Thursday, March 11, 2010

Ten Things I Look for in a Range Market

Here's a quick review of what I look for in identifying a range day:

1) A mix of stocks up and down from their opening prices (above; green and red prices);

2) A narrow margin between the number of NYSE stocks advancing and declining;

3) A relatively flat cumulative TICK line;

4) Cumulative Delta (cumulative volume at offer minus volume at bid) near zero;

5) Low relative volume;

6) Volume drying up on moves away from VWAP;

7) Price oscillating around VWAP;

8) Absence of significant news items; absence of response to news items;

9) Lack of trending among related asset classes (commodities, currencies);

10) Few NYSE TICK readings > +800; few TICK readings < -800.