Ahoy mates, I saved you the rigmarole of running standard deviation studies on the NASDAQ 100 TICK. Using high quality IQ Feed data, I ran a study on 1-minute bars to determine 1^st-3^rd standard deviation for the indicator.

I set audio alerts for the 2^nd and 3^rd thresholds using Multicharts. We’ll see if those last or end up in the junkyard with the other algo scraps.

Here’s how the data looks on my side:

Positive TICK 1^st, 2^nd, 3^rd sigma: 36, 54, 70

Negative TICK 1^st, 2^nd, 3^rd sigma: -37, -52, -68

Why does any of this matter? Have you ever looked at something and thought, “hmm, that’s different”? Would you want to know if something you’re seeing is in fact abnormal? I do. When I am in a trade I accept that my limbic system will be active and a big part of my job is being aware of the waves of emotion that sometimes get in the way of trading. One of my boulders to channeling that creative energy into objective trading is basing my observations and decisions on cold-dead numbers, logic.

Are they Holy Grail trading signals? No, but they do offer a peek inside the engine of our good friend /NQ_F.

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The Nasdaq is starting the week flat after an abnormally docile overnight session. Both range and volume are compressed below normal which is even more radical given the longer duration of the Sunday/Monday globex session.

Last we the market started at swing highs and spent three days [one, Monday, a holiday] trading flat before making a two day upward thrust. Friday’s action resembled a trend day although not an exceedingly strong trend day.

We have Existing Home Sales at 10am and Dallas Fed at 10:30am. Traders are already looking forward to Tuesday and Wednesday when Fed Reserve Chair Yellen is set to testify before the U.S. Senate and House. They will be listening for any hint of when the Fed will raise interest rates.

Heading into today, my primary expectation is for balanced, two-way action. Sellers may push into the long inventory a bit to test down into Friday’s move. I will look for responsive buyers to defend from 4423 -4420 area.

Hypo 2 is buyers continue drifting the market higher and sustain trade above 4435.

Hypo 3 is a sharp move down through 4423-20 area to test 4413 then 4408.

See what I am seeing, below:

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Nasdaq futures are flat as we head into Friday’s trading session. The holiday shortened week featured flat trading until yesterday when an early OTF buyer came in and triggered a short squeeze. We then spent much of the afternoon drifting sideways with a slight upward skew.

The action carried into the overnight session where prices continued to drift higher until early this morning when a seller knocked them back a bit. Price held yesterday’s VAL and is working higher as we approach cash open.

Heading into today, my primary expectation is for buyers to push into this morning’ seller to close the gap up to 4414.75 and test yesterday’s high 4415.75. Here I will look for sellers to defend and then push us below the overnight low 4406.25 to work us back into Wednesday’s range 4393.50.

Hypo 2 is buyers take out yesterday’s high 4415.75 and target the overnight high 4425.25.

Hypo 3 is sellers push down through yesterday’s low 4387.25 early and down into Wednesday’s range to target 4382 mCVPOC. Extended target is NVPOC at 4360.

Markit MFG PMI at 9:45 may lend to a choppy 2-way open until after the number.

Levels below:

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The Nasdaq is up a touch, trading in the upper half of yesterday’s range. Price exceeded yesterday’s high briefly this morning on [untrue] reports of an agreement of sorts in Greece. The move went on to test the 4400 century mark before falling back into the weekly long value/balance we have formed.

At 8:30am Initial/Continuing Claims came out a touch worse than expected as was the revision to the prior number. This brought in a small bit of buying but nothing overly notable. At 10am we have Leading Indicators and the Philadelphia Fed, at 10:30am the Natural Gas Storage statistics, and at 11am Crude/Gas Inventory stats.

Wal-Mart reporting earnings this morning and they are often considered the purest data point to the overall health of the retail front in America. They are trading a touch lower premarket after beating earnings expectations and raising the dividend. The selling pressure may be attributed to their guidance where they cite the strong dollar as a potential headwind to forecasts.

As stated earlier, we are in 3 days of balance. This is occurring just after the market made new swing high and as we push through the monthly option expiration week. The action is in stark contrast to the rest of the year so far, which has featured large/fast ranges.

Heading into today’s session my primary expectation is for sellers to push into the overnight inventory and test down to 4382. Below here I will look for buyers to respond and start working toward yesterday’s high 4393.50.

Hypo 2 is sellers push down through the overnight low 4376. In this instance I will look for responsive buyers at 4372.75. They struggle to reclaim 4382 setting up a liquidation lower to target 4363.25 then the naked VPOC at 4360.00.

Hypo 3 is a variation of hypo 2 where the responsive buyers at 4372.75 hold and 2-way balance ensues a bit lower.

Hypo 4 is we drive and take out the overnight high 4400 century mark to target the measured move to 4417.50.

Levels are highlighted on the following charts:

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The Nasdaq is off to a slow start this week, and the tranquility continued into globex overnight where both range and volume compressed to below-normal levels. The overnight session is pressing its lows as we head into cash open after taking out yesterday’s high last night.

At 8:30am we have Housing Starts/Permits which came in worse than expected. We have Industrial Production stats just before the open at 9:15am and most importantly the FOMC minutes at 2pm.

After the holiday on Monday, yesterday we saw 2-way short timeframe participants performing the balance trade atop 2 weeks of rallying. Buyers managed to extend the range up slightly. Heading into today we are trading inside yesterday’s balance range.

Early on my primary expectation is for the two-way trade to continue. I will look for signs of a higher timeframe around the open, but they may not become active until the afternoon. I am looking for an open auction inside yesterday’s range to test down to 4272.25 before finding responsive buying back up to 4386.50. from there I will look for buyers to made a run at overnight high 4390.50.

Hypo 2 is sellers push through the low-end of yesterday’s range 4272 and continue working lower to target the naked VPOC at 4360 and then a stretch target of the gap to 4345.75.

Hypo 3 is buyers are aggressive early, take out overnight high 4390.50 and work toward the measured move target of 4417.50.

Note, the volume profiles and market profiles are quite similar today:

 

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Nasdaq futures are pairing back some of their overnight gains as we head into cash open. The overall structure is balanced on a normal range for Globex but on slightly abnormal (2^nd sigma) volume.

At 8:30am Empire Manufacturing came in lower than expected and introduced some selling to the market. Also on the agenda today are NAHB Housing Market Index at 10am, Fed’s Plosser speaking at 12:45pm, and Net Long Term TIC Flows at 4pm. Traders will also focus on tomorrow afternoons FOMC minutes which are just on the horizon during this option expiration week.

Taking to the charts, we see buyers probing up above prior swing highs after chopping through a multi-month range dating back to late October. Thus the long term is neutral-to-bullish—the risk of mean revision back into the range is still present.

Intermediate term we are bullish. Price and value have been migrating higher for over two weeks. Along the way we left some open gaps and naked VPOCs. Friday we printed a normal variation after sellers could not range extend lower and close the overnight gap. Instead we traded higher into the weekend.

Heading into today, my primary expectation is for sellers to push into the overnight inventory and test down through the overnight low 4364.50 to tag the NVPOC at 4360. Here I will look for responsive buyers to take us back up to Friday’s close 4377.25 then take out the overnight high 4385.75 to target the measured move up to 4391.25.

Hypo 2 is buyers defend around Friday’s close 4377.25 and continue exploring higher prices. Take out overnight high 4385.75 and measured move target 4391.25 to begin working toward 4417.50.

Hypo 3 is sellers aggressive and overshoot the NVPOC at 4360 to test the LVN at 4353 and then eventually close Thursday’s gap down to 4345.75 with a stretch target down to 4326.75.

These levels are highlighted on the following volume profile chart:

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Nasdaq futures were set adrift higher overnight after closing out the session at a new swing high. Volume and range are a bit light but still well within the confines of normal. The behavior has a 1-timeframe feel to it, never managing to put in a counter rotation of significant magnitude during the session.

We have U of M Confidence numbers at 10am. It is the preliminary read for February. Last month this data had an elevated impact on price. Fed Fisher is speaking at 1:30pm.

Yesterday the market had a “pro gap” up and didn’t give much of it back before working higher for most of the session. The resulting profile has an air pocket from 4335 – 4329 in what looks like a double distribution trend day.

Intermediate term we are bullish with a slight neutral skew given we are just above swing high. When the market takes out a major level I like to take my eyes out to a weekly chart of the composite to see what has happened. See below:

My primary expectation heading into today is for sellers to push into the overnight inventory and work at a gap fill down to 4345.75. Sellers can penetrate yesterday’s range and work through the volume pocket 4335 – 4329 to ultimately target the naked VPOC at 4326.75.

Hypo 2 is sellers cannot press into yesterday’s range and we take out overnight high 4362 and continue exploring higher prices.

Hypo 3 is a gap and go drive higher.

Hypo 4 is stronger than expected selling which takes out the air pocket 4335 – 4329 early and works toward testing yesterday’s low4315 putting yesterday morning’s gap into play for a sharp reversal back into the multi-month range.

Key levels are highlighted below:

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As we draw near the close of the week, the Nasdaq performance is well out in front of the other indices, 3x as much performance as the Russell and 50% more performance than the S&P. The strength this week in shares of AAPL [4.31% this week] likely attributed to this behavior, but with bearish Friday on the horizon one has to wonder if the Nasdaq is bluffing or truly taking the reigns of this bull. One would be wise to keep a watchful eye on Apple.

Futures are higher as we head into cash open. There was a flurry of buying yesterday just after cash close as participants received more news about the Greek situation. The action came to an end just before 5pm after it tagged the Christmas Eve (12/26) HOD 4322 to the tick. We then reversed lower and cut into yesterday’s range a bit, down just below the MID 4288.75 before reversing and trading all the way back up through the 4322 high.  Despite the seemly big overnight action, the range managed to stay 1^st sigma, although range is elevated to slightly abnormal 2^nd sigma levels.

Price was at this level when Advance Retail Sales came out well below consensus. The bad news received a positive reaction. Bad news-positive reaction is a v.bullish behavior.

We are trading on the upper end of a range dating back to late October. The market behavior leading up to today would lead one to expect range high to be defended, sending us back lower. However, the range is mature, thus it is possible we shift into a discovery phase up.

The market profile structures leading into today are anything but normal. We have printed FOUR neutral days in a row, and several more in the last few days. This speaks volumes to the compression taking place and the battles it’s creating.

Early on I will look for sellers to press into this overnight inventory and work back to around 4305. There I will look for responsive buyers to take us back to to target the overnight high 4325.50 and close the gap up at 4333.

Hypo 2 is buyers are more aggressive on the open and drive higher at the start, take out 4333 early and look to make new swing high.

Hypo 3 is sellers push down into yesterday range and close the overnight gap to below 4298.25, and continue lower to target the overnight low 4285.75.

These levels are highlighted below:

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Nasdaq futures are trading flat as we come into the cash session. Range compressed down to an abnormal sub-1^st sigma range on low, but normal volume. We traded in the upper quad of yesterday’s range.

A few of the bigger players who reported earnings this morning are trading higher (PEP, TWX, ING) and the economic calendar does not have any major events for today. Fed Fisher is speaking in New York to economists, he has been doing so since 8am. We have oil/gas inventory stats at 10:30am and at 2pm we have the Monthly Budget Statement.

Yesterday we opened gap up from Monday’s neutral day. Buyers defended re-entry into Monday’s range and then the market began one-time frame trading higher for the rest of the session. The print was technically a neutral extreme due to the double range extension but the formations of value areas along the way and subsequent breaks higher looked more like a trend day.

Price exceeded Last Friday’s high and pushed into the large value distribution at the top of our intermediate term range. At this point we are on the high end of range and traders will be on watch for signs of an aggressive seller entrant. Over these next several days, buyers are tasked with proving their initiative, otherwise one is more wise to assume the current market behavior of bracket-range will continue.

My primary expectation heading into today is for choppy, 2-way action with a buying skew. Price will look to target the MCHVN at 4285.25 and continue higher to target 4293. Stretch targets are 4300 and 4302.50.

Hypo 2 is sellers us down the zipper to 4262.50 where we find responsive buyers who manage to take out yesterday’s HOD 4284 but not much more and begin the process of cutting into yesterday’s gains targeting 4254.25 then 4240.50 with a stretch target of 4233.25.

Hypo 3 is strong buyers off the open who press up through 4290 early and then put together a second leg up to test 4302.50.

These levels can be seen below:

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Nasdaq futures traded a balanced session overnight before running higher at 7am on news of an extension to the Greek bailout. It is important to note when a move was news driven as the market tends to ‘check back’ to the originating point of the move to ensure it still garners the same type of reaction.

Volume and range are normal on the session and the economic calendar is quiet today. Fed’s Lacker has been talking since 8:20am and we have Wholesale Inventories at 10am. This may result in a choppy, 2-way open as we wait for the news shortly after the bell.

The intermediate term is neutral dating back to late October. We had a strong up move last week, and yesterday we printed a neutral day after starting the week gap down. Responsive buyers were found inside of last Wednesday’s range.

Heading into the open with a ‘pro gap’ up, my early expectation is for an open auction outside range open type which attempts to reenter Monday’s range at 4232 and more importantly the crime scene at 4225.  Hypo 1 is buyers step in ahead of Monday’s range and press higher to target Friday’s NVPOC at 4249.50 then work toward retesting Friday’s high 4268.25

Hypo 2, we penetrate the range then I will be expecting a tag of the VPOC at 4219.25 then a full gap fill to 4215.50.

Hypo 3 is a drive down gap fill to 4215.50 and continue lower through Monday’s low 4201.75 and push to test the MCLVN at 4198.50 and a stretch target of 4189.

These levels are highlighted below:

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