Friday, January 08, 2010

Reading Intraday Sentiment With NYSE TICK

Here is NYSE TICK on the day thus far. Note that the average TICK value has been positive through most of the morning (blue line above), suggesting little selling pressure following the unemployment numbers. Once it appeared that selling pressure was modest and that we'd hold above the overnight lows in early trade, a move back to VWAP and the 1137 area volume bulge in ES noted in the prior post became a good hypothesis.

I also like to look at the volatility of the NYSE TICK numbers, as it takes institutional, program trading to get TICK above +800 or below -800. When we see a narrow range to TICK, as we have so far this morning, it suggests a relative absence of institutional participation. That, in turn, suggests that it may be difficult to sustain breakout/trending moves, and the daily range may be restrained.