"Market Breadth" Posts
Custom Market Breadth Data Now Available From Historical Data Bank
By LawrenceFirst set of custom market breadth data for Dow Jones Industrial Average, Nasdaq 100 and S&P 500 is now available from Historical Data Bank. Once we make sure the new auto upload mechanism is working smoothly, I will expand the set to include more custom market breadth data. A related update to the website will […]
Market Breadth Primer: The VIX Phenomenon
By Lawrence
Majority of option traders who understand options tend to focus on the mathematics of VIX while the chart traders who trade S&P 500 Index futures tend to focus on the chart patterns and confirmation signals from VIX. Who is right? Who understand VIX better? Here is a short piece on the VIX Phenomenon that no […]
Market Breadth Primer: Detective Tools
By Lawrence
I mentioned that the most reliable source for tracking index component changes is the public record of press releases. Here is an example how to search for these records online. Find The Press Release Agency From the index owner website, you can always find their press release section. By checking out those press releases you […]
Market Breadth Primer: S&P 100 Historical Constituents Change History
By Lawrence
S&P 100 (OEX) is a subset of the S&P 500 Index containing the top 100 most valuable companies within the S&P 500. This index has long been used for the construction of financial derivatives like index options for decades. The most well known symbol for S&P 100, OEX, is in fact the ticker symbol for […]
Market Breadth Primer: Nasdaq 100 Historical Constituents Change History
By Lawrence
Nasdaq-100 (NDX) is one of the most followed index worldwide. Many derivative products are created around the index itself to allow participations in its rise and fall all around the world. Unlike S&P 500, Nasdaq-100 does not require a company to be listed within United States only. This makes Nasdaq-100 a truly international index. Due […]
Update on Custom Market Breadth Data
By LawrenceWe are getting close to release the custom market breadth data in the Historical Data Bank. The delay is more than what we bargain for as hard disk problems and other messy issues strike. Just like what Murphy’s Law says, anything that can go wrong will go wrong. Anyway, the problems are resolved. We are […]
Market Breadth Primer: S&P 500 Historical Constituents Change History
By Lawrence
Unlike Nasdaq 100 and other indices managed by various exchanges, information on the S&P family of stock market indices are proprietary. That means all kinds of information about the S&P indices are not public information and that such information can only be obtained through various paid services that licensed the information directly from the owner […]
Market Breadth Primer: Component Changes And Their Effects
By Lawrence
Stock market indices are calculated from a basket of components. These components, however, are not always the same. Components are changed for many reasons. Contrary to what many conspiracy theorists say, majority of these reasons are legit. I am going to discuss the effects of component changes and how that affects our choice in picking […]
Market Breadth Primer: Custom Market Breadth Components Resources
By Lawrence
In order to construct and maintain custom market breadth data, you need access to the latest list of components for the target baskets in order to collect the statistics properly. Following are resources you may find useful if you maintain your own custom market breadth data like I do. It is also useful for anyone […]
Market Internals 2014-01-23
Monthly update on market internals. The current snapshot of S&P 500 3-Day Advance Issues, Tick16 Short Term + Long Term as of 2014 Jan 23 close. Review Short term bullish bias played out with S&P closing at year high by Dec 21, 2013. 3-Day Advance Issues breaking neutral zone decisively on 1st trading day […]