Jun 182010

Not much to say news wise today. Traders are all weighing the pieces of the puzzle and trying to come to a decision about which way to play it today. It is really all about options rolling and/or flattening and not the cash or futures today. The dog will be wagging the tail to be sure. There is really no guidance in the bonds or currency or the carry trade this morning either as expected. Something is going to happen as we build energy for the open that is for certain. Yesterday we saw the classic pre-expiration move with the big sell-off followed by the afternoon run up. This is beyond the scope of this blog but this expiration play is essentially a giant fake out. The idea is to get everyone to believe that institutions are positioning to the long side with a late day rally when in fact they were net sell and leading the short trading on heavy volume. Overnight institutional deltas in the futures are strong to the long side but something smells fishy since the long volume is light in contrast to yesterdays heavy short volume. Then again it could just be from the game being played. That, combined with the light volume makes me think maybe we see a short spike up from retail optimism followed by a sharp sell off. Still, it is too tough to call. It will be tough today so be careful. Volatility at the edges will be off the charts potentially – especially the OH and the 1100 handle. We shall see…

 Posted by at 9:23 am

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