Interdum stultus opportuna loquitur...

Monday, September 27, 2004

As Mondays Go, Pretty Ordinary

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Federal Reserve Open Market Operations

The Fed's OMO desk performed a $5.25 billion overnight repurchase, with just $3.25 billion in Treasury-backed collateral.

Now $3.25 billion might be enough for most people to pay off the credit card and have a few coins left in the pocket for a good session "on the gas", but it's not enough to generate a Midnight Moonshot. Plus, when the oil market is making new highs, perhaps da Boyz have better things to do than to goose the equity markets.

Also, there were a couple of Treasury auctions - for 3-month and 6-month paper. The "internals" of those auctions were not very good.

The 3-month auction was for the "usual" $19 bill for the week (in 2000, they issued less than that per quarter). The auction had a bid-to-cover ratio of 1.96, and the auction was cleared at 1.71%. That's the first time in a year that the bid-to-cover ratio has been below 2 at the same time as the auction's resultant 3-month bill rate rose.

The same happened in the $17 billion 6-month auction; the bid-to-cover ratio was even weaker at 1.72 and the high bid was 1.95% - a rise of 8 basis points in a week.

Economic Statistics

The only economic data released last night was New Home Sales, which exceeded expectations by a wide margin. The number came in at 1.184 million units, well above the 1.15 million consensus guess, and close to the top of the 1.012-1.25 million range of guesses.

The New Home Sales numbers were released at midnight our time, and the market seemed not to notice.

Major US Indices

Last night was all about maintaining a 5-figure Dow - and it failed. (A second "save target" - 1100 on the S&P - held easily).

It - the Dow 10k Project - failed pretty dismally, considering the effort that went in, although da Boyz were somewhat constrained by the lack of repurchase funds to give the market a good early push. Hell, you don't expect them to use their own money, do you?

There was one attempt to get some short-covering happening - as usual, initiated during the lunch period - but by the end of the day the cash markets closed at or near their session lows.

The lunchtime push took the market to its session highs, with the S&P500 futures touching 1109; the high was set within a minute or so of 1 p.m. NY time, which was the time that the data regarding the Treasury note auctions was released. From there, the markets softened considerably, but someone took advantage of the post-cash-session to goose the futures by a full 2 points; the result is that the futures clsoed at a 2-point premium to the cash indices... Why?

For the session, the DJIA lost 58.7 points (0.58%), closing at 9988.54 points; the broader S&P500 lost 6.59 points (0.59%), finishing the session at 1103.52.

At Times Square, the Nasdaq Composite fared considerably worse than its bluer-chip counterparts, losing 19.6 points (1.04%), to close at 1859.88. Larger-cap stocks techs dropped a little less than smaller ones, with the Nasdaq100 losing 13.5 points (0.96%), to end at 1385.55 points.

Broader stock market measures fell: the NYSE Composite Index lost 35 points (0.54%), closing at 6496.37, while the broadest measure of US equities, the Wilshire 5000, posted a loss of 73.42 points (0.68%), finishing the session at 10764.88.

NYSE Volume was about average, with 1.26 billion shares traded, whileNasdaq Volume was moderate, with 1.32 billion shares crossing the tape.

Nasdaq Composite1859.88-19.6-1.04%
NYSE Composite6496.37-35-0.54%
Wilshire 500010764.88-73.42-0.68%
NYSE Volume1.26bn--
Nasdaq Volume1.32bn--
US 30-yr yld4.77%-0.03%-0.58%

Market Breadth & Internals

On the NYSE declining issues exceeded advancers by 2113 to 1191, for a single-day A/D reading of -922; the Nasdaq advance-decline stats were horrendous, with losers outpaced gainers by 2198 to 862.

That's a little too "decline-y" for my liking - and makes me expect a big repurchase and a good moonshot tomorrow.

NYSE declining volume was dominant by a factor of 3:1 with 940.18 million shares traded in declining issues versus just 310.8 million shares in advancing issues. On the Nasdaq it was even more tilted at over 4:1 in decliners - declining volume at 574.45 million shares trounced volume in advancing issues of just 140.68 million shares.

101 NYSE-listed stocks rose to new 52-week highs, and 47 posted fresh 52-week lows, while on the Nasdaq there were 40 stocks that hit new 52-week highs, and 66 which fell to fresh 52-week lows

Advancing Volume (m)310.8140.68
Declining Volume (m)940.18574.45
New Highs10140
New Lows4766

Market Sentiment

Despite the fairly bearish market internals, there was actually a welter of call buying, pushing the put-call ratio down to 0.82 and taking it back towards a neutral reading.

Voaltility indices rose slightly, but it's still pretty obvious that call sellers aren't demanding high option premia - that is, they are just trying to sell as much premium as possible, with less regard for the premium peroption. BEARISH.

Equity Call Volume1.77m0.19m11.82%
Equity Put Volume1.45m0.09m6.42%
CBOE Volatility Index14.620.342.38%
CBOE Nasdaq Volatility Index21.920.823.89%


Bonds appear to be benefciaries of money seeking "safety" - when the debt issuance statistics indicate that the US bond market is anything but safe.

Bonds rose in suchrony along the curve, with the benchmark US 30-yr yld shedding 3.8 basis points to 4.766% and the 2-year note yield falling 4 basis points to 2.525%.

UST 2Y (yld)2.525-0.04-1.48%
UST 5Y (yld)3.265-0.055-1.66%
UST 10Y (yld)3.985-0.04-1.04%
UST 30Y (yld)4.766-0.038-0.79%
The Banks Index lost 0.66 points (0.68%), to 96.75; within the index,
  • the Derivative King - JPMorganChase lost $0.62 (1.56%) to close at $39.13; and
  • Citigroup lost $0.54 (1.22%) to $43.61

The Broker-dealer Index lost 2.22 points (1.77%), ending the session at 123.19; the ticket clippers lined up as follows -

  • Merrill Lynch lost $0.52 (1.03%) to close at $49.88
  • Morgan Stanley Dean Witter lost $1.26 (2.52%) to $48.77
  • Goldman Sachs lost $0.73 (0.78%) finishing at $92.75
  • Lehman Brothers lost $0.82 (1.04%) to $78.18

The Philadelphia SOX (Semiconductor) index lost 5.59 points (1.46%), finishing the session at 376.96

  • Triquint lost $0.16 (4.09%) to $3.75
  • Micron Technology lost $0.08 (0.65%) closing at $12.32
  • Intel lost $0.21 (1.04%) to close at $19.92
  • Altera lost $0.29 (1.5%) to $19.01
  • JDS Uniphase lost $0.07 (2.09%) to finish at $3.28

Gold & Silver

Gold strengthened by $0.7 (0.17%) to $408.50 an ounce, but I continue to be less-than-impressed by its recent price action.

The Gold Bugs Index adding 0.44 points (0.2%), finishing the session at 216.02.

Silver rose a handy $0.12 (1.94%) to close at $6.53 per ounce. The Gold and Silver Index (XAU) gained 0.41 points (0.43%), finishing the session at 96.71.

PHLX Gold and Silver Index96.710.410.43%
AMEX Gold BUGS Index216.020.440.2%


As these words leave my fat fingers, oil has touched $50 a barrel. It will probably get sat on during the ACCESS session.

By the end of the NYMEX day session, Oil was firmer, rising by $0.72 per barrel (1.47%), closing at $49.62 per barrel.

There has been little market response to the flagrantly election-tainted decision to release some oil from the US Strategic Petroleum Reserve (SPR). Although the rigs in the Gulf of Mexico have been largely unscathed during God's Revenge for the election-rigging behaviour of Jeb Bush, there is still the problem of the lack of access to deep-water ports and the concomitant prolems getting oil to market.

Four hurricanes in a month, all causing major damage to the state where the electoral process was flagrantly manipulated by the now-President's brother. Is there a God, or are the dice just aligning in a way that pleases the eye?

The Oil and Gas Index (XOI) gained 1.76 points (0.26%), finishing the session at 690.92, while the Oil service stocks (OSX) Index lost 0.58 points (0.48%), finishing the session at 119.81.

Reuters CRB281.753.551.28%
Crude Oil Light Sweet49.620.721.47%
AMEX Oil Index690.921.760.26%
Oil Service Index119.81-0.58-0.48%


A fairly muted night on the currency front - the Euro stuck its nose above 1.2300 for a while but then softened.

The Yen is being managed again - how stupid is the BoJ? Spending (and losing) literally hundreds of billions of dollars - notionally to help their exporters.

Why not write cheques directly to the exporters rather than flushing down the dunny in the ForEx market?

Note: I do not support "industry assistance" packages by governments - they are subject to rampant corruption and feather-bedding, they impoverish the country that imposes them, and they also do not work. But if you're going to waste public money, at least do it in ways that have some benefit approximately equal to the amount wasted.

US Dollar Index88.48-0.12-0.14%
Australian Dollar0.7131-0.0011-0.15%
Swiss Franc1.26110.00020.02%

European Markets

France's benchmark CAC-40 Index lost 16.58 points (0.45%) to close at 3656.93; the German DAX-30 Index lost 35.93 points (0.92%), finishing the session at 3874.37; and the UK's FTSE-100 Index lost 36.9 points (0.81%) closing at 4541.2.