Thursday, January 07, 2010

Midday Briefing for January 7th: Narrow Rally

After successfully testing the overnight lows in the morning, the ES futures (above, Market Delta chart) have steadily moved to new highs, staying above their volume-weighted average price (VWAP; red line).

If you click on the chart, you'll see that Cumulative Delta on the day is actually negative as of this writing (blue line, bottom of chart). That means that more volume has been transacted at the market bid (sellers aggressive) than at the offer--unusual when the index is up on the day.

Accompanying this relative weakness of sentiment is the fact that the NASDAQ 100 and Russell 2000 Indexes have not made bull highs today and five of the eight S&P 500 Index sectors that I track weekly are actually down today from their opening prices. Overall, only 266 more stocks are advancing than declining on the day.

In short, it's a rally, but one with narrowing participation going into tomorrow's economic releases.