Monday, May 23, 2016

Flash Crash Deja Vu: Order Imbalance

All sources of liquidity have been systematically depleted. Skynet is working double overtime to break this downtrend...

The divergence between JPY (Carry/Risk) and U.S. stocks grew larger overnight as the anticipated decline in USDJPY took place amid flat S&P futures...

This sets up the 2010 Flash Crash scenario (red rectangle below): A very sharp rally followed by heavy selling. 

Down volume (blue line). Red vertical lines show where the market was the last time down volume was this high...



Put volume is rising as well




The S&P futures are in a one month downtrend:




Money flow


On Balance Volume



Breadth Momentum is weaker than August and December at these same price levels...



Price momentum