.e. protects the system that feeds them).

Mon, 11/07/2011 - 18:01 | Link to Comment SheepDog-One
SheepDog-One's picture

LOL you believe the FED stopped printing? The FED has been all-in printing under the table the whole time...how ELSE do you believe they ramped equities up 30% thru a collapse of Europe??

Mon, 11/07/2011 - 18:03 | Link to Comment YesWeKahn
YesWeKahn's picture

Sheep, you started to make sense, but you lost it with this post. If the idiot FEd continues to print, how the market can drop? We are soon to replace the old US$ to a new US$ by the ratio of 100 to 1.

Mon, 11/07/2011 - 18:08 | Link to Comment SheepDog-One
SheepDog-One's picture

'If they continue to print, how can the market ever drop'?

Ask some residents of Weimar!

Hey if it was SO EASY and failproof, then why hasnt world monetary policy ALWAYS been 'Hey we'll just get a shadow bank and print mountains uon mountains of money'! Huh....

Mon, 11/07/2011 - 18:26 | Link to Comment SheepDog-One
SheepDog-One's picture

LOL the end is near! How can you tell? Americans have now been brainwashed all over the place to actually BELIEVE that some bank printing piles of money daily is a GOOD IDEA!!

LMFAO!

In fact, if central banks monetizing with fiat paper is such a great idea, then why are all the most stern warnings all thru history saying things like 'A central bank printing fiat currency is far more dangerous than a standing occupying army in your country'...or something to that effect.

Why is it SO warned about, if its such a great idea? Well theres another famous quote 'Never fear underestimating the stupidity of people, you cant lose that bet'

Mon, 11/07/2011 - 17:43 | Link to Comment pointandfigure
pointandfigure's picture

Is there anyway to get a true volume count that includes HFT's, ETF's swaps ect?

 

Mon, 11/07/2011 - 17:46 | Link to Comment Subprime JD
Subprime JD's picture

There is no point resisting this bull market. Robofader and hammy had it right. I'm so glad I bottom ticked the spx at 1077 a few weeks ago by going all in SSO. I feel so wealthy, Vegas is calling my name with thoughts of filet mignon, blow and russian hookers.

Mon, 11/07/2011 - 17:51 | Link to Comment devo
devo's picture

Funny how analysts never claim good news is priced in. 10,500 to 12,000 was just that. It's overbought now. I won't short it though (well, maybe via options) since it's behaving irrationally. Stay away is the best advice.

I also agree with the gentleman above who said, "I have a sneaking suspician that even though most market participants see the writing on the wall their desire to make up some lost ground from recent losses is keeping them in the market until the very last possible moment."

Spot on.

Plus the paper heroin addicts are pricing in their next fix. I think this market needs rehab.

Mon, 11/07/2011 - 18:03 | Link to Comment SheepDog-One
SheepDog-One's picture

It is all overbought...no one can claim a 25% market ramp in a month on horrible news is normal. I'd guess anyone left in the casino is now long, and about to get swooshed as all the 'bulls' are back swagering about saying 'I told you so'....every time that happens the bottom drops out.

Longs and shorts money...all the same color. 

 

Mon, 11/07/2011 - 17:56 | Link to Comment chump666
chump666's picture

Europe melted up when that "Italian" ECB guy started buying 2/10 yr Italian bonds.  Good move.  Just send oil bid and yes more inflation headed towards Germany.  Ah Europe, you are a confused beast.

As for the US markets, well, HFT's running on nothing suck momo's in on million dollar bets.  But it's topped, oil hits 100 and gold goes 1800 plus. A major reversal is due.  Money on Silvio, does an Argentina, cans the EURO, goes back to the Lira, and send bonds holders to the cleaners.  Just a hunch.  I'll trade it.

Oh then there is China, we have no idea if large chunks are going all subprime...cept that the there has been big Yuan and HK dollar selling last mth or so

Mon, 11/07/2011 - 18:20 | Link to Comment SheepDog-One
SheepDog-One's picture

All topped out, ready for the big swoosh down. Watch for it one of these mornings real soon theyll pop markets up 1% on open to load the suckers long and pull the trap door.

Mon, 11/07/2011 - 17:57 | Link to Comment RobotTrader
RobotTrader's picture

Market won't stop going up until all these short sellers give up.

Mon, 11/07/2011 - 18:06 | Link to Comment chump666
chump666's picture

There is no short squeeze!  It's done.  What you have is a gamed, topped out market.  Anyone buying longs and thinking that the DJIA is going to 13500 is mental, but there are suckers doing this.  HFT's are supporting positions on nothing volume till wall street comes in and fills a huge order.  On just news headlines!  That looks like a bull market?  No, it's a bizarro show. When the lunatics at the ECB/FED/IMF/EU feed more BS into the mix.  There is an 'event' brewing' .

Mon, 11/07/2011 - 18:10 | Link to Comment SheepDog-One
SheepDog-One's picture

Robots dont care if theyre taking longs or shorts money, its ALL the same color.

Mon, 11/07/2011 - 18:19 | Link to Comment chump666
chump666's picture

You seen the nerds that program them, jeez, I mean Star Trek conventions or what.  Point is robots panic, kinda waiting for that.  Shifting longs into shorts on something major.  I have seen HFT metltup up and meltdowns on a very similar pattern: narrow ranges very quickly tight bid/offers, it's trying to find that movement.  It's looks bizarre, unnatural.  Then a spike, usually a meltdown.  ZH posted that Nanex stuff which was awesome.

 

Mon, 11/07/2011 - 18:31 | Link to Comment YesWeKahn
YesWeKahn's picture

So, you are saying that 100 years of bull market was simply for punishing some short sellers?

Mon, 11/07/2011 - 17:57 | Link to Comment YesWeKahn
YesWeKahn's picture

What does Robotrader say? The charts of nasdaq, S&P, Dow all look suprt bullish. Is this the santa rally?

Mon, 11/07/2011 - 18:05 | Link to Comment SheepDog-One
SheepDog-One's picture

'Chart looks bullish'...LOL you mean the 25% volumeless 1 month ramp job to bigtime overbought status? Buy all you like! GO for it man!

Mon, 11/07/2011 - 18:02 | Link to Comment Lone Deranger
Lone Deranger's picture

The dynamic point of control or DPOC (dark blue line) in the VWAP chart above almost has no meaning recently.  My questions is:  where is the point of control in this crazy market?  I'm still using VWAP and associated standard deviations to gauge bounces, but the DPOC is getting pointless.

Mon, 11/07/2011 - 18:12 | Link to Comment SheepDog-One
SheepDog-One's picture

Like the headline says VOLUMELESS LEVITATION....and people run around yelling about all the jubilant buying frenzy? 

VOLUMELESS, bitchez! Only a lunatic is in this den of thieves.

And as soon as this shit heap collapses next time, listen to their moans and wailing about how unfair it all is and how they lost it all.

Dont come running to me for sympathy, I'll LAUGH!

Mon, 11/07/2011 - 18:16 | Link to Comment slewie the pi-rat
slewie the pi-rat's picture

mmmmm...volumeless price levitation...

can i get astral options on that?  with kraut and swiss cheese, please?

Mon, 11/07/2011 - 18:26 | Link to Comment quacker
quacker's picture

 

October was all about rallying because of a plan to have a plan. But since the plan:

Yields on Italian bonds are going relentlessly up,  the fund keeps crapping out on drawing investors, what triggers a default and whether the insurance is any good is now a huge uncertainty, the BRIC countries will not chip in much, German industrial production and new orders have hit the skids, Italy is on the brink and Greece is still kaput even with a 50% haircut.

How does ANY of that spell rally on?

What is it about these facts on the ground that mean each day US companies should have larger market caps at the end of the day than they had at the start of the day? Which fundamental is getting better?

 

Mon, 11/07/2011 - 18:33 | Link to Comment SheepDog-One
SheepDog-One's picture

Someones going to have to pay up, soon.

Mon, 11/07/2011 - 18:49 | Link to Comment dcb
dcb's picture

yeah, doing trend lines, etc. there was no reason for the low tody, and the bounce from that. no channel, no clear point. it made no sense. I know crap when I see it, and what I see it where you would put your stop loss as it breaks, the hft funds are allowing it to break and buying up. real evidence of what I call manipulation today.

Mon, 11/07/2011 - 20:40 | Link to Comment anyways
anyways's picture

look, this is just a hypernervous, high volatility market. The participants don't want to hurt 'you', they want to make money, or most the time, prevent looses. Legitimate business, as long as we have a form of capitalism. Every dollar, euro or yen, invested in these markets is under enourmous beta risk, in almost any asset, beside gold i think. The core system, fiat money, is almost broken, but as long as everybody has it in his pocket, there is still the need to manage it. Full stop period. Good luck trading.

Mon, 11/07/2011 - 20:42 | Link to Comment chump666
chump666's picture

Kinda feel we have an endgame coming, for you Europe: http://www.youtube.com/watch?v=1b26BD5KjH0&feature=related

Mon, 11/07/2011 - 20:51 | Link to Comment Everyman
Everyman's picture

IF they keep lying through these fucking "rumors" somebody is goinog to get shot in the fucking head!

Mon, 11/07/2011 - 21:32 | Link to Comment yogibear
yogibear's picture

Keep the rumors and lies coming. Nobody is being disciplined for it. The SEC is busy watching porn. An environment where lies and fraud flourish. When there is pressure the SEC will find some poor sucker to throw in jail. A small investor/patsy like a Martha Stewart. 

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