9/10 in review

SPY is up by 0.54%

Secondary: still in an up cycle

Primary: SW: +175, Slope: +13, Change: -8, Value: 2729

SPY MP: continues lower without a reversal since 8/28

SPY Liquidity: lower, flat since mid-day

SPY Algos: they've sold modestly into the past three days, pretty flat.

SPY DP's: had two big buy spikes at 12:16 and 15:16. Dark Pools have really sold the last pop, and started buying into the lows yesterday. This buying has continued today with big volumes. This is the biggest spike in their activity for the past 8 days. I will feature some charts:

Dark Pools intra-day:

Liquidity (all) and Algos in comparison:

The charts above show how large DP's volume was when compared to the overall liquidity.

15-minute DP chart:

VXX MP: higher all day

Key components for the trading day:

• Weak opening SW, weak origination of a new up cycle.
• SPY MP lower all day.
• Afternoon extension in price without any support from the Change or SW.

SW has ranged from -400 to +850, which has put the slope in the average of +20-30 and turned the Primary up from a moderate value of -234. The origination of a new cycle has been very weak; under slightly changed circumstances the Primary could have been turning down at the close.

While the afternoon reversal certainly wasn't pretty, it has simply retraced the up extension, as price has closed near the prior consolidation levels. Today could have been much worse, given the yesterday's downside potential.

There has been a slow down in Algo selling activity, which lasts already for 3 days - the previous time since the panic it lasted for 2. There has also been a spike in their quote rate activity, which has been quiet for a multiple-day period, (marked by the orange square):

The next leg on the algo liquidity will be critical, because current behavior doesn't support the up cycle on the Secondary at all.

Meanwhile, the trading ranges are getting squeezed on intra-day and daily time-frames. We are getting squeezed both in short term range, as well as in intermediate, as that trend-line gets closer and closer to price. However, there is no trouble unless we break the low from 9/4 - 191.6

1-hour:

Daily:

On the 15-day time frame, which captures the whole breakdown, we have the following picture:

We have filled that volume null which was caused by 4 different gaps, but at the moment price is right in between two intermediate nulls, which are important - price hasn't consolidated there or traded in them for a good amount of time - it only swiftly moved through.

Underneath there is a bigger volume support, caused by three solid trading days in that range, and so far I believe that it will remain unbreakable.

With the current value of the Primary, it is likely that it will turn back down in the first 30 minutes of trading tomorrow. 

BOTTOM LINE

Given the positioning of the primary and an afternoon reversal today, I would expect it to turn down at the open, and for the price to test the lows (end of the volume null). I do not think that the lows would get successfully broken - I would expect some range trading in the lower zone with some faders higher, possibly a fader of the morning weakness and a slightly down/up day. If the lows get broken, we could close the gap, but again, I don't believe in a follow-through any lower - at least right now.

P.S.

One thing that I want to point out is the Dark Pool behavior - collapsing VXX MP yesterday and pretty serious buying today into the afternoon and into the close.