Monday, December 5, 2011

12/6 Almanac

On Tuesday, Dec. 6: Nothing of interest.

There are 11 days before the December options expire, 46 the January, 74 the February and 102 the March.

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


Blue chip stocks (SPY) closed the latest regular session up 1.1% from the prior close. During the day SPY traversed 1.4% in a net move down of 0.5%.

The day's extremes: Open $126.84, high $127.18, low $125.44, close $126.22.

SPY closed above the DeMark pivots after trading within their range. The next DeMark pivots are $124.96-$126.70.

In total, 2.6 billion shares were traded on the three major U.S. stock exchanges, up 5% from the prior trading day.

Implied volatility suggests a 68% chance that SPY will close, 30 days from now, between $116.23 and $136.21. The range is +/- $9.99 from the last closing price, 11¢ wider than on the prior trading day.

Bond yields imply that inflation, over the next five years, will average 1.88%, one basis point lower than on the prior trading day.

Econ reports

It's an econ report desert, with two retail weeklies -- ICSC-Goldman at 7:45 a.m. Eastern and Redbook at 8:55 a.m. -- as the sole oases.

Treasury auctions 4-week bills at 11:30 a.m. and reports on Treasury STRIPS activity -- instruments that separate principal and interest on Treasuries -- at 3 p.m.

Fed Gov. Daniel Tarullo delivers a speech at 10 a.m. Eastern. A member of the Federal Open Market Committee, Tarullo assumed his position under President Barack Obama. His resume shows institutional ties to the Clinton administraton and the late Sen. Teddy Kennedy.

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

Trading Calendar:

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

Good trading!

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