V+V=$$

by Larry Levin

The month of May is over and summer is beginning. We sure hope the next few months are a lot like May because it was Trading Advantage's best month. What caused the change in the market was exactly what we expected was needed: bad news.

The market had been going higher on preposterously low volume and no volatility whatsoever, which is quite bad for us day traders. The bad news out of Europe, although it had been known for months, finally affected the markets in May. This bearishness increased both the volume and the volatility markedly, which is great for day traders, thus the equation above: V+V=$$.

No matter how you measure volatility - the VIX, ATR, overnight trading, etc - volatility has exploded. Daily volume has also increased a great deal. The 10-day moving average of the advancing/declining volume at the NYSE was barely 900 million shares per day before May. It is now roughly 1.7-billion shares per day.

Another interesting statistic is what we call a #4 day. These types of days are usually quite choppy and range bound - essentially a low volatility day. In May there were the fewest #4 type days that we have seen in a very long time: 50%. The average had been north of 75%.

Let's hope it continues...and GO HAWKS!



Previous Day's Trading Room Results:

Trade Date: 5/28/10

E-Mini S&P Trades*
(before fees and commissions):


1) OTF sell @ 10:46am at 1096.00 = -.50 (1 lot)

2) FT sell @ 11:54am at 1090.50 = +1.00, -.50, -.50 (3 lots)

3) Algorithm positions (9)

4) “Reading the Tape” positions (7)combined Secret’s, Algo, & “Reading the Tape” total… +15.25



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