Today, again the RUT was the weakest, and the NDX was the strongest. It seems the roles have turned since this uptrend started. Before it was the RUT leading, and the NDx playing catch-up.
McMillan noticed that there has been some heavy put buying (the SKEW actually rose today to above 128) yesterday and today, and that has pushed the P/C ratio higher nad back on a sell signal. We noticed that the VIX is starting to move higher and the short term measures of volatility are coming close to crossing higher than the longer term VIX. With tomorrow being the last day of the month, I would expect to see some selling. This would set us up for a positive first of the month.
In any case, I moved the Nov30 3120/3130 RUT call spread up and out to the Dec09 1345/1355 calls for a debit of $3.20.
I also added a bull put spread on the NDX for Dec01 at 4810/4790 making a butterfly out of the call spreads we have on at 4810/4825. With this trade, we are actually neutral to bullish on the NDX over the next few days.
