While stubborn bulls may have watched today’s action, trying to “play it cool,” let’s face it- this type of action in the market doesn’t happen that often. In fact, getting a more than 30 handle pull back in the Spooz like we did today (32.25 handles was the daily range) in the midst of a strong market (one in which the 30D change is over 5.5%) has happened just 21 times in the past 10 years. That number translates to 0.75% of the time since Jan. 2000. So who are we kidding, today was a very different and rare trading day.
*Blue font denotes input parameters
*Bold font denotes output parameters
Nothing screaming huge sell off again tomorrow (for instance, the probability of closing up tomorrow is 47.62%, still not too bad). The probability of making a lower low is 61.9%, favouring another pull back, but not to an extreme. What I am more interested in regarding the above model is that the odds of the next 10D change being up (more than 0%) are 33.3%, which meets my definition of “low.” From a gut standpoint, I don’t expect a bloodbath sell off of the likes of the one we saw in May/June of last year. But I do expect that it will take at least another 10 days before the market sees a recovery or bounce off the lows.
1D 10D Range Input 30.00 30D Chg 5.50% Next Day Pct Chg Input 0.00% Number of Instances 21 Number that Meets Criteria 10 7 Number of Higher High Next Days 4 Number of Lower Low Next Days 13 Number of High Above R4 Next Days 4 Number of Low Below S4 Next Days 4 Probability of Up 0% Next Time Period 47.62% 33.33% Probability of Higher High Next Day 19.05% Probability of Lower Low Next Day 61.90% Probability of Ticking Above R4 Next Day 19.05% Probability of Ticking Below S4 Next Day 19.05%