Monday, October 3, 2011

10/4 Almanac

On Tuesday, Oct. 4: Factory orders, Bernanke testimony.

There are 18 trading days before the October options expire, 46 the November, 74 the December and 109 the January.

Almanac changes: I've added an implied volatility trading range on SPY and slightly reworded the bond yields implied inflation graf.

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


Blue chip stocks (SPY) closed the latest regular session down 2.9% from the prior close. During the day SPY traversed 3.6% in a net move down of 2.3%.

The day's extremes: Open $112.49, high $113.95, low $109.81, close $109.93.

SPY closed below the DeMark pivots after trading within their range. The next DeMark pivots are $107.80-$111.94.

In total, 3.8 billion shares were traded on the three major U.S. stock exchanges, 15% more than on the prior trading day.

Implied volatility suggests a 68% chance that SPY will close, 30 days from now, between $95.77 and $124.09. The range is +/- $14.16 from the last closing price, $0.23 wider than on the prior trading day.

Bond yields imply that inflation, over the next five years, will average 1.56%, one basis point lower than the prior trading day.

Econ reports:

The Commerce Department releases statistics on factory orders at 10 a.m. Eastern.

Also out, two weekly retail reports: ICSC-Goldman at 7:45 a.m., and Redbook at 8:55 a.m.

Treasury auctions 4-week bills at 11:30 a.m.

Fed Chairman Bernanke testifies at 10 a.m. before the Joint House-Senate Economic Committee about the economic outlook.

Also, Fed Gov. Sarah Bloom Raskin gives a speech. She was appointed by President Obama and is a member of the Federal Open Market Committee. Her resume shows institutional ties to Maryland state government and the Conference of State Bank Supervisors and Promontory Financial Group LLC.

The Federal Reserve maintains an archive of speeches and testimony.

Trading Calendar:

By my rules, at this point in the cycle I can trade October vertical and calendar spreads, as well as January or later straddles, strangles, calls and puts. And of course, shares are good at any time.

Good trading!

No comments:

Post a Comment