Interdum stultus opportuna loquitur...

Tuesday, October 12, 2004

Late Day Surge, but no Green

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Option Update

The option I've been tracking for the last week, did about the same as the broader market - for the session overall it went nowhere, but within the day plenty happened.

At midnight our time, the QQQVJ was trading at $85 - up $55(183%) from the purchase price of $30. Not bad for a week and a bit.

That now locks in a 100% gain on half of the position ($60 was the opening price, and was the price at which it was prudent to take some money off the table) which means that the other half can now ride to expiration having cost nothing whatsoever.

Federal Reserve Open Market Operations

The Fed's OPen Market Operations desk did a single repurchase last night - a $6 billion overnight with a paltry $3.278 billion in Treasury-backed collateral.

Despite this lack of "fragrant grease", the market turned - at midnight (what a surprise) and from its 12:10 low the Dow added nearly 100 points... although it took several hours to do so, and it was only ion the last hour and a half - as somebody stood on the neck of the Crude Oil futures pit - that the Dow got above the zero line for the day.

Economic Statistics

There were no significant economic releases last night - although the weekly Redbook store sales numbers were pretty awful, with an 0.8% fall month to date and a slowing in the year-on-year number as well.

Major US Indices

Another day, another rescue job. Early on, the Dow and other indices looked pretty weak, although the Dow never tested the 10,000 level (its intraday low was 10,017).

The market's mood opened really quite sour, since Oil had broken $54 during the European session, hitting a high of $54.45 at about 7:20 p.m. our time. From there, the oil market cratered - with a little help from some powerful houses - and by the clsoe it had fallen more than $2 to close at $52.24. If that doesn't qualify as a "key reversal" then I don't know what does.

With oil backing off - and accelerating downward during the second half of the session - the talking heads had some good-ish news to parrot. So it's not a huge surprise that the equiy market rallied late in the day.

By the close, the DJIA had lost a scant 4.79 points (0.05%), closing out the day at 10077.18 points; the broader S&P500 lost 2.55 points (0.23%), finishing the session at 1121.84.

Over at Times Square, the Nasdaq Composite closed down 3.59 points (0.19%), to close at 1925.17, and the Nasdaq100 losing 2.73 points (0.19%), to end at 1435 points.

NYSE Volume was solid, with 1.32 billion shares traded, while Nasdaq Volume was below average, with 1.51 billion shares crossing the tape.

Nasdaq Composite1925.17-3.59-0.19%
NYSE Composite6609.71-33.46-0.5%
Wilshire 500011058.700%
NYSE Volume1.32bn--
Nasdaq Volume1.51bn--
US 30-yr yld4.88%-0.03%-0.53%

Market Breadth & Internals

On the NYSE declining issues exceeded advancers by 1750 to 1556, for a single-day A/D reading of -194. Nasdaq losers outpaced gainers by 1751 to 1286 issues.

On the NYSE declining volume dominated volume in advancing issues by 872.74 to 436.99 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 458.94 to 327.72 million shares.

69 NYSE-listed stocks rose to new 52-week highs, and 29 posted fresh 52-week lows, while on the Nasdaq there were 59 stocks that hit new 52-week highs, and 49 which fell to fresh 52-week lows.

Advancing Volume (m)436.99327.72
Declining Volume (m)872.74458.94
New Highs6959
New Lows2949

Market Sentiment

There has been a pickup in volatility recently - as measured by the VIX - but it is still way too low. I have read all sorts of tripe about how a John Kerry win would be bad for the market (although historically, both economic growth and market gains have been greater under Democrat administrations... by insignificant amounts). To my way of thinking, it owuld be hard for Kerry to do a worse job economically than Arbustito - the little Shruib that couldn't.

The single-day equity put-call ratio is sneaking up to levels from which the market would easily bounce, however with onlyt a few days to go until expiration it's unlikely to exert any influence; the key options-market number at the moment is the MaxPain level (the level that drives most options - puts and calls - to worthlessness at expiration this Friday). That level is between $35 and $34 for the QQQs.

Equity Call Volume2.36m0.77m48.61%
Equity Put Volume2.1m0.78m59.39%
CBOE Volatility Index15.050.342.31%
CBOE Nasdaq Volatility Index20.930.884.39%
Equity Put-Call Ratio0.890.067.25%
SPX-VIX Ratio74.54-1.8963-2.48%


The bond market is stuck in a bit of a rut - it is scared to take the 30-year yield over 5%. Last night bonds rose along the curve, with the yield on the benchmark US 30-yr bond shedding 2.6 basis points to 4.88%.

UST 2Y (yld)2.533-0.03-1.25%
UST 5Y (yld)3.351-0.038-1.12%
UST 10Y (yld)4.1-0.03-0.7%
UST 30Y (yld)4.878-0.021-0.43%
The Banks Index lost 0.19 points (0.19%), finishing the session at 99.31; within the index,
  • the Derivative King - JPMorganChase gained $0.13 (0.33%) to close at $39.51; and
  • Citigroup lost $0.06 (0.13%) to close at $44.80

The Broker-dealer Index gained 0.97 points (0.77%), finishing the session at 127.41; the ticket clippers lined up as follows -

  • Merrill Lynch gained $1.48 (2.9%) to close at $52.48
  • Morgan Stanley Dean Witter gained $0.10 (0.2%) to close at $48.90
  • Goldman Sachs gained $0.45 (0.48%) to $94.59
  • Lehman Brothers gained $0.67 (0.83%) to $81.41

The Philadelphia SOX (Semiconductor) index lost 5.17 points (1.32%), finishing the session at 386.36

  • Triquint lost $0.05 (1.26%) to close at $3.91
  • Micron Technology lost $0.31 (2.61%) to close at $11.59
  • Intel lost $0.33 (1.6%) to close at $20.28
  • Altera lost $0.04 (0.2%) to close at $19.79
  • JDS Uniphase lost $0.07 (2.15%) to close at $3.19

Gold & Silver

After a stellar couple of weeks, Gold weakened by $6.30 (1.49%) to close back under $420 again.

The Gold Bugs Index shed 7.54 points (3.2%), closing at 227.92 points.

Silver fell by $0.20 (2.72%) to close at $7.03 per ounce.

The Gold and Silver Index (XAU) lost 2.83 points (2.73%), finishing the session at 100.68 points.

PHLX Gold and Silver Index100.68-2.83-2.73%
AMEX Gold BUGS Index227.92-7.54-3.2%


Oil lost pretty hard, shedding $1.42 per barrel (2.65%), closing at $52.19 per barrel and pressuring the Oil and Gas Index (XOI) which lost 8.51 points (1.19%), finishing the session at 706.36 points.

The Oil service stocks (OSX) Index lost 1.75 points (1.45%), closing at 118.67 points.

Reuters CRB285-3.3-1.14%
Crude Oil Light Sweet52.19-1.42-2.65%
AMEX Oil Index706.36-8.51-1.19%
Oil Service Index118.67-1.75-1.45%


US Dollar Index88.150.50.57%
Australian Dollar0.7304-0.0024-0.34%
Swiss Franc1.25530.00470.38%

European Markets

France's benchmark CAC-40 Index dropped 37.79 points (1.01%) to 3689.85; the German DAX-30 Index lost 60.22 points (1.5%), finishing the session at 3957.6; and in the UK, the FTSE-100 Index lost 35.7 points (0.76%), finishing the session at 4649.8 points.