Para los que no estén metidos en el intradía, deben alucinar cuando ven los movimientos de los mercados cuando salen noticias importantes, como los datos de empleo, el PIB o las reuniones de la Reserva Federal, como ayer.
Hoy os voy a poner el motivo de porqué aumenta la volatilidad en esas situaciones.
No solo es que aumente el volumen de contratos movidos inmediatamente antes (a veces, pero mosqueante) y después del dato o noticia, sino que además la gente literalmente «se quita de en medio» hasta ver la interpretación del mercado. Como muestra un botón, de ayer en el Nasdaq, en las dos capturas siguientes de la profundidad del Nasdaq:
La primera se corresponde con unos instantes antes de que comience el comunicado de la FED.
Como veréis, 95 contratos a la compra y 128 a la venta. Y eso, ¿es mucho o poco?…
Pues lo véis en la segunda captura, minutos depués de acabar el comunicado y con un volumen más o menos normal, 1005 a la compra y 1068 a la venta.
Las conclusiones son claras, cualquier paquete mediano, digamos de 150-200 contratos, metido a mercado en los momentos de bajo volumen, genera una de esas barras enormes que se dan después de datos o noticias importantes.
Los volúmenes se concentran en posiciones de resistencia y soporte importantes y cualquier orden fuerte que entra a mercado barre todo el papel o el dinero hasta dicha resistencia o soporte.
En muchas ocasiones estos movimientos se dan para acabar al final en el mismo sitio que antes de la noticia, es decir, se aprovecha la noticia por los programas de trading para hacer caja arriba y abajo sin que nada sustancial cambie… bueno si, cambia de manos una parte sustancial de dinero.
No sabía donde dejar un comentario, ni donde mandarte un mail directamente, así que perdona si no es el sitio.
Mi duda es referente a tu estudio sobre los vencimientos del Eurostoxx ¿en que se diferencia del «options pain»?
Hay softwares gratuitos que ya te grafican dichos datos para todos los valores y mercados.
Hola Jorge.
No conozco el «options pain», si me das una dirección donde poder mirarlo te lo agradecería.
Salu2.
Aquí puedes ver una definición/explicación:
http://www.optiontradingpedia.com/option_pain.htm
Y en http://www.samoasky.com te puedes descargar options oracle (gratuitamente). Configuras el mercado, entras en el activo/índice que te interese. Y ya tienes un botón que te grafica el «Option pain».
Saludos.
Vaya, se me borró mi anterior comentario. Te decía que en: http://www.optiontradingpedia.com/option_pain.htm
Puedes ver una definición/explicación, y en http://www.samoasky.com puedes descargarte el oracle options, configuras el mercado, buscas el activo que te interese y ya hay un botón para graficar «option pain».
Saludos, cualquier duda me dices.
Gracias Jorge, echaré un vistazo.
Los comentarios no salían porque al tener dos enlaces les dejaba pendientes de aprobación por si es spam.
Ya les he dado el visto bueno.
Salu2.
Ok Javier.
Me imaginaba que era por los enlaces, pero como no avisaba, pensé que había algún fallo. Siento el spam de haberlos repetido…
Saludos
No hay porqué disculparse Jorge.
Creo que el problema viene de meter dos enlaces en el mismo post por algún tipo de configuración del wordpress.
Pasa también en el blog de Blogságora, que si metes más de un enlace lo deja pendiente de moderación.
Un saludo.
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