Note - from June 24th 2009, this blog has migrated from Blogger to a self-hosted version. Click here to go straight there.
Note: some folks have mentioned that the charts ar hard to read; the best idea isto click on them, andthey will open up to a larger chart which is more legible. I'm trying to get it so that the charts re-size based on your screen resolution, but it's slightly beyond me at present. I'll organise it so that they open in a new window by default... later...
Economic Statistics
There was only one economic report out last night - the Consumer Price Index (CPI) which showed a year-on-year increase of 3.5% at the headline level (that is, the headline CPI is currently 3.5% higher than it was this time last year). the month-on-month number was 0.2%, which was precisely in line with the consensus guess.
The "core" CPI - that is, the CPI less Food & Energy - shows a tamer lower year-on-year increase (at 2.2%) and the month on month figure was in line with the guessers at 0.2%.
Think hard (for a sec) about the meaningfulness (is that a word?) of the year-on-year "core" CPI.
The reason that food & energy are removed from the "headline" CPI to get the "core" CPI, is because the monthly numbers for Food & Energy are volatile, and it (supposedly) permits better analysis to be able to understand what the more stable components are doing. That's fine - up to a point - for the monthly numbers; what about yearly?
The prices of Energy and Foods are (somewhat) seasonal, but their volatility across the timespan of a year is irrelevant; it is impossible to justify looking at year on year inflation rates that exclude Food & Energy... simple as that. (Unless of course you're trying to paint a pretty picture for your dumbed-down proletarians).
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 $2.75billion, 6-day repurchase with $0.088billion in T-backed collateral.
What? No (or very little) grease for the wheels? Little wonder the indices couldn't get their head out of the porridge bowl.
Major US Indices
What did I say yesterday? Here's a recap:
1220 still looks "do-able" by the end of the year, but the market is definitely overcooked and a pullback to under 1200 is both warranted and would serve a useful purpose... the odds are that such a pullback will happen tonight.
And lo, it came to pass. After the CPI (which, you must remember, was in line with expectations), the equity futures began to take on water, and after a small attempt to rally at the open, eventually gave up and sank until the S&P futures hit 1195.
A series of late-afternoon program buy trades was required to attempt to get the indices to hold a weekly close above 1200 (S&P) and 10700 (Dow), but that wasn't successful. Expect weakness during Globex on Sunday/Monday.
S&P Futures Intraday 5 minute chart
The DJIA slid 55.72 points (0.52%), closing out the day at 10649.92 points; the broader S&P500 slid 9.01 points (0.75%), closing at 1194.2.
Over at Times Square, the Nasdaq Composite slid 10.95 points (0.51%), to close at 2135.2, while larger-cap technology issues fared worse with the Nasdaq100 losing 11.01 points (0.68%), to end at 1596.61 points.
NYSE Volume was super-duper-chunky (very rare, in that it exceeded Nasdaq volume), with 2.48 billion shares changing hands, while Nasdaq Volume was super-chunky (over 2 bill), with 2.45 billion shares being shifted around without any regard for valuation, or even what the company even does.
| Index | Close | Gain(Loss) | % |
| DJIA | 10649.92 | -55.72 | -0.52% |
| S&P500 | 1194.2 | -9.01 | -0.75% |
| Nasdaq Composite | 2135.2 | -10.95 | -0.51% |
| Nasdaq100 | 1596.61 | -11.01 | -0.68% |
| NYSE Volume | 2.48bn | - | - |
| Nasdaq Volume | 2.45bn | - | - |
Bellwethers
My 9-stock "bellwethers" group fell by an average of 0.80%
- General Electric (GE) -$0.36 (0.97%) to $36.75;
- IBM (IBM) -$1.25 (1.28%) to $96.20;
- Intel (INTC) -$0.10 (0.44%) to $22.77;
- Freddie Mac (FRE) -$0.49 (0.69%) to $70.26;
- Ebay Inc (EBAY) -$0.95 (0.82%) to $114.75;
- Fannie Mae (FNM) +$1.01 (1.46%) to $70.31;
- Citigroup (C) -$0.43 (0.91%) to $46.62;
- Wal Mart Stores (WMT) -$0.73 (1.38%) to $52.02;
- Cisco Systems (CSCO) -$0.41 (2.11%) to $18.99;
Market Breadth & Internals
NYSE declining Issues beat out advancers by 1671 to 1654, for a single-day A/D reading of -17; and Nasdaq losers exceeded gainers by 1596 to 1521. A typical Friday? Not really.
NYSE declining volume was greater than volume in advancing issues by 1450.29 to 995.88 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 832.07 to 624.62 million shares.
153 NYSE-listed stocks rose to new 52-week highs, and 8 posted fresh 52-week lows, while on the Nasdaq there were 107 stocks that hit new 52-week highs, and 5 which fell to fresh 52-week lows
| NYSE | Nasdaq | |
| Advancers | 1654 | 1521 |
| Decliners | 1671 | 1596 |
| Advancing Volume (m) | 995.88 | 624.62 |
| Declining Volume (m) | 1450.29 | 832.07 |
| New Highs | 153 | 107 |
| New Lows | 8 | 5 |
Market Sentiment
We are living in interesting times; I can honestly say that I have never seen the implied volatility on S&P options this low (and nor have you).
For goodness' sake, the volatility of Fed Funds is greater than the implied volatility of stock prices!! If you believe - even in part - that there is a risk-return tradeoff, what does that little factoid tell you? (Hint: that the expected return from owning stocks should be lower than the Fed Funds rate). Along with speeding, it is the best argument against consumer rationality that I have ever seen.
| Index | Close | Gain(Loss) | % |
| Equity Call Volume (000) | 2355.51 | -1205.7 | -33.86% |
| Equity Put Volume (000) | 1808.89 | -406.03 | -18.33% |
| CBOE Volatility Index | 11.95 | -0.32 | -2.61% |
| CBOE Nasdaq Volatility Index | 18.21 | -0.39 | -2.1% |
| Equity Put-Call Ratio | 0.77 | 0.15 | 23.47% |
| 10-day PCR | 0.57 | 0 | 0% |
| SPX-VIX Ratio | 99.93 | 1.87 | 1.91% |
Bond Market Analysis
Bonds fell along the curve, as the year-on-year inflation figures gave the market an idea that the Fed might increase the pace of its interest rate program. That makes sense, since it would be the most damaging thing that the central wankers could possibly do. Anyhow, most of the damage was done at the short end of the yield curve, with the 2-year note yield rising 2 basis points, while the yield on the benchmark 30-year Treasury bond rising 0.5 basis points to 4.827%.
The bond market gave a case study of how illiquid - and non-continuous - securities markets can get; it would help if you bore in mind this chart next time you consider taking seriously, the underlying assumptions which form the foundations of the Black-Scholes option pricing model (i.e., continuous, liquid markets... no price gaps, for example)...
30-yr Bond Futures Intraday 5 minute chart
| Index | Close | Gain(Loss) | % |
| UST 2Y (yld) | 2.995 | 0.02 | 0.57% |
| UST 5Y (yld) | 3.574 | 0.009 | 0.25% |
| UST 10Y (yld) | 4.199 | 0.01 | 0.33% |
| UST 30Y (yld) | 4.827 | 0.004 | 0.08% |
The Banks Index dipped 0.77 points (0.75%), ending the day at 102.08; the following index components led the downward charge:
- Wachovia (WB) -$1.10 (2.07%) to $52.00;
- Bank Of America (BAC) -$0.89 (1.93%) to $45.20;
- Northern Trust (NTRS) -$0.90 (1.83%) to $48.35;
- Fifth Third Bancorp (FITB) -$0.65 (1.36%) to $47.12; and
- US Bancorp (USB) -$0.38 (1.25%) to $29.90.
The Broker-dealer Index lost 1.22 points (0.81%), ending the day at 150.07; the ticket clippers lined up as follows -
- Jeffries Group (JEF) -$1.24 (3.13%) to $38.44;
- Goldman Sachs (GS) -$1.65 (1.57%) to $103.75;
- Charles Schwab (SCH) -$0.18 (1.51%) to $11.75;
- Morgan Stanley (MWD) -$0.74 (1.35%) to $54.11; and
- Legg Mason (LM) -$0.72 (1.01%) to $70.68.
The Philadelphia SOX (Semiconductor) index declined 3.34 points (0.78%), ending the day at 423.75; the brown chips were led lower by
- Micron Technology (MU) -$0.32 (2.75%) to $11.31;
- Texas Instruments (TXN) -$0.59 (2.46%) to $23.44;
- Broadcom Corp (BRCM) -$0.77 (2.41%) to $31.14;
- Infineon Tech (IFX) -$0.23 (2.13%) to $10.59;
- Applied Materials (AMAT) -$0.23 (1.36%) to $16.84;
Gold & Silver Markets
Gold rose $3.40 (0.78%) to close at $441. per ounce. Early in the session it had been down, but as stocks and the dollar turned down (and the Euro turned up), Gold found its feet and eventually went on the rampage.
Gold Intraday 5 minute chart
Gold Bugs Index advanced 1.01 points (0.47%), to end the session at 214.89
- Eldorado Gold (EGO) +$0.09 (3%) to $3.09;
- Harmony Gold (HMY) +$0.27 (2.96%) to $9.38;
- Golden Star (GSS) +$0.10 (2.86%) to $3.60;
- Hecla Mining (HL) +$0.09 (1.59%) to $5.74;
- Kinross Gold (KGC) +$0.09 (1.29%) to $7.09;
Silver rose $0.07 (1.05%) to close at $6.75 per ounce. The Gold and Silver Index (XAU) gained 0.07 points (0.07%), closing at 98.33 points.
- Harmony Gold (HMY) +$0.27 (2.96%) to $9.38;
- Durban Roodepoert Deep (DROOY) +$0.04 (2.58%) to $1.63;
- Kinross Gold (KGC) +$0.09 (1.29%) to $7.09;
- Agnico Eagle Mine (AEM) +$0.15 (1.12%) to $13.60;
| Index | Close | Gain(Loss) | % |
| Gold | 440.6 | 3.4 | 0.78% |
| Silver | 6.75 | 0.07 | 1.05% |
| PHLX Gold and Silver Index | 98.33 | 0.07 | 0.07% |
| AMEX Gold BUGS Index | 214.89 | 1.01 | 0.47% |
Oil Market
Saddam Osama bin Abu Musab al Zarqawi Hussein Laden - the composite dusky chap that the Yanks want us to be vewy vewy afwaid of, so they can bomb places and feel good about themselves - released a recorded statement.
In it he called for, among other things, the overthrow of the "House" of the US's pet Arabs (the Saud family). Just as the Ikhwan ended up having a gutful of the previous installed government, so OBL has had it up to the gills (do Ay-rabs have gills?) with the rulership of Saudi Arabia. He also mentioned targetting the price of oil by blowing up oil installations - according to the totally honest, would-never-lie-to-you-about-stuff folks at the CIA (whose previous utterances include, but are not limited to, the "Saddam has nukular weapons" baloney).
I don't know if it was the "latest release" from our latter-day Emmanuel Goldstein or not, but Oil was firmer.
Crude Oil Futures Intraday 5 minute chart
It rose by $1.75 per barrel (almost 4%), closing at $46.10 per barrel. Even so, the Oil and Gas Index (XOI) actually lost ground, shedding 1.18 points (0.16%), closing at 715.08. Speaking of composite identities, notice that almsot every one of the majors is a combination of several companies...
- TotalFinaElf S.A. (TOT) -$0.85 (0.8%) to $105.15;
- ExxonMobil (XOM) -$0.30 (0.6%) to $49.80;
- Royal Dutch Shell A (RD) -$0.29 (0.52%) to $55.63;
- Nabors Industries (NBR) +$1.32 (2.54%) to $53.19;
- Transocean Inc (RIG) +$0.49 (1.21%) to $41.02;
- Noble Corp (NE) +$0.45 (0.92%) to $49.34;
| Index | Close | Gain(Loss) | % |
| Reuters CRB | 285 | 3.5 | 1.24% |
| Crude Oil Light Sweet | 46.1 | 1.75 | 3.95% |
| AMEX Oil Index | 715.08 | -1.18 | -0.16% |
| Oil Service Index | 124.09 | 0.45 | 0.36% |
Currency Markets
Anyone who was expecting the US dollar to strengthen based on the CPI numbers, was well off the mark. There was a weensie move up in the USDX as bonds tanked, but it was given back - with interest - by the end of the session, with the Dollar index topping out at 82.68 and declining pretty much for the rest of the session.
The Euro likewise had a little selloff at 8:30 a.m. NY time (when the CPI was released) but it spent the early part of the session gaining that back, and by the close had broken to new session highs above 1.3300. Check out the pretty pictures...
Euro Futures Intraday 5 minute chart
| Index | Close | Gain(Loss) | % |
| US Dollar Index | 82.24 | -0.41 | -0.5% |
| Euro | 1.3305 | 0.0058 | 0.44% |
| Yen | 104.16 | -0.51 | -0.49% |
| Sterling | 1.9415 | 0.0102 | 0.53% |
| Australian Dollar | 0.762 | 0.0051 | 0.67% |
| Swiss Franc | 1.1568 | -0.0014 | -0.12% |
| Canadian Dollar | 0.8134 | 0.0031 | 0.38% |
European Markets
France's benchmark CAC-40 Index declined 65.75 points (1.73%), to 3744.92; the German DAX-30 Index lost 51.44 points (1.22%), to end the session at 4182.27 points; and in the UK, the FTSE-100 Index slid 38.4 points (0.81%), ending the day at 4696.8
| Index | Close | Gain(Loss) | % |
| CAC-40 | 3744.92 | -65.75 | -1.73% |
| DAX-30 | 4182.27 | -51.44 | -1.22% |
| FTSE-100 | 4696.8 | -38.4 | -0.81% |
Tonight's Pivots (US Futures Market)
| Dow | S&P500 | Nasdaq | Bonds | |
| R2 | 3572 | 396.82 | 535.88 | 114 8/32 |
| R1 | 7143 | 793.63 | 1071.76 | 113 25/32 |
| Pivot | 3572 | 396.82 | 535.88 | 113 9/32 |
| S1 | 7143 | 793.63 | 1071.76 | 112 26/32 |
| S2 | 3572 | 396.82 | 535.88 | 112 10/32 |
