Interdum stultus opportuna loquitur...

Friday, December 03, 2004

A lot of Volume for Not Much Movement

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Economic Statistics

Jobless Claims for the last week were reported at 349k, which was worse than the consensus guess (330k);

Factory orders grew 0.5%, which exceeded the consensus guess 0.1; however the overhwleming bulk of that was defence related spending.

The most important number (which, as well know, is ...

Non-defence capex ex aircraft

actually fell 4.5%,

Forthcoming US Economic Data

Tomorrow's US Economic Data Calendar

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 2 repurchase operations last night:

  • a $6.25billion, overnight repurchase with $2.083billion in T-backed collateral ; and
  • a $8billion, 14-day repurchase with $8billion in T-backed collateral.

So it was a "buy at 10 a.m." session, and of course it worked.

Major US Indices

After a hiss, a roar, a fart and a scratch (all of which happened in the first hour), the market wafted downward for the remainder of the session.

Interestingly, the market faded for most of the rest of the session, with the S&P futures re-testing the day-session low with a couple of hours to go.

S&P e-mini Futures 1 minute Chart

Could the bulls finally be losing their wind?

My guess is no; it's now pretty clear that the market is going to do its damndest to get to that 1220 area that I wrote about when the S&P got past 1140. I might not like it, but there are ways to exploit it without having to buy equities ... mostly by being short bonds, and by eschewing shorts on the S&P until the technicals - particularly internals and market breadth - are less strong.

There were a couple of abortive rally attempts, but nothing particularly tradable; program trading - hedge funds mostly - was absolutely dominant in the last hour and a half, with the market reacting with extreme speed to any widening of the futures/cash premium. When the premium widened, TICK and TIKI cratered until the PREM closed... and if PREM went negative, TICK and TIKI went ballistic.

What that shows, is index arb driving the bus.

The morning low was set at around 10 a.m. - as morning lows usually are on bad-data-big-repo days. Check out the Dow intraday chart...

The DJIA slid 5.1 points (0.05%), closing out the day at 10585.12 points; the broader S&P500 shed 1.04 points (0.09%), to end the session at 1190.33.

At the Nasdaq MarketSite on Times Square, and on computer screens around the world, techs continue to defy gravity. The Nasdaq Composite posted a rise of 5.34 points (0.25%), to close at 2143.57, while larger-cap technology issues fared even more betterer with the Nasdaq100 adding 6 points (0.37%), to end at 1613.15 points.

NYSE Volume was chunky, with 1.77 billion shares traded, while Nasdaq Volume was super-monster-chunky, with 2.42 billion shares crossing the tape.

Considering how little the indices changed (close-to-close)That's an awful lot of "price acceptance" at this level...also known as "disagreement as to whether it ought to go up or down from here". I will be interested to look at the equity index CoTs (Commitment of Traders reports) this weekend.

Nasdaq Composite2143.575.340.25%
NYSE Volume1.77bn--
Nasdaq Volume2.42bn--
US 30-yr yld5.05%0.02%0.42%

Market Breadth & Internals

On the NYSE declining Issues beat out advancers by 2066 to 1266, for a single-day A/D reading of -800; Nasdaq gainers trumped losers by 1653 to 1450

On the NYSE declining volume was greater than volume in advancing issues by 1024.05 to 715.56 million shares; Nasdaq advancing volume was greater than volume in decliners by 826.89 to 533.25 million shares.

283 NYSE-listed stocks rose to new 52-week highs, and 5 posted fresh 52-week lows, while on the Nasdaq there were 204 stocks that hit new 52-week highs, and 12 which fell to fresh 52-week lows

Advancing Volume (m)715.56826.89
Declining Volume (m)1024.05533.25
New Highs283204
New Lows512

Market Sentiment

Sentiment still looks really exuberant - with the exception of put option volume. At swing highs, put buyers throw up their hands and cry "Hold! Enough!" and cover their puts; shorts can't take the pain anymore and they cover (at the top, usually).

Put volume continues to chug along, showing that there are still a lot of people who don't believe the recent rally has any legs left. That, paradoxically, increases the odds of a last short-covering spike driving the indices yet higher. Everything else screams "TOP".

CBOE Equity Call Volume (000)873.7184.3710.69%
CBOE Equity Put Volume (000)607.2199.3148.87%
CBOE Volatility Index12.980.010.08%
CBOE Nasdaq Volatility Index18.640.42.19%
Equity Put-Call Ratio0.690.1834.49%
10-day PCR0.570.0213.81%
SPX-VIX Ratio91.7-0.15-0.16%

Bond Market Analysis

Bonds continued their decline, with the yield on the benchmark 30-year Treasury bond rising 0.021 points to 5.048%.

The 10-year Treasury yield closed within a hair of my stated "key breakout" level (4.41%), closing at 4.408%... a close above that for 2 days straight, and it's 5% next stop (and bye bye mortgage market).

The December04 30-year bond future (ZBZ04) dropped again, and sits at 110 & 16/32 - down over 3.5 full points (i.e., $3500 in profit) from the entry level of 114 & 1/32.

UST 2Y (yld)3.0340.041.51%
UST 5Y (yld)3.7510.0531.43%
UST 10Y (yld)4.4080.040.94%
UST 30Y (yld)5.060.0380.76%

The Banks Index lost 0.24 points (0.23%), at 102.71; within the index,

  • the Derivative King - JPMorganChase posted a rise of $0.16 (0.42%) at $38.44; and
  • Citigroup dipped $0.18 (0.39%) closing at $45.76

The Broker-dealer Index declined 0.72 points (0.49%), ending the day at 147.37; the ticket clippers lined up as follows -

  • Merrill Lynch shed $0.29 (0.51%) to end the session at $56.75
  • Morgan Stanley Dean Witter added $0.16 (0.31%) ending the day at $52.14
  • Goldman Sachs gained $0.60 (0.57%) at $106.60
  • Lehman Brothers slid $0.75 (0.89%) closing at $83.25

The Philadelphia SOX (Semiconductor) index declined 1.38 points (0.31%), ending the day at 438.71

  • Triquint lost $0.02 (0.45%) to $4.40
  • Micron Technology dipped $0.04 (0.35%) at $11.40
  • Intel shed $0.39 (1.69%) at $22.71
  • Altera lost $0.71 (2.98%) to end the session at $23.09
  • JDS Uniphase declined $0.04 (1.25%) at $3.15

Gold & Silver Markets

Just when you thought $450 was safely behind us, Gold weakened by $4.50 (0.99%) to close under $450 at $449.50 per ounce. The Gold Bugs Index lost 9.75 points (4.12%), at 226.77 points.

Silver fell by $0.14 (1.74%) to close at $7.89 per ounce. The Gold and Silver Index (XAU) lost 3.5 points (3.28%), ending the day at 103.21 points.

PHLX Gold and Silver Index103.21-3.5-3.28%
AMEX Gold BUGS Index226.77-9.75-4.12%

Oil Market

Oil got absolutely whacked yet again, dropping another $2.10 per barrel (4.6%), closing at $43.57 per barrel. The Oil and Gas Index (XOI) declined 18.66 points (2.56%), closing at 711.13 while the Oil service stocks (OSX) Index dipped 2.59 points (2.15%), ending the day at 118.09.

This isn't doing Dick Cheney's Halliburton stock any good at all... the US had better hurry up and bomb Iran.

Reuters CRB284.5-3.25-1.13%
Crude Oil Light Sweet43.57-2.1-4.6%
AMEX Oil Index711.13-18.66-2.56%
Oil Service Index118.09-2.59-2.15%

Currency Markets

Nobody is prepared to sell the Yen.. oh wait - did I say that yesterday? Sure did - and it's still true.

Every man and his dog (both of whom are short USD) is waiting with bated breath (especially the dog) for the Japanese to intervene in the Yen.

A similar story is doing the rounds concerning the Euro... "the Europeans will be hurt by a stronger Euro because it will crimp the competitiveness of their exports".

What crap; most European trade is intra-zonal; the Euro-zone has more-or-less balanced external trade. The baloney about getting hurt by a weaker USD/stronger Euro is so much bureaucratic/government hogwash being promulgated by the Yanks in the hope that it will influence popular (and trader) opinion re: the USD.

US Dollar Index81.950.380.47%
Australian Dollar0.7739-0.0034-0.44%
Swiss Franc1.15210.01311.15%
Canadian Dollar0.8368-0.0084-0.99%

European Markets

France's benchmark CAC-40 Index posted a rise of 14.74 points (0.39%), at 3811.45; the German DAX-30 Index added 30.37 points (0.73%), to 4216.4 points; and in the UK, the FTSE-100 Index added 15.5 points (0.33%), to 4751.2.


Tonight's Pivots (US Futures Market)

R2106811199.51637.67111 13/32
Pivot105931191.11612.67110 24/32
S1105471186.71599.83110 11/32
S2105051182.71587.67110 3/32