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denmo83,
It's quite easy actually to get a better price than bid or ask on liquid options these days both on market and limit orders. And the limit does not necessarily need to become the best bid or offer. You just need a good broker that will route your order to sensible market center. There are various wasy for this to happen as different option exchanges function differently in their handling of the order book. E.g. QQQQ options are listed on 6 different exchanges.
The second issue is that bid - ask reporting is not perfect. Option price reporting is done centrally through opra (Option price reporting authority) and it is quite possible that the bid or ask moves for extremely short period and gets taken out by opposite order and the whole move in bid or ask remains unreported since it virtually never took place.
If your option broker does not use
http://www.bostonoptions.com/
as one destination for its order, you are at huge disadvantage. Their price improvement auctions are brilliant, I usually get 2 to 3 cents better price than best bid or ask available anywhere at the time of execution when the spread is 5 cents. I have on rear occasions been filled at bid for a buy order and no, there was no movement in the bid or ask.
Your order might also execute against a hidden order that is trying to execute without moving the market.
I find the 5 min charts quite strange....
I think we might go down as TRAN is taking off the low of yesterday and TRIN has been moving up.
Check the 5-min charts for
BKX - it's been literally a straight line
SPX - 2 point range most of the day
INDU - 10 point range since 11am
TRAN steadily down
TRAN close to breaking the low of yesterday....
TRIN has been climbing, so maybe down soon
Correction Gleno,
"He says we have an inverted H&S on both NDX and NASDAQ..."
he said that inverse H&S will form... That's quite a bit different....
But people believe in god and UFOs, too....
I agree with you - thought that the thing is entertaining fiction to read....
PPT does exists, but it is just a government quango to coordinate response to melt down i.e. make sure that the liqduidity is not pulled and runs on banks won't lead to collapses.
This article makes it pretty clear why it could never work:
Short one:
http://quote.bloomberg.com/apps/news?pid=10000039&refer=columnist_baum&sid=aASBFuJ4Nq_U
I Am Not Now, and Have Never Been, a PPT Member: Caroline Baum
Longish one but worth reading:
The Plunge Protection Team
http://www.safehaven.com/article-721.htm
The markets are about the balance of fear and greed. At some point someones fear of losing the profits they made by shorting MUCH higher kicks in or someone's greed makes them to try to test the waters. There are people who do actually use fundamentals to invest, and in panics the good and the bad fall. So, at some point someone starts buying something, someone else picks up on that and it spreads across the floor.
The fast recoveries are simply caused each m ember of the herd trying to beat the other guy to the asks (never seen "asks" written, but if you can say bids, then you can say asks, too, I guess)
All anyone has to notice to see there is no sense in the reactions, is to follow say EUR/USD or GBP/USD rate when feds interest rate announcement comes out. They are completely wild, in part driven by stops being triggered.
The process, of course, goes something like that:
1) first round of people hit their sell/buy orders when they just see the announcement of what the rate was
2) second round of people react to the spike up or down immediately
Neither of those has yet read any part of the short statement
3) third you probably get some trying to guess the top of the spike and entering in counter spike trades
4) then you get the gut reaction to the actual full announcement
5) over the next couple of hours people digets what if anything it all actually meant.
PokerSam,
That's not PPT... PPT is this:
http://sprott.com/pdf/pressrelease/TheVisibleHand.pdf
Republican administrations historically waster money
Bet you didn't know that fact, but historically government debt has soared under republican administrations.
I got greedy and got some Apple Oct 70 puts QAA VN @ 3.1
They are expensive but if the current run unwinds, they triple easily. If the market tanks, it will tank, too.... I am not planning to hold them to expiry unless Apple start to fall for real.
Added to shorts now - the fed speak was content free
She just defended the feds decision to leave rates unchanged, inflation MIGHT fall faster than people expect on account of some theoretical work someone at SF fed has done and the risks are high wage growth and housing market collapse. And talking about housing market collapse:
http://www.bloomberg.com/apps/news?pid=20601087&sid=aefAetYdQM3k&refer=home
U.S. Home Prices May Fall for First Time in 13 Years
There was an attempt to push TICK a moment ago, but I think we will sell into the close.... I wish I had had a dinner and missed all the exitment, but I've been a bit overcommitted on the short side, so profit taking isn't too bad. The timing of things was just completely rotten: I should have cut down the positions at the lows or at least when TICK was consistently high. Left a lot $$$ on the table.
Buying - MM probably just needed to get short higher
It was probably a test to get some of the nervous shorts to close. I think a lot of people that entered the short party yesterday probably left it. I did close all of my shorts added yesterday. Still got puts in October and Novemeber. NYSE TICK and TRIN still claim that buying is going on. SF Fed talks in about 10 minutes and probably makes some soothing noises....
Whether the markets believe them at this point is another matter.
TRIN etc & Out of lots of things so
now they can dropped it. Should have just gotten out when trin kept falling and tick refused to sell of nicely.
TRIN is available from many sources: stockcharts $TRIN and $TICK for NYSE, $TRINQ and $TICKQ for Nasdq. On Interactive brokers it is TRIN-NYSE, TICK-NYSE, TRIN-NASD, TICK-NASD.
I think we might rally because the fed person is hardly going to say anything to take the markets down, are they?
Some blab blaab about them still having room to wait on interest rate expectations. Pity....
Getting worried - the NYSE TICK has been way too strong for awhile now and TRIN low 0.95
The way away is not clear at all. Resorting to hope for a huhe selling sweep soon, otherwise I'm forced to take profits on earlier shorts to protect cash.
EDIT: and looks like selling is starting. But it cannot be counted yet. NYSE TRIN up to 1, TICK just above 0.
TRINs moving up, TICKs falling
I added to my short.
What was that?
I'm gone for an hour or so and the hell has broken loose. What caused this? I missed a great swing and now I can't decide if I should take some profits or just sit tight or short more....
Maybe it was just a squeeze to take it lower again... Can't have it crash straiht down. Just wish I had been there to play...
What do you mean?
Aren't they going to fill the gaps?
We badly need follow through and then it is a clean fall
It's now all about sentiment. Tomorrow does not really have any important news, reaction to the jobless claims numbers at this point is impossible to say. Bad whole sales figures would increase worries about the earnings growth or more properly earnings contractions.........
Maybe, people all the sudden will remember the options backdating:
http://www.bloomberg.com/apps/news?pid=20601087&sid=aFYpIcFVXnik&refer=home
Home Depot Contacted by U.S. Attorney on Options
Continuation of QQQQ Option volumes
http://www.cboe.com/DelayedQuote/QuoteTable.aspx
Note: on the CBOE site you have to click on show all exchanges or otherwise you will only get the volume on CBOE which is just a fraction of the total volume.
Septembers:
Strike 40:
Yesterday:
Calls: volume 39328 open interest 406466
Puts: 19223 OI 96220
Today:
Calls: volume 10469 OI 416545 OI, net change in OI + 10079 selling short?
Puts: 32203 OI 101489. net OI change +5269
39:
Yesterday:
Calls: 36513 OI 199483
Puts: 42119 OI 214148
Today:
Calls: 23582 OI 201225, net change from yesterday +1742
Puts: 54602 OI 220471, net change +6323
38:
Yesterday:
Calls: 5456 OI 170089
Puts: 22354 OI 285413
Today:
Calls: 8700 OI 158138, net change -11951 <--- profit taking yesterday
Puts: 27391 OI 288050, net change +2637
37:
Yesterday:
Calls: 1800 OI 89742
Puts: 3174 OI 276616
Today:
Calls: 4910 OI 89057, net OI change -685
Puts: 7957 OI 276606, net change -10
36:
Yesterday:
Calls: 500 OI 35503
Puts: 6 OI 473587
Today:
Calls: 303 OI 35267, net OI change -236
Puts: 65 OI 473593, net change 6
35:
Yesterday:
Calls: 4367 OI 80239
Puts: 30 OI 107540
Today:
Calls: 60 OI 77911, net change -2328
Puts: 140 OI 107540, net change 0
Continuation of QQQQ Option volumes
http://www.cboe.com/DelayedQuote/QuoteTable.aspx
Note: on the CBOE site you have to click on show all exchanges or otherwise you will only get the volume on CBOE which is just a fraction of the total volume.
Septembers:
Strike 40:
Yesterday:
Calls: volume 39328 open interest 406466
Puts: 19223 OI 96220
Today:
Calls: volume 10469 OI 416545 OI, net change in OI + 10079 selling short?
Puts: 32203 OI 101489. net OI change +5269
39:
Yesterday:
Calls: 36513 OI 199483
Puts: 42119 OI 214148
Today:
Calls: 23582 OI 201225, net change from yesterday +1742
Puts: 54602 OI 220471, net change +6323
38:
Yesterday:
Calls: 5456 OI 170089
Puts: 22354 OI 285413
Today:
Calls: 8700 OI 158138, net change -11951 <--- profit taking yesterday
Puts: 27391 OI 288050, net change +2637
37:
Yesterday:
Calls: 1800 OI 89742
Puts: 3174 OI 276616
Today:
Calls: 4910 OI 89057, net OI change -685
Puts: 7957 OI 276606, net change -10
36:
Yesterday:
Calls: 500 OI 35503
Puts: 6 OI 473587
Today:
Calls: 303 OI 35267, net OI change -236
Puts: 65 OI 473593, net change 6
35:
Yesterday:
Calls: 4367 OI 80239
Puts: 30 OI 107540
Today:
Calls: 60 OI 77911, net change -2328
Puts: 140 OI 107540, net change 0
Hi Gleno,
I'm catching up with things.... Aren't you glad you were out and not worrying about every tick of the market? I had a dinner (I'm in London) and got back for the last 40 minutes or so. Sure looks like reversal of the short term trend. (I guess I am in the camp that claims long term trend never changed....)
Pretty much everything closed at or very near lows of the day. As long as we have follow through, the seasonality is set in. I would have liked INDU to fall more and BKX had very small damage. When that breaks, the flood gates open for real.
But surely the dip buyers are about to merge from any moment now
(Been at dinner until now and buy wish I that I had been around to sell some more futures...) TICK and TRIN kind of tell the story.
What did the beige book say? I've got a lot of catching up to do in short time....
Should be just a bear flag
TRINQ is at 2.64 and has been trending nicely up if you look at it on 5min chart....
Dow should give in soon
It had R3 on Friday, in fact, P/C on Dow was massive 4.6 which invariably leads to break down.....
Looking at the components, five are holding their head above water. Some by a cent. Of all the things, GM is up 2.2%!
What's wrong?
PokerSam, nothing wrong at all. It is beautiful picture. And that was just the first set of reports. Now, if we could just get the ISM non-manufacturing survey to fall instead of the expected improvement....
Sounds like the feds was using hope indicator when he said this on Aug 31:
http://www.bloomberg.com/apps/news?pid=20601068&sid=ayISWAioyK2E&refer=economy
Productivity data revision report not really nice - inflation fears up
http://biz.yahoo.com/ap/060906/economy.html?.v=4
The funny thing is that it probably was not the seconds quarter numbers but the revisions to the 1st quarter wage gains that is causing the reaction: it was revised from 2.5% to 9%!!!!!!!!!!
2nd Q wage gain was revised from 4.2 to 4.9.
2nd Q productivity from 1.1 to 1.6
Productivity data revision report not really nice - inflation fears up
http://biz.yahoo.com/ap/060906/economy.html?.v=4
The funny thing is that it probably was not the seconds quarter numbers but the revisions to the 1st quarter wage gains that is causing the reaction: it was revised from 2.5% to 9%!!!!!!!!!!
2nd Q wage gain was revised from 4.2 to 4.9.
2nd Q productivity from 1.1 to 1.6
Gleno,
I would probably hung on at least until close of today with your shorts unless by some miracle looks like we are breaking to higher. Asia had a reasonable profit taking and Europe is down. The clouds are finally gathering:
http://www.bloomberg.com/apps/news?pid=20601087&sid=a1.KJ_SI0eLE&refer=home
European Stocks Fall as IMF Says Risks Increase; Nokia Drops
Sept. 6 (Bloomberg) -- European stocks fell, pushed lower by Nokia Oyj and HSBC Holding Plc, after the International Monetary Fund said risks to economic growth are increasing.
``One has to pay attention to what the IMF says,'' said Mariano Sancho, the head of capital markets at Riva y Garcia in Barcelona, which manages about $490 million. ``Before they spoke of continued growth, and now they are alerting about risks. It is normal investors get a bit uncomfortable.''
Lots of US economic news out today, too:
MBA Purchase Applications 7:00ET
ICSC-UBS Store Sales 7:45ET
Productivity and Costs 8:30ET
Redbook 8:55ET
Bank of Canada Announcement 9:00ET
ISM Non-Mfg Survey 10:00ET
4-Week Bill Auction 1:00ET
Beige Book 2:00ET
QQQQ Option volumes
Some interesting option activity in QQQQs:
Note: on the CBOE site you have to click on show all exchanges or otherwise you will only get the volume on CBOE which is just a fraction of the total volume.
Septembers:
Strike 40:
Calls: volume 39328 open interest 406466
Puts: 19223 OI 96220
Is there any chance in hell for that to get above 40?!? I wish I had historical data for the OI over the last few months. The call volume must be profit taking or short selling?
39:
Calls: 36513 OI 199483
Puts: 42119 OI 214148
38:
Calls: 5456 OI 170089
Puts: 22354 OI 285413
37:
Calls: 1800 OI 89742
Puts: 3174 OI 276616
36:
Calls: 500 OI 35503
Puts: 6 OI 473587
35:
Calls: 4367 OI 80239
Puts: 30 OI 107540
No real volume in lower strikes. If I had to make guess, the call volume in low strike prices is profit taking and 40 Calls have been sold short.
October continue the interesting story:
October 40s:
Calls: 3424 OI 70384
Puts: 11835 OI 15282
October 39s:
Calls: 19164 OI 86634
Puts: 38045 OI 42879 <===================!!!!!!!!!!!!!!!!
Maybe there is some serious portfolio insurance buying going on?
Option volumes
Some interesting option activity in QQQQs:
Note: on the CBOE site you have to click on show all exchanges or otherwise you will only get the volume on CBOE which is just a fraction of the total volume.
Septembers:
Strike 40:
Calls: volume 39328 open interest 406466
Puts: 19223 OI 96220
Is there any chance in hell for that to get above 40?!? I wish I had historical data for the OI over the last few months. The call volume must be profit taking or short selling?
39:
Calls: 36513 OI 199483
Puts: 42119 OI 214148
38:
Calls: 5456 OI 170089
Puts: 22354 OI 285413
37:
Calls: 1800 OI 89742
Puts: 3174 OI 276616
36:
Calls: 500 OI 35503
Puts: 6 OI 473587
35:
Calls: 4367 OI 80239
Puts: 30 OI 107540
No real volume in lower strikes. If I had to make guess, the call volume in low strike prices is profit taking and 40 Calls have been sold short.
October continue the interesting story:
October 40s:
Calls: 3424 OI 70384
Puts: 11835 OI 15282
October 39s:
Calls: 19164 OI 86634
Puts: 38045 OI 42879 <===================!!!!!!!!!!!!!!!!
Maybe there is some serious portfolio insurance buying going on?
Re: Backtest or breakout
I'm really starting to be afraid that it is a breakout. The close for sure gave no signals about sell off tomorrow. The high P/C on INDU and SPX say we should have a sell off. INDU got a huge boost on one stock: CAT. They will raise their prices by 7% to 10% (or something such, I can't remember the exact numbers). SOX joined the rally today, and we have lots of stats out tomorrow. Maybe the beige book causes inflation fears to spike up again. USD gained against EUR and GBP a lot today, so maybe the USD interest rate expectations change again. But then again Poole or whoever fed said that they have time to sit out on rates for awhile to see inflation to fall.
Toss a coin as far I am concerned, but I'd say down to option expiry at this point. But how much more pain for shorts before that I do not know.
Looks the possible flag broke the wrong way....
Huge push up going on at the moment. NYSE TICK went over 700, but NYSE Trin has increased to 1.11. I hope it keeps trending up.... They might take this positive for awhile...
Need the downfall to continue past 10am (3pm LDN)
to feel more secure. And preferably TRINS to move up. Nyse TRIn in particular is neutral 1.07 and TICK mostly spends its time around 100 to 250 which probably leads to a bounce if it just stays there. And now TRIN fallen to 1.06 and TICK over 400.
Nasdaq TRIN is respectable 2.03 and TICK significantly weaker than NYSE. Maybe the next leg down comes at 3pm to suprise all those waiting for a turn around?
Interesting day ahead...
Gleno, semis fell in Asia, but sounds like mostly on account of weak dollar which means that dollar earnings value falls when translated into local currency. Still, some of the bug bears are making reappearance: Japan is expected to signal higher rates. Miners up on Chinesese demand (no news, just market felt like it's a good time to revisit that story) and higher copper prices.
Oil fell to new lows on Monday, but I saw a headline that oil companies might raise in Europe. Don't know why.
It does look like we are very near the top, but I worry Today does not really have any economic news that would move the market so they trade on emotion.
Tomorrow on the other hand has a lot of news that can either indicate slow down or inflation or no inflation. Whatever way they want to take it....
More CBOE market statistics for Friday
http://www.cboe.com/data/mktstat.aspx
There are a few interesting numbers here:
SPDR Options - (SPY)
Call volume: 20005
Put volume: 72402
P/C = 3.62
Dow Jones Industrial Average Index - (DJX)
Call 7489
Put 30048
P / C = 4.01
CBOE market statistics for Friday
http://www.cboe.com/data/mktstat.aspx
There are a few interesting numbers here:
SPDR Options - (SPY)
Call volume: 20005
Put volume: 72402
P/C = 3.62
Dow Jones Industrial Average Index - (DJX)
Call 7489
Put 30048
P / C = 4.01
Hi Footquarters,
Just trying to understand... Why is the TRIN and its 5-day MA giving a sell signal? The absolute level 0.69 does not look that low. Trin's 5-day MA is 1.02 and 10-day MA 1.10 which are basically neutral.
Is it TRIN falling below its 5-day MA? But that happens often without a sell off, in fact, the opposite took place on Aug 14: NYA gained 200 points in two days, NDX went up, etc.
There are interesting divergencies
Russel has hardly participated in this celebration of bullishness. RIMM down, GOOG basically flat. SOX, SMH down. INDU components are brilliant for a top: 5 down, 2 or 3 unchanged and the rest up.
Close near highs of day....
TRIN and TICK are very strong, so I'm afraid that is probably what will happen unless something changes soonish. DJX put/call ratio is still huge, so at least that index should see a sell off within the next few days. I wish that SP 100 or 500 would show higher P/C.
I cannot help feeling that we are at the very edge of a cliff dive, but I don't feel confident about it. But then again, things are muddy at the turning points.
Heavy selling now
Nasdaq TICK -733, NYSE TICK -766, just want to see TRINs starting to raise. There's been up ticks, but nothing remarkable yet. Let's see if this turns into a rush to the exit door.
I bought a small number of QQQ WM at 1.03 (thanks to BOX).
Update: still selling but ticks -331 and NYSE -71. We need NYSE TICK to stay negative for the downdraft to catch.
Anyone checked option volumes
http://www.cboe.com/data/IntraDayVol.aspx
DJX:
Calls: 6079
Puts: 27513
4.53!!!!!!!!!
The others are less remarkable....