Friday, December 26, 2008
Assessing Institutional Participation and Other Ideas for a Holiday Weekend
* Assessing Institutional Participation - Most analyses of NYSE TICK focus on direction, as a way of gauging buying vs. selling pressure. Because it takes institutional/large trader activity to move the TICK significantly (i.e., to trigger the simultaneous upticking vs. downticking of NYSE issues), the volatility of TICK itself is a nice way to assess institutional participation during the day. Above we see a moving one-day average of one-minute ranges in NYSE TICK (pink) plotted against the ES futures (blue). In general, we tend to see more TICK volatility near intermediate-term market bottoms and less volatility near price peaks. Note the huge tailoff in TICK volatility in the last session, as institutional activity was quite sparse during the holiday session.
* New Site - Trader Planet includes commentary and blogs, as well as articles and a variety of community features.
* Brains, Behavior, and Performance - Here are the most popular articles from the Sharp Brains site.
* Worth Following - The Traders' Talk feature of the Green Faucet site includes perspectives from some keen market observers.
* More Good Stuff? - If you're a blogger posting material that would be of special interest to Trader Feed readers, by all means email me the URLs and I'll be happy to include in Twitter and/or blog posts.