Posted by: jhamon | August 5, 2009

MysteryHedgie: It’s All About The Mo…

MysteryHedgie writes:

Mo…… momentum resides with the bulls in stocks, commodities (Aluminum and copper in particular) and in  currencies such as the Euro, British Pound, and Brazilian Real.  Momentum is easy to see by looking at the chart (clearly SPX since early July is easy to spot) or measuring Relative Strength (RSI).  Less obvious is the waning of momentum…our favorite measure of slower mo is 10 day realized volatility….attached is SPX realized vols, with the 10 day, in white, dropping this morning  to below levels seen at the last trading high on June 11.  The weaker economic figures have stopped the Mo; unfavorable reaction to CSCO’s earnings report after tonight’s close or a trade in the leader, NDX, below 1600, reverses it.

SPX Volatility Metrics Dropping

SPX Volatility Metrics Dropping

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