Thursday, June 04, 2009

Looking at a Range Trade

We're trading firmly inside our overnight range; as
my Twitter post noted, we have a relatively even number of stocks trading up vs. down from their open. That places us in a range trade, and we want to adjust expectations accordingly, especially if trade slows down. Longer-term, I'm looking to see if we can hold above yesterday's low on selling. If so, and if we're seeing strength in Cumulative TICK and Delta, I'd be a buyer. In a range environment, however, execution is everything; chasing strength or weakness is a sure way to hit your daily loss limits.

11:57 AM CT - I added the top chart to illustrate the range trade with the Market Delta chart. Note the oscillation around the volume-weighted average price (VWAP). Buyers have the edge over sellers in volume traded at offer vs. bid; we're also seeing good strength in TICK. If the sentiment skew continues, we could make a nice run at an upside breakout. I'll be tracking the behavior of volume on any attempted breakout move to see if we can accept price away from the range.