Thursday, June 17, 2004

While it happens more during expiration weeks than any other time, it is unusual to see open interest in OEX options decline from one day to the next (meaning more contracts were closed out than new ones opened).  OEX traders tend to be pretty astute, and when they begin to close a lot of contracts, I pay attention.  For several days in mid-May, put open interest declined, which historically is bullish (and proved itself again this time around - see the comment from May 18th).  Yesterday, call open interest declined and while one day does not a trend make, it was a notable development and I think should continue to be monitored (as it is bearish, last happening in early April). 10:41:48 AM

As I mentioned in the short-term Summary on the Daily Overview page last night (click the Subscriber Home link to the right), the Nasdaq 100 tracking stock, QQQ, had its 2nd-tightest range in history yesterday (meaning how far it traveled from its highest intraday price to its lowest intraday price).  The all-time lowest was 12/24/03, the day before Christmas last year.  Looking at the 10 tightest ranges in QQQ history, the average range the next day was 0.64, or about triple what we saw yesterday.  There was no clear directional bias to the following days, however in general the market tends to keep going short-term in the direction it breaks out from such a narrow-range day. 9:16:59 AM