Friday, September 9, 2011

Friday higher if we break above ES pivot

 Grüße an unsere Leser in Deutschland!

The Hoot 
Actionable ideas for the busy trader delivered daily right up front
  • Friday bias weakly positive, low confidence.  Bull-bear ratio is 3:2
  • ES pivot 1190.50.  Failure to break above is bearish.
  • Next week bias up.
  • Monthly outlook: bias down, regardless of Fed action in September
  • ES Fantasy Trader opened new long position at 1189.25.

Today the Dow basically just meandered around ahead of Bernanke's remarks, first up, then down.  I guess people had their minds made up though because the ultimate downtrend began three hours before Uncle Ben even spoke.  Someone get a copy in advance?  Hmmm?  Anyway, the futures certainly didn't like Empty Suit B.O.'s latest Speech of Nothing either, dropping 7 full points before he wrapped it up.  Then they started moving higher again.  Go figure.

The technicals

The Dow:  While the Dow closed entirely outside its descending regression trend channel, which is bullish, it also put in a bearish dark cloud cover.  However, its indicators are still oversold and the stochastic just did a bullish crossover.  I think those all pretty much cancel each other out, so no points.

The VIX  Today the VIX put in a funny little doji and gained 2.8%.  However, it is right in the center of the Twilight Zone (the area halfway between Bollinger bands), and its indicators are also halfway between oversold and overbought.  It does nothing for me, so no points either way.

VIX futures: On the other hand, the VIX futures today put in a candle that is part hanging man, part dark cloud cover and their stochastic executed a bearish crossover, all strongly suggesting lower VIX (implying higher stocks).  That's about the only unambiguous technical tonight.  That give the bulls +1.

Market futures: All three futures are trading higher right now, with ES up 0.21%. But today's candle was also a dark cloud cover and the overnight trade is holding below that.  We can't move higher without breaking above that resistance point.  So +1 bears here.

ES daily pivot: Now 1190.50.  With ES at 1188.25 at 1:05 AM EDT, we need to see it break over this number for a hope of positive action tomorrow.  Since its actually been drifting lower since 10:30 PM, that's +1 bears.

Dollar index: The dollar did not reverse today as I had thought, making a push higher instead.  However, it's now at resistance and its stochastic is making a bearish crossover.  It still looks like it's going lower Friday.  Lower dollar -> higher stocks, so +1 bulls.

Oil: Now at the top of its trading range and its upper Bollinger band, oil put in its own dark cloud cover today.  But its stochastic put in a bullish crossover and in the overnight it's trading higher.  So I'm not feeling this one either.  No points.

Morningstar Market Fair Value Index: Rose to 0.87 today.  That's bullish, so another +1.

History: Not much guidance here, so also no points.

     And the winner is...

The bulls, by a slim 3:2 bull-bear ratio.  Since the ratio is not just close but also numerically low, that reduces our confidence in tomorrow's call.  I have to say it's just a small bullish bias, and then only if we can break above the ES pivot.  Watch this number early Friday morning.

ES Fantasy Trader

The ESFT went long at 1189.25 tonight although I don't have a lot of confidence in this trade.

Thursday, September 8, 2011

Thursday uncertain, ES pivot is key

The Hoot 
Actionable ideas for the busy trader delivered daily right up front
  • Thursday uncertain, medium probability.  Bull-bear ratio is 4:3
  • ES pivot 1187.50.  Staying above is bullish, falling below, bearish..
  • Friday bias uncertain, depends on Bernanke and Obama speeches.
  • Monthly outlook: bias down, regardless of Fed action in September
  • ES Fantasy Trader standing aside.  No trade tonight.

Today we got a welcome 276 point gain in the Dow.  After a big jump out the gate, the market pretty much trended higher the rest of the day, finishing off with a curious little 28 point boost in the closing minutes.

The technicals

The Dow:  Today's Dow action on a solid green candle took it outside of its recent descending regression trend channel.  That is a bullish setup.  +1 bulls.  Dow indicators have put in a bottom and hooked upward.  +1 again.  And since today's gain serves as confirmation of yesterday's hammer, that's another +1. But today's volume however was lower than yesterday's; so -1 bulls.  Total: +2 bulls.

The VIX  As I predicted last night, the VIX dropped again today.  It is now close to the lower end of its recent range, but not quite there yet.  The candle does not suggest a move higher tomorrow but its indicators are still just coming off oversold levels.  That makes it a tie.

VIX futures: The futures gapped down today to put in a second solid red candle.  Coupled with indicators that are just peaking at overbought, this one is +1 for the bulls.

Market futures:At 1 AM, all three futures (ES, NQ, and YM) are trading down, ES by 0.27%.  After a big push up into the close, it sort of ran out of steam around 7:15 PM and has been drifting lower ever since.  This is of concern, because recently whenever ES had a big up day, the next day was either down equally big or a small range doji, with one exception (8/23-8/24).  And at it's current level, ES has hit a resistance point.

On the other hand, the ES indicators are not in bad shape.  The short stochastic just executed a bullish crossover.  So these factors have a slight bearish bias and I'm giving this point to the bears..

ES daily pivot: The new pivot is 1187.50.  Currently, ES is sitting within striking distance at 1195.75.  If ES falls through the pivot, that will be bearish.  Holding above is bullish.  Since it's too early to tell yet, no points awarded.

Dollar index: Today the dollar was unable to push past yesterday's high and dropped, as I thought last night, putting in a dark cloud cover.  With indicators that have just now peaked at overbought levels, this portends a lower dollar tomorrow.  This is also bullish for stocks.  +1 bulls.

Oil:  Oil took a big pop today to the top of its recent trading range.  However its stochastic appears to be executing a bullish crossover.  Those two cancel each other out, so no points here.

Morningstar Market Fair Value Index:  Last night they said the index was 0.76. Somehow today that number became 0.85 and today's value dropped to 0.84.  Any negative movement here is bearish for stocks.  (if this number is to be believed).  If I can't get reliable numbers here, I'm going to have to drop this measure.  Anyway, for now, +1 bears.

History: The third day after Labor Day is historically negative for the Dow, according to The Stock Traders Almanac.  +1 bears.

     And the winner is...

Technically it's still the bulls, but just bearly (nyuk nyuk) with a bull-bear ratio of 4:3.  And we're going to throw a flag, in the form of Bernanke speaking tomorrow followed by our illustrious Empty Suit giving a talk about jobs later on.

I get the distinct impression that the job he's most concerned about is his own, but nonetheless I expect the markets are going to be mainly in wait and see mode on Thursday.  Right now, I'll be surprised to see any big moves out the gate.  So I'm not going to call tomorrow either way right now.  Thursday is basically going to be another pivot-key day.

Speaking of war...

I'm not actively looking for this stuff, I swear, but it just seems to keep popping up.  Here's an excellent analysis of the War on Terrorism courtesy of the equally excellent Stratfor9/11 and the Successful War

And here's a brief post yesterday titled "It's War" from the ever eloquent Bruce Krasting In it, Krasting takes on Switzerland and the Swiss National Bank.  War with Switzerland?  Holy moly!  Definitely worth the click.

ES Fantasy Trader

The ESFT closed out last night's trade today at 1187.25 for a 21.25 point profit, or $10,625. Account total now $138,375 since inception with $100K on 8/18 after 10 trades; 7 wins, 3 losses.

SLD    10    ES    false    SEP11 Futures     1187.25    USD    GLOBEX    11:35:06

Because of the uncertainty, there is no ESFT trade tonight.

Wednesday, September 7, 2011

Swing trading in a high volatility environment

 Today, an alert reader asked the following question:
Michele, a quick question.

I have been reading your posts regularly for a few weeks now and was curious...

"How can I take advantage of your great analysis if I am unable to trade outside of market hours?

Specifically, gaps on market open usually kill me as I have no way of knowing what direction it will go.

For example:

- Gap up, fill gap going down

- Gap down, fill gap going up

- Gap up, continue up (uh, today)

- Gap down, continue down

Some of this probably makes no sense since I am not sure exactly how to ask the question...

Also, since I am not trying to day trade, but swing trade. The current market is making swing traders day trade because of the near daily reverses in the market... it is exhausting.

Well one of the advantages of being a night owl is that I always completely ignore the first hour of trading.  I have to - I'm asleep (hey you gotta sleep sometime).  The first hour is simply too chaotic (IMAO) to place good swing trade entries or exits.  When I first started trading, I used to get up early and be rarin' to go, counting down the seconds to the opening bell.  Then I'd start placing trades.  And I'd invariably end up getting my head handed to me.

So I stopped trading that way.  Instead of trying to day trade off the open, I switched to swing trading, holding positions anywhere between a day and a few months.  This also has the advantage of not having to worry about the pattern day trading rule.  That's not an issue for me now, but it was when I started out.

Instead, I place my most of my stock trades around noon, once the direction for the day is established, or right before the close.  That seems to work better for me.  Once I started doing this, I stopped losing money.

I trade ES differently though, and I have to ask about your statement that you are "unable to trade outside of market hours"  Why is that?  If your broker does not offer extended hours or overnight futures trading, then you need a new broker.  Or is there some other reason?  I place my ES trades anytime after the close, usually very late, like around 1 AM, but sometimes around 8 PM.

I've been documenting this in my "ES Fantasy Trader" section which I started last month.  I call it the "Fantasy" trader because I'm trading 10 contracts at a time, something I can't do for real.  But this seems to do pretty well (so far, knock on LCD flat panel).  Here's what will appear in tonight's daily post: 
"The ESFT closed out last night's trade today at 1187.25 for a 21.25 point profit, or $10,625. Account total now $138,375 since inception with $100K on 8/18 after 10 trades; 7 wins, 3 losses."
The ESFT makes money by capturing the large moves that occur in the opening minutes of the trading day, without having to place bets during that time.  I exit trades during the day once the major move is over.  It's like riding a roller coaster: you get on and off at the station with the cars stationary and level.  You don't try to jump on or off when the thing is screaming down a hill at 90 mph.  So far, I've got a 38% gain in three weeks.  (Past performance, future results, blah blah disclaimer).

But that begs the question of how to use my calls to trade stocks during the regular session.  My best answer would be that, once the first hour has gone by and the dust has settled, if I'm looking for a higher close, you might be looking for an intraday pullback as a chance to go long, and vice-versa.

For example, last night I said we'd go higher today.  I've had my eye on Intel and AK Steel lately.  Here's my trading for the day:

BOT    100    INTC    Stock    19.99    USD    ISLAND   12:37:42
BOT    100    AKS     Stock     8.72    USD    SMART    12:55:55

They're both up right now from where I got in (knocking again on the LCD).  I'm going to hold these until I get technical sell signals.  I left some money on the table by not buying at 9:30 AM, but I also reduced my volatility risk (which is something to consider when the VIX is north of 30!)

So I guess the bottom line is don't worry about gaps up or down right out the gate.  Let the dust settle and then jump in on the side of the daily market bias.

As far as your comment that  "The current market is making swing traders day trade", I have to disagree.  No one is making you trade.  The higher the VIX goes, the less I trade.  Today is the first trade I've made in two weeks, and I'm not feeling all that good about doing it.  But you're right about the effect of the VIX on swing trading.  My response is not to shorten my trades, but to lengthen them.  Day trading is too hard and too risky for my taste right now.  I prefer to wait out the crazy daily ups and downs and wait for longer term moves in an environment like this.  Patience is the key.

Well I didn't really mean to be so long-winded, but it's an important topic that touches on points I've been wanting to discuss anyway.  Thanks for the opportunity..  I just hope that answered your questions.

Wednesday going higher

The Hoot 
Actionable ideas for the busy trader delivered daily right up front
  • Wednesday reversal higher, high probability.  Bull-bear ratio is 7:0.
  • Wednesday's ES daily pivot 1155.75.  Remaining above this is bullish.
  • Rest of week bias uncertain.
  • Monthly outlook: bias down, regardless of Fed action in September
  • ES Fantasy Trader opened new long position at 1166.00.

Last night I wrote "We're going lower on Tuesday".  And so we did in a big way, with the Dow diving right out the gate and down over 300 points by mid-morning.  But interestingly, we then went on to erase most of those losses with the rest of the day actually in an uptrend to finish "just" 100 points down. So where does this leave us for Wednesday? Let's take a look.

The technicals

The Dow: Today's Dow action formed a classic bullish hammer candlestick. This is a good potential reversal indicator. To be conservative, one should wait for confirmation the next day. However, I believe we're getting confirmation of sorts from the futures (see below) tonight, so +1 for the bulls.

The VIX: The VIX had a big 9% gap up today but did it on a long red candle. Because the VIX indicators are still just coming off oversold, I'm hesitant to draw any conclusions here. Tie score here.

VIX futures: The futures also put in a big gap up red candle today. But since they're starting to look overbought and this candle came on a peak that also hit its upper Bollinger band, it's looking to me like we're headed lower, which is good for stocks, so another +1 for the bulls.

Market futures: ES today put in a tall dragonfly doji which is indicative of a reversal.  In the overnight trade, it, along with its fellow travellers NQ and YM are all up smartly, around half a percent.  It's still only 1 AM but ES is forming a green candle next to that doji by way of confirmation.  +1 bulls.

ES daily pivot: The new daily ES pivot for Wednesday becomes1155.75.  Currently at 1 AM EDT ES is at 1171.00, now comfortably above that level.  This is a good spot to be: far enough above the pivot to avoid bumping into it but not so far away as to encourage gravitational attraction.  (In market physics, gravity gets stronger the further away you are).  +1 bulls.

Dollar index: Last night I called the dollar higher and today it scored its biggest gain since May. It blasted right through its upper Bollinger band and is now looking rather overbought. I'd look for the dollar to decline tomorrow. That would be good for stocks. +1 bulls.

Oil: Although oil also put in a hammer today, it's been drifting lower for a few days now from overbought levels. So that's a tie.

Morningstar Market Fair Value Index: Morningstar says today's number is 0.76, which is a huge decline from yesterday.. If this is true (and their web site has been putting up some funny numbers the past few months that mysteriously change the next day) then this is the lowest reading since March 31, 2009, right after the 2009 lows. Taking it at face value, this one goes to the bulls.

History: Not much in the way of history to guide us for Wednesday. No points awarded.

Sentiment: Finally, we make note of the latest  Ticker Sense Blogger Sentiment Poll which came out today.  As I suspected, bearish sentiment increased dramatically from last week.  In fact, it's now running just 22% bullish and 44% bearish.  (For the record, I voted bearish).  That's getting close to where I'd award a point to the bulls on a contrarian basis.  The last time the bullish number was this low was in February 2010 at the end of a month-long decline.  The Dow then went on to rally over 1000 points in the following two months.  Oh what the heck, +1 for the bulls anyway.
I don't feel tardy

     And the winner is...

The bulls score a shut out with a bull-bear ratio of 7:0.  Which is a bit odd, because like Van Halen who didn't "feel tardy" in his immortal 1984 classic Hot for Teacher, tonight I don't feel bullish.  But  the analysis says otherwise so I'm calling Wednesday higher.  And I brought my pencil.

ES Fantasy Trader

The ESFT covered last night's short today at 1150.25. We had the right direction but managed to lose money anyway, mostly due to waiting too long to get in on the fun and ending with an 11.75 point loss, or $5875.  By noon the handwriting was on the wall so I bailed.  Account now $127,750 after 9 trades; 6 wins, 3 losses.  Tonight we're going long at 1166.  So far that seems to be working well.

BOT    10    ES    false    SEP11 Futures     1150.25    USD    GLOBEX    12:04:45   
BOT    10    ES    false    SEP11 Futures     1166.00    USD    GLOBEX    16:43:40   

Tuesday, September 6, 2011

Looking bad for Monday, very bad

The Hoot 
Actionable ideas for the busy trader delivered daily right up front
  • Monday lower, high probability.  Bull-bear ratio is 1:4.
  • ES pivot 1180.33.  Current price is far below that.
  • Rest of week bias uncertain, rebound possible by Friday.
  • Monthly outlook: bias down, regardless of Fed action in September
  • ES Fantasy Trader opened new short position at 1138.50.


Going down.
Hey, at least these guys have parachutes.  Not like this market is looking.  Last week we ended with the Dow putting in an ugly long red candle that just barely took us off oversold levels.  And the news that came out over the long weekend sure didn't offer much encouragement.

The Empty Suit from Washington delivered Yet Another Speech of Nothing, apparently designed once again to blame everyone except himself for the mess we're in.  Angela's got trouble in Deutschland.  The Post Office is going out of business.  Europe is down, Asia is down, start mixing the Jim Jones Kool-Aid.

With today being a holiday, we've got two ES sessions with no broader market open and this may give us a hint as to where we may be going Tuesday (not like there's any doubt about it tonight).  Let's run down the list of the Usual Suspects.

The technicals

The Dow: As I mentioned, a long red candle, oversold indicators going down, no real support in sight.  Score 1 for the bears.

The VIX: Actually ended Friday with a doji indicating indecision.  Weekly VIX chart put in a hammerish doji, though still at oversold levels.  Overall, I give this to the bears on the strength of the daily indicators.

VIX futures: Huge gap up on Friday.  Gaps eventually back fill but there's nothing to suggest that's happening tomorrow.  All this does it provide a base to go higher.  Higher VIX futures -> higher VIX -> lower stocks.  +1 bears.

ES daily
Market futures: ES, NQ, and YM all hugely lower tonight.  In fact, this deserves a chart because you don't often see a bearish identical three crows pattern. It has a very good success rate.Just look at those three big red candles, each one opening on the previous one's low. +1 bears

And with the indicators all still only halfway between overbought and oversold, ES still has plenty of room to run lower and it would not surprise me to see us retest the August lows at 1123 in the next day or two.  One more support level lies below that at 1110.  +1 bears.

ES daily pivot: is now 1180.33.  At 1:15 AM EDT we are at 1138.50, so there's basically no chance of getting anywhere near there tomorrow.  The one thing about this is that when prices get too far from the pivot, they tend to get pulled back.  We're pretty far right now.  +1 for the bulls.

Dollar index: Exponential run-up last week approaching overbought levels but not quite there yet.  Look for a lower dollar later this week.  No sign of a reversal just yet though.  +1 bears.

Oil: Dropping again in the overnight.  Daily chart looking overbought and peaked two days ago.  Oil going lower lately implies stocks going lower.  +1 bears.

Morningstar Market Fair Value Index: This index has fallen again, back to 0.85.  I think we need to see it hit 0.81 or .82 before stocks can go higher again. +1 bears.

History: The Dow has a slight positive bias the day after Labor Day according to The Stock Traders Almanac.  +1 for the bulls, though I don't think that's really going to help us this time.

   And the winner is...

Clearly the bears  The bull-bear ratio tonight is 2:8.  We're going lower on Tuesday.  The only thing we need to watch for is the possibility of a dead cat bounce or gap filling action later on in the day.  If there's more bad economic news though, you can pretty much count on just another red candle down to ES 1123.

ES Fantasy Trader

The ESFT went short once again at 8:30 this evening.  I'm sorry now I closed out my short from last Friday, and even more sorry I closed my real SDS position too.

SLD    10    ES    false    SEP11 Futures     1138.50    USD    GLOBEX    SEP 5 20:32:04

Monday, September 5, 2011

How to Set Stop Orders in the Stock Market: A Quantitative Analysis, Part I


     Trading as War

To throw or not to throw...
Stock trading is often compared to war. Your dollars are your soldiers and your various order types are your weapons. If the buy limit order is your basic M-16 rifle, then the stop order is surely the hand grenade. Used improperly stop orders can be at least as deadly to you as to the enemy. And far too many people end up throwing the pin while holding onto the grenade, with the predicatble unfortunate results.

     Stop order considered harmful? 

For that reason, there's a whole school of thought that argues against using stop orders entirely. However, I don't want to get into that debate today. If you've already decided that you want to use a stop order, just where exactly do you place your order so that it will protect you and not blow up in your face?

Place the order too close to the market and you are likely to get stopped out on noise, only to witness your stock then  take off without you on board. Placing the order lower reduces the effects of noise but increases the damage to your account should your grenade go off. They say "Your first loss is your best loss". But they also say "Beware the death by a thousand cuts", meaning that a lot of small losses can kill you just as dead as one big loss. How to reconcile these two conflicting aphorisms?

There's a nice article on the subject over on called Setting Stop Loss Orders which gives a good overview of the problem but it doesn't really give you a good method for choosing stops. In fact, there's a lot on the web about different techniques for setting stops using technical analysis or price calculations, but I've not found any objective analysis of just how well stops work and if they actually do more harm than good.

I should add that here we are concerned only with stops that are placed on opening a trade to limit potential losses, not trailing stops the follow an already profitable trade in an uptrend.

The Experiment


I decided to conduct an experiment using one week's worth of one minute OHLC data from the ES e-mini futures, 8,367 bars between 3 PM August 25th, 2011 and the close on September 2nd. The experiment is simple. We will place orders to buy ES using the BASH algorithm (Buy Anywhere, Sell Higher) at every bar in the data set. If the price then moves higher, the order is considered a winner and we move on to the next bar and place a new trade.

For the purpose of this experiment, we are not interested in when to close out a winner, just what to do when the action goes against you. If the next bar after entering a trade is lower, we set a series of stops at quarter point intervals. The trade then continues until one of two things happens: either the price reverses before the stop is hit and continues higher back above the purchase price and the trade is then considered a winner, or the stop is hit and the trade becomes a loser. We then total up the number and size of losers at every stop level.

ES one minute closing prices, 8/25/11 - 9/2/11
The question we want answered is simple: What stop level produces the smallest total losses over the entire week of data? First, let's look at the raw data.  It looks pretty much like any graph of stock data.  To quote our fearless President and stock guru, B. Obama, "the market goes up, the market goes down".

Each trade was entered on the open of each one minute bar.  Decisions of whether or not to take a stop loss were made on the closing value of subsequent bars.  Any losing trade that was still running by the end of the data set (which is when trading stopped at the end of last week) was considered to be a loss.

Obviously we want to buy the dips but when you're on the right edge of the chart, it's not so easy.  So our experiment will buy every single candle and see where the resulting 8,367 trades sort out at quarter point stop increments from 0.25 to 25 points.  The entire program is coded in Matlab.


No. of losing trades vs. total loss at different stop levels
Here are the results.  The blue line shows the number of trades that got stopped out at each stop level.  The stops were tested in quarter point increments, the smallest increment that can be used when trading ES.  The green line shows the total amount of the loss at each stop level in points.  I don't know about you, but I found the results to be just a bit surprising.

The primary result is that the wider your stop, the less often your stop gets hit.  That may seem like something you already knew, but it is not necessarily completely obvious.  It is also interesting to observe that this effect does not decay linearly, but rather parabolically.

The curve flatted out after 11 points.  Setting a stop greater than that did not cause you to have fewer losses, but did continue to increase your total loss.

But perhaps the most interesting result is that the total loss curve is monotonic increasing.  The implications of this are discussed below.


I must admit that I was somewhat surprised by these results.  I had always assumed that setting a very narrow stop wasn't a good idea, but apparently the old advice, "Your first loss is your best loss" is exactly right.  It turns out that you will lose the smallest total amount in a day trading type ES trade by setting your stop at 0.25 points, the smallest stop possible. You will have lots of losses, but they will all be small.  And the key point is that taking fewer losses by using a wider stop does not reduce your overall loss, it increases it.  Thus the idea of the "death by a thousand cuts" is disproven.

However, since the smallest stop is apparently the best, the issue of commissions, which I ignored for this experiment, becomes important.  I really hadn't expected that.  My broker charges $2 per ES contract, or $4 per round trip.  With a 1/4 point stop, more than half your trades will be losers.  That means you need the remaining ones to do more than double that to break even.  A 1/4 point gross gain is $12.50, less $4 commisions = only $8.50 profit.  But a 1/4 point loss is -$12.50 less $4 commission = a $16.50 net loss.  Therefore, your winners have to be at least half a point.

The other important issue is the spread.  During the day, ES provides enough liquidity that the spead is usually just 1/4 point.  However, there is no way to tell from OHLC data whether the prices reflect trades that occurred at the bid or at the ask.  With tight stops, that makes a difference.  And if you can't buy on the bid and sell on the ask, you need to add another quarter point to ensure a winning trade.  Setting a quarter point stop may prevent that from happening.  Taking the smallest possible loss doesn't do you much good if that also prevents you from making a profit.

     Future work

This wasn't supposed to be a master's thesis, so I'm going to wrap it up here and come back to it in Part 2 later on.  The remaining questions that need to be addressed are:

1. How do commissions affect the results?

2. How does considering the spread change things?  I think to answer this, I will program the BASH algorithm for my trading program and see how it does on live data trading ES.  While still not as good as real trading, paper trading is at least better than using static historical data.  And my broker's paper trading system works pretty well.  (I don't really have the nerve to try this for real).

3.  Why does the stop loss curve not decay linearly and what implications does this have on choosing stop levels?

4. And of course the big question: where is the ideal stop level, really?  With commissions and spreads, it's probably not a quarter point.  But it's definitely not 10 points.  The answer then lies somewhere in between.

I also want to look at other types of data, like SPY or individual stocks.  In the meantime, I think there's certainly some food for thought with the results so far.