Friday, October 21, 2011

10/24 Almanac

On Monday, Oct. 24: Chicago Fed national activity index.

There are 26 trading days before the November options expire, 54 the December, 89 the January and 117 the February.

On the jump, market stats, econ reports, and the trading calendar . . .


Blue chip stocks (SPY) closed the latest regular session up 1.9% from the prior close. During the day SPY traversed 2.0% in a net move up of 0.7%.

The day's extremes: Open $123.09, high $124.12, low $121.65, close $123.97.

SPY closed above the DeMark pivots after trading within their range. The next DeMark pivots are $122.81-$125.28.

In total, 3.1 billion shares were traded on the three major U.S. stock exchanges, 5% more than on the prior trading day.

Implied volatility suggests a 68% chance that SPY will close, 30 days from now, between $112.77 and $135.17. The range is +/- $11.20 from the last closing price, 91¢ narrower than on the prior trading day.

Bond yields imply that inflation, over the next five years, will average 1.80%, two basis points higher than the prior trading day.

Econ reports

The Chicago Federal Reserve's national activity index will be released at 8:30 a.m. It's not a market mover. In fact, I'm not sure that I recall ever having seen a news story about it. But on Monday, it stands in noble solitude.

Treasury auctions 3- and 6-month bills at 11:30 a.m. Eastern and announces funding requirements for 4-week bills at 11 a.m.

There is one Fedster at the podium.

Dallas Fed Pres. Richard Fisher is a member of the dissenting Gang of Three on the Federal Open Market Committee. He took office under President George W. Bush, had ties to former Secretary of State Henry Kissinger’s strategic advisory firm, the private bank Brown Brothers Harriman Inc., and his own money management firm. 9 a.m..

The Federal Reserve maintains an archive of selected speeches and testimony.

As the week progresses, look for consumer confidence on Tuesday; durable goods and new home sales on Wednesday; the GDP, jobless claims and pending home sales on Thursday; and personal income and outlays on Friday.

Trading Calendar:

By my rules, at this point in the cycle I can trade November vertical, calendar, diagonal and butterfly spreads, iron condors and covered calls, as well as February or later straddles, strangles, calls and puts. And of course, shares are good at any time.

Enjoy the weekend!

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