Intraday Equity Observations

The SPY is stuck between Friday's low and Monday's gap open on no volume - and it is RUT rebalancing day! Also high beta is the place to be it seems today (IWM outperforming). And guess what - VWAP reversion wins, at least every 5 minutes or so.





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VWAP Reversion Programs Picking Up Ahead Of Russell Rebalance

And just in time for Russell small/micro cap reindexing tomorrow, IWM outperforming SPY as traders buy Russell and sell the S&P.

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Intraday SPY and IWM Indications Of Interest

JPM trading nearly 50% of advertised SPY volume; MS trading over 60% of advertised IWM.





Indicative snapshot of SPY trades.

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RenTec's Prime Brokers Keeping Very Busy

JP Morgan and Deutsche Bank continue dominating the trading in the most popular index hedges, SPY and IWM. Aside from these trading outliers, all is good, as consumer confidence spikes, and while retail sales continue dropping, the whisper, the promise, the hope, of at least one more sale at (or within +/-30% of) MSRP is in the air.



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