Saturday, July 09, 2016 2:00:01 PM
Buy:sell, daily shorts & pps 07/08 2016 EOD
I'm still holding at "consolidation with mild bullish bias". There were some indications of "stronger mild bullish bias" but today's intra-day buy behavior raised some flags on the MM front that suggested they may have jacked prices to dump shares and now would not need to support price until they get short-term long (again?).
Supporting that concern was the intra-day buy percentage behavior (volumes are running totals, not period volumes):
This also meshes reasonably well with short volume of 33,513 if we allow for normal other MM naked shorting and add something around 21.8K or 16.2K (close to 1/2 of 33K and I feel strongly that 16.2K was sold back into the market) for the shares acquired during that period and then sold before settled and so must be flagged short by SEC rules.
Right, wrong or indifferent, my concern is that the buy percentage did not hold strong during most of the day as had been seen on other days that had good price action.
Today was a series of three very low/no-volume flattish periods bracketed by an open and close of $1.35, matching yesterday's open and close. One difference was marginally higher volume and VWAP, ~$0.006. Anyway, from the open through ~11:52 we traded $1.34/5, 11:53-14:46 $1.36/7, and 14:47-16:00 $1.35/6.
There were no pre-market trades.
Just before the open b/a was 4.4K:3.1K $1.30/$1.40
09:30-11:52 opened the day with a 6,652 unknown for $1.35, plus 45 more for $1.34, and b/a went 3.4K:~600 $1.33/4 and 9:31-:37's no-trades was followed by 9:38's 600 $1.34, 9:39-9:42's no-trades, and 9:43's 200 $1.35. At 09:47 b/a was 100:2.3K $1.34/5 and we saw 9:47's 700 $1.34/5 lead to 9:50's b/a of 5.1K:2.3K $1.33/5. No-trades occurred 9:48-10:14. B/a at 10:08 was 5.3K:~3.1K $1.33/5. B/a at 10:14 3K:3.1K $1.34/5 led to 10:15's 2.4K $1.3499/$1.35, 10:16's 225 $1.3436, and that began very low/no-volume $1.34/$1.34xx until 11:00 switched to more $1.35. Low volume was interrupted by 11:48's 11.6K, including a 10K block, $1.34. B/a at 10:20 was 8K:3.6K $1.34/5, 10:46 7.9K:3.1K $1.34/5, 11:07 9.4K:1.9K $1.34/5, 11:34 10.3K:10.5K $1.34/5, 11:42 10.1K:3.8K $1.34/5. The period ended on 11:52's 300 $1.35.
11:53-14:46, after four no-trades minutes, began very low/no-volume $1.36/$1.37 on 11:57's ~5K $1.35 and 12:01's 100 $1.37. B/a at 11:57 was 1.2K:9.4K $1.35/7, 12:10 2K:8.4K $1.35/7, 12:15 600:8.2K $1.36/7, 12:38 1.2K:7K $1.36/7, 13:24 2.2K:~6.6K $1.36/7, 14:11 1.6K:5.9K $1.36/7, 14:40 2.1K:6.7K $1.36/7. The period ended on 14:46's 100 $1.37.
14:47-16:00, after two no trades minutes, began very low/no-volume $1.35/6 on 14:49-:51's ~11.9K 14:51 $1.36->$1.3605->$1.36->$1.35 and b/a went 1.9K:700 $1.35/6. Volume was interrupted by 15:29's ~14.6K (including a ~13.9K $1.35 block) $1.35/$1.3550 (100). At 14:55 b/a was 6K:3.6K $1.35/6, 15:22 3.5K:3.8K $1.35/6, 15:34 1.3K:4.2K $1.35/6, 15:48 1.7:3.2K $1.35/6, 15:55 2.9K:3.5K $1.35/6. The period and day ended on 15:59's 947 and 16:00's 705 sell for $1.35.
There were no AH trades.
Including the opening trade (closing didn't qualify), there were 6 larger trades (>=5K) totaling 46,278, 39.89% of day's volume, with a $1.3526 VWAP. Excluding the opening trade, there were 5 larger trades totaling 39,626, 34.15% of day's volume, with a $1.3530 VWAP.
Maybe I should remember that today was Friday, often flat and not the best day to see the real sentiment, generally.
On my one-year chart, the 10, 20 and 50-day SMAs continue declining and sans a bump up in our trading range will continue to do so. If we hold here the 10-day will stop falling after tomorrow. The 20 and 50-day will continue falling as the 10-day starts to rise.
The oscillators I watch, which had most improving yesterday, has RSI flat just below neutral and Williams %R flat at neutral again. Marginally weakened were accumulation/distribution, still above neutral, MFI (untrusted by me), and full stochastic. Momentum improved, going from just below neutral to just above, and ADX-related improved marginally. I think the flipping from almost all improved to more mixed is a function of low volume combined with flat behavior overall. IOW, consolidation personified.
The 13-period Bollinger limits, $1.2786 and $1.4445 ($1.2760 and $1.4609 yesterday) continue converging but the lower limit stopped rising, which I did not expect. I'm thinking it's because the high today was absolutely flat with yesterday.
All in, just more consolidation but still with a mild bullish bias thanks to the slightly higher volume and higher low.
See above beginning with { ... This also meshes reasonably well ... }, which was formulated after I had written the following paragraphs.
Percentages for daily short sales and buys moved in the same direction, a good thing, but both are a bit lower than I would like. With the low volume I suspect the short percentage being a bit low is due to a higher percentage of inter/intra-broker trades, suggested by the larger trades being almost 40% of day's volume - see above). These sorts of trades bypass the market-makers and generally generate few/no short-sales. ISTM this is likely, especially so in very low-volume periods, as the chance that the sold shares have been settled (i.e. the trade(s) that bought the shares was already cleared by the DTCC) should increase as traders have to wait longer to see profit and don't sell as quickly.
This can also occur if the MMs happened to be short-term long with shares which had settled in their accounts. This may be supported by the fact that we had two days of open high and fall to low levels, recover only a small amount and go flat, followed by two days of less of a drop and more recovery (even moving above initial recovery to a high flat today). The VWAP movements in the table suggest this may be the case, especially when combined with very low volume - less risk for MMs).
If this latter case is what happened I am thinking tomorrow will not be an up day as the MMs likely dumped their shares after moving price higher and are short-term long no more or to a lesser degree. In that case they have no reason to move price up - they took their profits already - unless what they see in their order books suggests maximum volume can be achieved by doing so - they make money on volume much more so than price variations.
The spread is now into "pinched" territory. An effect of low volume? Uncertainty? MMs' bots making money on arbitrage? Don't know but conventional TA would suggest a "coiled spring", supposedly, ready to make a big move. Sans volume I just see it as continued consolidation with MMs' bots generating volume and playing the narrow spread more effectively than real market participants are able to do.
Having said that, look at the table when we had similar spreads, albeit on higher volume. Weakening followed but other metrics were also different and we only have two visible cases (and one more many months back) so we can't really predict anything based on that.
VWAP's last twenty-four readings got off neutral at eleven negatives and thirteen positives. Change since 06/03 is -$0.0952, -6.57%. As mentioned yesterday, our change from the period start began to slow as we leave the last of those higher prices behind.
All in, if it were not for my thinking about MMs "... likely dumped their shares after moving price higher ..." above I'd be "consolidation with a little stronger mild bullish bias" near-term. That MMs concern puts the brakes on that though. So I'll hold at "mild bullish".
As always, much is experimental and should be treated as such.
Bill
I'm still holding at "consolidation with mild bullish bias". There were some indications of "stronger mild bullish bias" but today's intra-day buy behavior raised some flags on the MM front that suggested they may have jacked prices to dump shares and now would not need to support price until they get short-term long (again?).
Supporting that concern was the intra-day buy percentage behavior (volumes are running totals, not period volumes):
Note the 11:30-12:00 change, which is when the trading range jumped from $1.34/5 to $1.36/7 after 11:39-11:57 had a couple big-volume $1.34/5 minutes totaling ~21.8K, 16.2K in two minutes at $1.34. I surmise this is when one or MMs had acquired enough shares to execute some follow-on plan that called for higher prices when they would dump those shares.11:30: buy 77.59%, sell 17.73%, unk 04.68% on 19.2K
11:45: buy 61.81%, sell 34.49%, unk 03.70% on 24.3K
12:00: buy 47.49%, sell 50.37%, unk 02.14% on 42.0K
12:15: buy 48.04%, sell 49.85%, unk 02.11% on 42.6K
12:30: buy 50.21%, sell 47.76%, unk 02.02% on 44.5K
12:45: buy 55.79%, sell 42.12%, unk 02.08% on 52.7K
13:00: buy 56.48%, sell 41.54%, unk 01.98% on 55.4K
13:15: buy 55.88%, sell 42.16%, unk 01.96% on 56.0K
13:30: buy 55.24%, sell 42.83%, unk 01.94% on 56.6K
13:45: buy 55.59%, sell 42.50%, unk 01.91% on 57.5K
14:00: buy 57.56%, sell 40.74%, unk 01.69% on 64.8K
14:15: buy 57.02%, sell 41.34%, unk 01.64% on 67.0K
14:30: buy 56.85%, sell 41.52%, unk 01.63% on 67.2K
14:45: buy 56.28%, sell 42.12%, unk 01.60% on 68.6K
15:00: buy 55.61%, sell 43.04%, unk 01.35% on 82.9K
15:15: buy 54.34%, sell 44.39%, unk 01.27% on 88.2K
15:30: buy 45.72%, sell 52.18%, unk 02.11% on 105.3K
This also meshes reasonably well with short volume of 33,513 if we allow for normal other MM naked shorting and add something around 21.8K or 16.2K (close to 1/2 of 33K and I feel strongly that 16.2K was sold back into the market) for the shares acquired during that period and then sold before settled and so must be flagged short by SEC rules.
Right, wrong or indifferent, my concern is that the buy percentage did not hold strong during most of the day as had been seen on other days that had good price action.
Today was a series of three very low/no-volume flattish periods bracketed by an open and close of $1.35, matching yesterday's open and close. One difference was marginally higher volume and VWAP, ~$0.006. Anyway, from the open through ~11:52 we traded $1.34/5, 11:53-14:46 $1.36/7, and 14:47-16:00 $1.35/6.
There were no pre-market trades.
Just before the open b/a was 4.4K:3.1K $1.30/$1.40
09:30-11:52 opened the day with a 6,652 unknown for $1.35, plus 45 more for $1.34, and b/a went 3.4K:~600 $1.33/4 and 9:31-:37's no-trades was followed by 9:38's 600 $1.34, 9:39-9:42's no-trades, and 9:43's 200 $1.35. At 09:47 b/a was 100:2.3K $1.34/5 and we saw 9:47's 700 $1.34/5 lead to 9:50's b/a of 5.1K:2.3K $1.33/5. No-trades occurred 9:48-10:14. B/a at 10:08 was 5.3K:~3.1K $1.33/5. B/a at 10:14 3K:3.1K $1.34/5 led to 10:15's 2.4K $1.3499/$1.35, 10:16's 225 $1.3436, and that began very low/no-volume $1.34/$1.34xx until 11:00 switched to more $1.35. Low volume was interrupted by 11:48's 11.6K, including a 10K block, $1.34. B/a at 10:20 was 8K:3.6K $1.34/5, 10:46 7.9K:3.1K $1.34/5, 11:07 9.4K:1.9K $1.34/5, 11:34 10.3K:10.5K $1.34/5, 11:42 10.1K:3.8K $1.34/5. The period ended on 11:52's 300 $1.35.
11:53-14:46, after four no-trades minutes, began very low/no-volume $1.36/$1.37 on 11:57's ~5K $1.35 and 12:01's 100 $1.37. B/a at 11:57 was 1.2K:9.4K $1.35/7, 12:10 2K:8.4K $1.35/7, 12:15 600:8.2K $1.36/7, 12:38 1.2K:7K $1.36/7, 13:24 2.2K:~6.6K $1.36/7, 14:11 1.6K:5.9K $1.36/7, 14:40 2.1K:6.7K $1.36/7. The period ended on 14:46's 100 $1.37.
14:47-16:00, after two no trades minutes, began very low/no-volume $1.35/6 on 14:49-:51's ~11.9K 14:51 $1.36->$1.3605->$1.36->$1.35 and b/a went 1.9K:700 $1.35/6. Volume was interrupted by 15:29's ~14.6K (including a ~13.9K $1.35 block) $1.35/$1.3550 (100). At 14:55 b/a was 6K:3.6K $1.35/6, 15:22 3.5K:3.8K $1.35/6, 15:34 1.3K:4.2K $1.35/6, 15:48 1.7:3.2K $1.35/6, 15:55 2.9K:3.5K $1.35/6. The period and day ended on 15:59's 947 and 16:00's 705 sell for $1.35.
There were no AH trades.
Including the opening trade (closing didn't qualify), there were 6 larger trades (>=5K) totaling 46,278, 39.89% of day's volume, with a $1.3526 VWAP. Excluding the opening trade, there were 5 larger trades totaling 39,626, 34.15% of day's volume, with a $1.3530 VWAP.
On the traditional TA front, movements were:Ending Period Period Period __Per. Trade_ Period_ % Day_ Per. End
Period Volume Low High _Dollar Val._ VWAP___ Volume Buy ~%
11:52 36425 $1.3400 $1.3500 $48,966.51 $1.3443 31.40% 54.65% Incl 09:30 $1.3500 6,652 11:48 $1.3400 10,000
14:46 30552 $1.3500 $1.3700 $41,648.06 $1.3632 26.33% 55.66% Incl 12:39 $1.3659 5,750 13:53 $1.3655 5,000
16:00 46906 $1.3500 $1.3605 $63,521.54 $1.3542 40.43% 45.51% Incl 14:51 $1.3600 5,000 15:29 $1.3500 13,876
On my minimal chart, we traded completely at and above the $1.34 price-point known support and since this was the second close above we are now back in the consolidation range. The "confirmed" break below on 7/5 and 7/6 was just a "head fake" I guess. Today's higher low and volume, but flat high, suggests we are still in consolidation, as I have been suggesting, with, I still think, a mild bullish bias. We're still waiting for the break up or down (per Bulkowski 73% likely to break up because we rose into the triangle pattern) and it should be relatively strong ... if it ever appears!__Open_ ___Low_ __High_ _Close_ Volume_
Today 0.00% 1.52% 0.00% 0.00% 27.19%
Prior 1.50% 0.76% 0.74% 1.50% -35.16%
Maybe I should remember that today was Friday, often flat and not the best day to see the real sentiment, generally.
On my one-year chart, the 10, 20 and 50-day SMAs continue declining and sans a bump up in our trading range will continue to do so. If we hold here the 10-day will stop falling after tomorrow. The 20 and 50-day will continue falling as the 10-day starts to rise.
The oscillators I watch, which had most improving yesterday, has RSI flat just below neutral and Williams %R flat at neutral again. Marginally weakened were accumulation/distribution, still above neutral, MFI (untrusted by me), and full stochastic. Momentum improved, going from just below neutral to just above, and ADX-related improved marginally. I think the flipping from almost all improved to more mixed is a function of low volume combined with flat behavior overall. IOW, consolidation personified.
The 13-period Bollinger limits, $1.2786 and $1.4445 ($1.2760 and $1.4609 yesterday) continue converging but the lower limit stopped rising, which I did not expect. I'm thinking it's because the high today was absolutely flat with yesterday.
All in, just more consolidation but still with a mild bullish bias thanks to the slightly higher volume and higher low.
See above beginning with { ... This also meshes reasonably well ... }, which was formulated after I had written the following paragraphs.
Percentages for daily short sales and buys moved in the same direction, a good thing, but both are a bit lower than I would like. With the low volume I suspect the short percentage being a bit low is due to a higher percentage of inter/intra-broker trades, suggested by the larger trades being almost 40% of day's volume - see above). These sorts of trades bypass the market-makers and generally generate few/no short-sales. ISTM this is likely, especially so in very low-volume periods, as the chance that the sold shares have been settled (i.e. the trade(s) that bought the shares was already cleared by the DTCC) should increase as traders have to wait longer to see profit and don't sell as quickly.
This can also occur if the MMs happened to be short-term long with shares which had settled in their accounts. This may be supported by the fact that we had two days of open high and fall to low levels, recover only a small amount and go flat, followed by two days of less of a drop and more recovery (even moving above initial recovery to a high flat today). The VWAP movements in the table suggest this may be the case, especially when combined with very low volume - less risk for MMs).
If this latter case is what happened I am thinking tomorrow will not be an up day as the MMs likely dumped their shares after moving price higher and are short-term long no more or to a lesser degree. In that case they have no reason to move price up - they took their profits already - unless what they see in their order books suggests maximum volume can be achieved by doing so - they make money on volume much more so than price variations.
The spread is now into "pinched" territory. An effect of low volume? Uncertainty? MMs' bots making money on arbitrage? Don't know but conventional TA would suggest a "coiled spring", supposedly, ready to make a big move. Sans volume I just see it as continued consolidation with MMs' bots generating volume and playing the narrow spread more effectively than real market participants are able to do.
Having said that, look at the table when we had similar spreads, albeit on higher volume. Weakening followed but other metrics were also different and we only have two visible cases (and one more many months back) so we can't really predict anything based on that.
VWAP's last twenty-four readings got off neutral at eleven negatives and thirteen positives. Change since 06/03 is -$0.0952, -6.57%. As mentioned yesterday, our change from the period start began to slow as we leave the last of those higher prices behind.
All in, if it were not for my thinking about MMs "... likely dumped their shares after moving price higher ..." above I'd be "consolidation with a little stronger mild bullish bias" near-term. That MMs concern puts the brakes on that though. So I'll hold at "mild bullish".
As always, much is experimental and should be treated as such.
Bill
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