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Economic Statistics
The Mortgage Bankers Association Purchase Application Index came in at 490.9, a jump of 6.6% for the week. This reverses a little decline - in November it fell 3 out of 4 weeks. Most likely, folks making a purchase decision in November tend to wait until after Thanksgiving - then see what they can afford. The index is up a whopping 22% form the same period a year ago.
The Refinancing component of the index fell -1.1 (after a fall of 12.9% in the Thanksgiving week). That said, the recent reaction doesn't seem much of an issue when you consider that the refi index is up 18-fold since 1990 and is still near record levels).
The Energy Information Administration released its weekly Petroleum Status Report, which is now among the most-watched statistical data on the planet (since Crude Oil went on its last tear skywards, anyway). Crude oil stocks rose 0.6m barrels, and are up 4.8% from last year. There was no noticeable;e effect on Crude prices - this is not a big increase in the scheme of things.
Gasoline inventories were up 2.4m barrels. Heating oil inventories have also begun to build as the North-Eastern weather remains relatively mild (although it's not yet in full swing).
Treasury held its previously-quarterly 5-year Note Auction for $15b which cleared at a yield of 3.55% (last week: 3.51%), with a bid-to-cover ratio of 2.6x (last week: 2.9x); Treasury has moved to 8 auctions a year... as Government debt just keeps piling up.
Tomorrow's US Economic Data Calendar
Federal Reserve Open Market Operations
The Fed's Open Market Operations desk performed 1 repurchase operation last night:
- a $5b, overnight repurchase with $5b in T-backed collateral .
A $5b repo just touches out threshold for a "Fed Grease 10:00 a.m. Buy Signal", and as usual anyone who bought at that time would have been a happy camper by the close.
Still, it was not the usual "skyrockets in flight" that normally accompanies a decent lug of repo crack; it was a pretty lethargic move upwards.
Major US Indices
The Dow opened pretty soft, but moved upwards in a little trend-channel (with intermittent bursts of program buying) until just after mid-session. From there there was a fade until the Market on Close imbalancesat 7:40 a.m. Australian time. The MoC imbalances show the amount of stock over- or under-bid for stocks where orders are placed on a "Market on Close" basis. Obviously, if as much stock is offered at market on close as is bid, the system matches them and the price doesn't move. But in the NYSE's specialist system (which is an archaic, corrupt system and should be scrapped) there is invariably a mismatch. These mismatches - referred to as MoC imbalances - are made public every 10 minutes in the last half-hour, which encourages anyone who wants to take the opposite side of the trade. There were plenty of overbids in major stocks, which means that dealers would need to acquire stock before the close to meet the net MoC buy orders.
Anyhow... if it becomes evident that there's a lot of MoC Buy Imbalances in the bigger-cap stock names, folks like me buy futures, knowing that brokers will have to acquire stock on behalf of their customers in order to fill the MoC order. (The reverse is true for net MoC Sell imbalances).
Whatever... the washup means that if there are big buy imbalances at 7:30 a.m., the market will get some traction upwards for at least ten minutes. It's like RedMenace's method of using the opening and closing match-out to "scalp" a few hundred bucks from some ASX stocks that he trades all the time - he might exploit a closing matchout for a cent a unit on 60,000 shares. Call it "tricks of the trade"...
The DJIA gained 53.65 points (0.51%) for the day, with more than half of that gain coming in the time period after the MoC imbalances were released (i.e., in the last half hour). The index closed out the day at 10494.23 points; check out the chart.
Dow 5-minute intraday
The broader S&P500 gained 5.74 points (0.49%), at 1182.81. Over at Times Square, the Nasdaq Composite gained 11.45 points (0.54%), to close at 2126.11, while larger-cap technology issues fared better with the Nasdaq100 adding 12.58 points (0.79%), to end at 1601.91 points.
NYSE Volume was solid, with 1.53 billion shares changing hands, while Nasdaq Volume was super-chunky (over 2 bill), with 2.4 billion shares being shifted around in cyberspace. Nasdsaq volume is getting louder and louder - everybody is sure that the end-of-year rally (which is coming... bet on it - the S&P will finish the year close to my long-standing target of 1220) will continue into, and through, 2005. They're wrong; 2005 will suck, big time.
| Index | Close | Gain(Loss) | % |
| DJIA | 10494.23 | 53.65 | 0.51% |
| S&P500 | 1182.81 | 5.74 | 0.49% |
| Nasdaq Composite | 2126.11 | 11.45 | 0.54% |
| Nasdaq100 | 1601.91 | 12.58 | 0.79% |
| NYSE Volume | 1.53bn | - | - |
| Nasdaq Volume | 2.4bn | - | - |
Bellwethers
My 9-stock "bellwethers" group rose by an average of 0.11%
- Freddie Mac (FRE) +$0.24 (0.35%) to $68.63;
- Wal-Mart Stores (WMT) +$0.01 (0.02%) to $52.51;
- Citigroup (C) +$0.29 (0.63%) to $46.29;
- Ebay Inc (EBAY) +$0.69 (0.61%) to $114.61;
- IBM Corp (IBM) +$0.55 (0.57%) to $96.65;
- General Electric (GE) +$0.40 (1.13%) to $35.71;
- Cisco Systems (CSCO) +$0.07 (0.35%) to $19.80;
- Fannie Mae (FNM) -$0.50 (0.71%) to $69.89;
- Intel Corp (INTC) -$0.47 (2%) to $23.01.
Market Breadth & Internals
On the NYSE advancing Issues exceeded decliners by 1982 to 1324 for a single-day A/D reading of 658; Nasdaq gainers trumped losers by 1760 to 1380. The A/D line is gyrating around like a mad woman, but the massive tilt see yesterday made a bounce the obvious candidate tonight.
NYSE advancing volume exceeded volume in decliners by 827.6 to 681.97 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 840.06 to 503.7 million shares.
62 NYSE-listed stocks rose to new 52-week highs, and 5 posted fresh 52-week lows, while on the Nasdaq there were 52 stocks that hit new 52-week highs, and 12 which fell to fresh 52-week lows.
| NYSE | Nasdaq | |
| Advancers | 1982 | 1760 |
| Decliners | 1324 | 1380 |
| Advancing Volume (m) | 827.6 | 503.7 |
| Declining Volume (m) | 681.97 | 840.06 |
| New Highs | 62 | 52 |
| New Lows | 5 | 12 |
Market Sentiment
I've taken out the put-call stuff for the moment; I don't have time to properly investigate the data-accumulation and processing issues that are causing it to fail to update (the subscription offerings and the build for the tie-up with theFinancials is taking a lot of attention). I'll have to leave it until the weekend to fix.
Still and all, the VIX, and the SPX-VIX ratio, are at or near all-time extremes. I think the "few days of lower prices" I forecast on Monday have played themselves out - there was a pullback of 22 points from last week's high to this week's low in the S&P futures - and now it's time for the thing to race to above 1200.
| Index | Close | Gain(Loss) | % |
| CBOE Volatility Index | 13.19 | -0.48 | -3.51% |
| CBOE Nasdaq Volatility Index | 20.01 | -0.27 | -1.33% |
| SPX-VIX Ratio | 89.67 | 3.57 | 4.14% |
Bond Market Analysis
Bonds rose along the curve, as rumours of more large Bund/Bond trades (this time totaling another a$12b) helped the longer-dated US Treasuries. The "flattening" trades are betting on a narrowing of the yield differential between US Treasuries and German bunds. These flattening trades are unwinding a long-Bund/Short-US10yr trade that has been popular with hedge funds.
The yield on the benchmark 30-year Treasury bond shedding 11.4 basis points to 4.78%. More importantly, the December04 30-year bond future (ZB04Z) rose to above my entry point (it closed up a whopping 1&12/32 to 114&4/32... my entry point was 114 & 1/32 about a month ago. In the intervening period, that trade was up at one stage by over $3500 per $2700 stake; if traders can't make money exploiting a (forecast, in advance) move like that, they ought to do something useful with their lives.
| Index | Close | Gain(Loss) | % |
| UST 2Y (yld) | 2.887 | -0.04 | -1.27% |
| UST 5Y (yld) | 3.491 | -0.089 | -2.49% |
| UST 10Y (yld) | 4.118 | -0.1 | -2.46% |
| UST 30Y (yld) | 4.78 | -0.11 | -2.25% |
The Banks Index rose 0.37 points (0.37%), closing at 101.11; within the index,
- Wachovia Corp (WB) +$0.81 (1.55%) to $52.97;
- Wells Fargo & Co (WFC) +$0.60 (0.97%) to $62.42;
- North Fork Bancp (NFB) +$0.25 (0.91%) to $27.70;
- Northern Trust (NTRS) +$0.35 (0.74%) to $47.77;
- Mellon Financial Corp (MEL) +$0.20 (0.66%) to $30.59;
The Broker-dealer Index rose 0.58 points (0.39%), to 147.91; the ticket clippers lined up as follows -
- A G Edwards Inc (AGE) +$0.59 (1.49%) to $40.25;
- Raymond James (RJF) +$0.23 (0.77%) to $29.93;
- Bear Stearns (BSC) +$0.74 (0.72%) to $103.15;
- Lehman Bros (LEH) +$0.54 (0.64%) to $85.55;
The Philadelphia SOX (Semiconductor) index shed 5.6 points (1.28%), ending the day at 431.91
- Marvell Tech (MRVL) +$0.54 (1.61%) to $33.99;
- Maxim Integrated (MXIM) +$0.59 (1.43%) to $41.89;
- ST Microelectronics (STM) -$0.09 (0.44%) to $20.14;
- Freescale Semiconductors B (FSLb) -$0.08 (0.45%) to $17.62;
- Linear Tech (LLTC) -$0.19 (0.49%) to $38.98;
Gold & Silver Markets
Gold weakened by $11.7 (2.59%) to $440 per ounce, and at one stage was down $20 at $434. Take a look at the chart - a 5-minute intraday job. That's a picture of a hundreds of new Gold traders being handed their heads by the Big Boys.
Gold 5-minute intraday
The Gold Bugs Index lost 3.52 points (1.61%), to 215.1 points. Within the index, the major movers were as follows:
- Coeur D'Alene (CDE) +$0.01 (0.25%) to $4.08;
- Meridian Gold (MDG) +$0.04 (0.22%) to $17.97;
- Kinross Gold (KGC) -$0.02 (0.28%) to $7.23;
- Freeport-McMoran Gold (FCX) -$0.19 (0.53%) to $35.99;
- Hecla Mining Co (HL) -$0.04 (0.7%) to $5.69;
Silver fell by $0.63 (8.01%) to close at $7.18 per ounce. The Gold and Silver Index (XAU) lost 1.45 points (1.45%), to 98.8 points.
- Meridian Gold (MDG) +$0.04 (0.22%) to $17.97;
- Kinross Gold (KGC) -$0.02 (0.28%) to $7.23;
- Freeport-McMoran Gold (FCX) -$0.19 (0.53%) to $35.99;
- Durban Roodepoert Deep (DROOY) -$0.02 (1.2%) to $1.65;
| Index | Close | Gain(Loss) | % |
| Gold | 440 | -11.7 | -2.59% |
| Silver | 7.175 | -0.625 | -8.01% |
| PHLX Gold and Silver Index | 98.8 | -1.45 | -1.45% |
| AMEX Gold BUGS Index | 215.1 | -3.52 | -1.61% |
Oil Market
Oil was firmer, rising by $0.75 per barrel, closing at $42.20 per barrel. The Oil and Gas Index (XOI) posted a rise of 2.79 points (0.4%), at 708.13
- Sunoco Inc (SUN) +$1.54 (1.99%) to $79.02;
- ChevronTexaco (CVX) +$0.56 (1.07%) to $52.69;
- ConocoPhillips (COP) +$0.87 (1.03%) to $85.62;
- Varco (VRC) +$0.25 (0.91%) to $27.84;
- Global Inds (GLBL) +$0.07 (0.9%) to $7.89;
- Nabors Inds(NBR) +$0.39 (0.8%) to $49.10;
| Index | Close | Gain(Loss) | % |
| Reuters CRB | 276.55 | -3.7 | -1.32% |
| Crude Oil Light Sweet | 42.2 | 0.75 | 1.81% |
| AMEX Oil Index | 708.13 | 2.79 | 0.4% |
| Oil Service Index | 117.49 | 0.21 | 0.18% |
Currency Markets
Yet again, the Aussie was the recipient of the biggest whuppin' as a result of the USD bounce. Check the archive - you'll see that it was obvious. I also expected the Canadian to have a tough time, but it weathered this "first strike" quite well.
| Index | Close | Gain(Loss) | % |
| US Dollar Index | 81.9 | 0.65 | 0.8% |
| Euro | 1.3336 | -0.0082 | -0.61% |
| Yen | 103.98 | 1.05 | 1.02% |
| Sterling | 1.9355 | -0.0085 | -0.44% |
| Australian Dollar | 0.7574 | -0.0165 | -2.13% |
| Swiss Franc | 1.1486 | 0.0074 | 0.65% |
| Canadian Dollar | 0.8228 | -0.0036 | -0.44% |
European Markets
France's benchmark CAC-40 Index declined 12.41 points (0.33%), to end the session at 3775.04; the German DAX-30 Index declined 11.27 points (0.27%), ending the day at 4201.35; and in the UK, the FTSE-100 Index declined 24.8 points (0.52%), to 4703.9
| Index | Close | Gain(Loss) | % |
| CAC-40 | 3775.04 | -12.41 | -0.33% |
| DAX-30 | 4201.35 | -11.27 | -0.27% |
| FTSE-100 | 4703.9 | -24.8 | -0.52% |
