Tuesday, September 29, 2009

Midday Briefing for September 29th: Building Volume Lower

12:12 PM CT - I added the above chart to show how we were unable to hold prices below the overnight lows, leading to volume coming in at the offer in ES and a positive shift in the NYSE TICK. That has taken us back above VWAP, creating range dynamics for the day, with advancers leading declines by about 200 issues.

Note how we broke below the volume-weighted average price (red line) on the weak 9 AM CT confidence numbers, with volume at bid exceeding that at offer in ES since then. We moved below the preopening lows and have retraced much of the Monday rally, especially in NQ. We are back to yesterday's breakout level in NQ and only a few points above that in ES, as we're building volume below VWAP. Gold and oil are in multiday ranges; the dollar has strengthened vs. Aussie dollar, but is well off its highs from yesterday. NYSE TICK has been moderately negative on the day, reflecting the selling pressure. Should we hold above that Monday breakout level with improved TICK distribution, I would expect a rotation back above VWAP. A move below that breakout level would represent fresh selling and place us in a range trade between Friday's lows and today's overnight highs.