There is frequently conversation around the effect of the price of Crude on the stock market.
What is interesting to us, is the conversation around whether there is a correlation between the Momentum of the Program Trading between the S&P 500 and Crude.
Our initial research into this says, that at times, there is correlation; And at times there does not seem to be.
This is a new area of analysis for us so we have not gone through much data, but initial results are so interesting (well, at least to us).
Below is a graphic that illustrates a strong inverse correlation between these two markets Thursday, July 17th, 2008.
We mention that Momentum of the Program Trading in these markets are inversely correlated because the Buy Programs in Crude tend to be accompanied by Sell Programs in the S&P.
For this graphic we have inverted the Momentum of the Program Trades in Crude so that it is easier on the eye to see the correlations.
What we will be looking for next is to determine whether, during the periods when the Momentum of Program Trading of the S&P 500 and Crude are strongly correlating, (albeit inversely), does on tend to lead the other? Initially, the answer to this question seems, Yes.
This could be a pretty handy piece of information for those trading the S&P.
Hope that you found this interesting.
What is interesting to us, is the conversation around whether there is a correlation between the Momentum of the Program Trading between the S&P 500 and Crude.
Our initial research into this says, that at times, there is correlation; And at times there does not seem to be.
This is a new area of analysis for us so we have not gone through much data, but initial results are so interesting (well, at least to us).
Below is a graphic that illustrates a strong inverse correlation between these two markets Thursday, July 17th, 2008.
We mention that Momentum of the Program Trading in these markets are inversely correlated because the Buy Programs in Crude tend to be accompanied by Sell Programs in the S&P.
For this graphic we have inverted the Momentum of the Program Trades in Crude so that it is easier on the eye to see the correlations.
What we will be looking for next is to determine whether, during the periods when the Momentum of Program Trading of the S&P 500 and Crude are strongly correlating, (albeit inversely), does on tend to lead the other? Initially, the answer to this question seems, Yes.
This could be a pretty handy piece of information for those trading the S&P.
Hope that you found this interesting.
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