Tuesday, August 18, 2009

Midday Briefing for August 18th: Watching Non-Confirmations

Here's an updated Market Delta chart of today's action in the S&P 500 Index (ES) futures. Overall, buying pressure has exceeded selling pressure (bottom histogram), and we have been building value higher on the day at the 986.50 to 988.50 area (side histogram). The volume-weighted average price (red line) has been rising, and we've been trading above that level during the afternoon.

The recent tweet noted, "1:32 PM CT - TICK continues positive; fresh ES high not confirmed so far by Russell, XLF, XLY, XLP."

We can see in the latest bar that the marginal high in ES, which was not confirmed by many sectors, ended up attracting fresh selling pressure, returning us to that afternoon value area. It's a nice example of how tracking movement across sectors can illuminate moves in the broader market index. If, indeed, we cannot marshal broad buying interest near the 990 level, I'd expect a retracement back to vwap.