Wednesday, February 03, 2010

Midday Briefing for February 3rd: Bearish Themes

Intermarket themes have supported lower stock prices for the morning, with a strong US Dollar and weak commodities. Cumulative NYSE TICK and Cumulative Delta have been negative, and we can see from the above Market Delta chart that we've been trading below the volume-weighted average price (VWAP; red line) for much of the morning.

We have built considerable volume in the 1093/1094 area in the ES futures; I will be watching how we trade with respect to that level going forward. Note the weak Russell 2000 Index and relatively strong NASDAQ 100 Index; I'll be looking for possible divergences should we rebound to the recent highs in ES.