Dave's Daily: Light Volume at High Levels

Editor's Note: There is no Dave's Daily post for Tuesday, Dec. 15.

Dave Fry is founder and publisher of ETF Digest, Dave's Daily blog and the best-selling book author of "Create Your Own ETF Hedge Fund, A DIY Strategy for Private Wealth Management," published by Wiley Finance in 2008. Fry has devoted over 35 years to the business of trading and portfolio management. Check back each morning for the latest installment of Dave's Daily to get a unique ETF market overview.

December 14, 2009

STILL ULTRA LIGHT VOLUME AT ULTRA HIGH LEVELS

If you're a late to this seasonal bullish run, you better don the proper equipment at high altitudes.  That said, bulls got more bullish news from a Dubai bailout and M&A activity involving XOM/XTO.  Other than that it was more of the same--ultra-light volume and positive breadth.

Adding to what might be a bullish week is how options series are presented courtesy of our friend Scott Larison of Forefront Capital in NY.

"Large call imbalance points to an up-market this week:


As of close on 11 Dec 2009, the S&P500 front-month (18 Dec 2009) option contracts have a $103.5 billion delta (exercise probability) weighted open interest towards calls. This is the fourth largest call imbalance seen one week prior to triple witching option expiration since September 1997.

 

Strikes with the largest Open Interest as of Friday's close 12/11:

 

DEC 1050- Calls 209k, Puts 221k

DEC 1100- Calls 181k  Puts 166k"

 

We may not be posting a commentary tomorrow in advance of the FOMC announcement Wednesday.  Events can always change this.

I haven't seen volume this low unless it was a half day of trading.  Sure, the holidays approach and things will slow down greatly; but, there's still a lot of news to come this week.

Let's see what happens and you can follow our pithy comments on twitter.

 

Disclaimer:  Among other issues the ETF Digest maintains positions in: SPY, VTI, TNA, MVV, XLB, XLY, XLU, IYR, GLD, DBC, EPI and EFA.   

 

The charts and comments are only the author's view of market activity and aren't recommendations to buy or sell any security.  Market sectors and related ETFs are selected based on his opinion as to their importance in providing the viewer a comprehensive summary of market conditions for the featured period.  Chart annotations aren't predictive of any future market action rather they only demonstrate the author's opinion as to a range of possibilities going forward. More detailed information, including actionable alerts, are available to subscribers at www.etfdigest.com .

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