Since last Thursday, the CSFB and TED Spread have headed lower. Both are above halfway through retracing their latest impulse. (CSFB, since 6/7, TED since 5/26).
On 6/7, the cost to protect a position was low, but it also proved to be a turning point for the daily trend. On 6/4, option put and future contract interest increased. The delta between 6/4 and 6/7 call options showed build-up, and put delta 6/4 to 6/7 was virtually opposite.
6/7 was a "quiet" day in the futures, but the options pit showed an activity reversal at day end, although the market slipped lower. Some of this activity may have been due to contract roll-over, since June 18 was a futures contract expiration, and the oversold levels of the market.
Given the market is trending lower and the relative cost to buy a protective put is lower than last week, but still higher than two weeks ago, this downtrend may have a short term bullish reversal & bull failure approaching (in that order).
No comments:
Post a Comment