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  • SPY Anchored VWAP From MAR09 Lows

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    CreditTrader
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    Super long-dated anchored VWAP - literally millions of transactions and a limping and dieing Excel to visualize BUT... The Red line is the Anchored VWAP of all transactions since the MAR09 lows - it is currently at $102.35. The Green Line is the unweighted average price of all transaction since the Mar09 lows and is $104.26. The red blocks show the time (x-axis) and effort in price (y-axis) needed to raise the VWAP by $5 (red line up by 5). The Purple block is the cumulative volume of all trades since the Mar09 lows and the blue triangles are of equidistance in time (x-axis). Things to note: The early July low in SPY seemed to find significant support at the Anchored VWAP. Volume (the blue triangles) is decreasing monotonically as the rally proceeds (the slope of the triangle is dropping). The red blocks (basically the 'effort' to move aggregate price) is increasing and since we first crossed $100 in the VWAP for SPY, we have still yet to reach $105. Seems like we are running out of steam here to me.

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    Super long-dated anchored VWAP - literally millions of transactions and a limping and dieing Excel to visualize BUT... The Red line is the Anchored VWAP of all transactions since the MAR09 lows - it is currently at $102.35. The Green Line is the unweighted average price of all transaction since the Mar09 lows and is $104.26. The red blocks show the time (x-axis) and effort in price (y-axis) needed to raise the VWAP by $5 (red line up by 5). The Purple block is the cumulative volume of all trades since the Mar09 lows and the blue triangles are of equidistance in time (x-axis). Things to note: The early July low in SPY seemed to find significant support at the Anchored VWAP. Volume (the blue triangles) is decreasing monotonically as the rally proceeds (the slope of the triangle is dropping). The red blocks (basically the 'effort' to move aggregate price) is increasing and since we first crossed $100 in the VWAP for SPY, we have still yet to reach $105. Seems like we are running out of steam here to me.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    74 views1 page

    SPY Anchored VWAP From MAR09 Lows

    Uploaded by

    CreditTrader
    Super long-dated anchored VWAP - literally millions of transactions and a limping and dieing Excel to visualize BUT... The Red line is the Anchored VWAP of all transactions since the MAR09 lows - it is currently at $102.35. The Green Line is the unweighted average price of all transaction since the Mar09 lows and is $104.26. The red blocks show the time (x-axis) and effort in price (y-axis) needed to raise the VWAP by $5 (red line up by 5). The Purple block is the cumulative volume of all trades since the Mar09 lows and the blue triangles are of equidistance in time (x-axis). Things to note: The early July low in SPY seemed to find significant support at the Anchored VWAP. Volume (the blue triangles) is decreasing monotonically as the rally proceeds (the slope of the triangle is dropping). The red blocks (basically the 'effort' to move aggregate price) is increasing and since we first crossed $100 in the VWAP for SPY, we have still yet to reach $105. Seems like we are running out of steam here to me.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    of 1

    125

    Cum. Volume
    120
    SPY
    115 VWAP

    110 Average
    50-day Equiv Avg. 1E+11
    105

    100

    95

    90

    85

    80

    75

    70

    65 1E+10

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