Interdum stultus opportuna loquitur...

Saturday, January 08, 2005

USRant: No Repo, No Momentum... ALWAYS

Note - from June 24th 2009, this blog has migrated from Blogger to a self-hosted version. Click here to go straight there.

Economic Statistics

The "big ticket" item on the agenda was the Payroll report, which has already been covered in its own little post, but I'll reprise it here, along with the day's other "day-da" (items in red were those that failed to match consensus estimates):

Economic Releases For January 7th
Time Data Period Forecast Actual%
8:30 a.m. Non-Farm Payrolls* Dec-04 175k 157k
Unemployment rate Dec-04 5.4 pct 5.4 pct
Avg Hourly Earnings Dec-04 +0.3 pct +0.1 pct
Avg Work Week Dec-04 33.8 hrs 33.8 hrs
9:40 a.m. ECRI Inflation Dec-04 -na- 117.9
10:30 a.m. ECRI Weekly Index w/e 12/31 -na- 131.4
3:00 p.m. Consumer Credit** Nov-04 +$6.0 bln -$8.6 bln

*: Previous month's payrolls revised up 25k

**: previous month's consumer credit revised up $2.2bln

Forthcoming US Economic Data

Monday's US Economic Data Calendar

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation last night:

  • a $5billion, overnight repurchase with $4.8billion in T-backed collateral .
Not enough to light the wick on the repo-moonshot skyrocket, and guess what? 10 a.m. NY time represented a high, rather than a low, and the market subsequently plummeted until it was deeply oversold.


Major US Indices

Just when you thought that "weaker than consensus, but not as much weaker as expected" meant "the market ought to think these numbers are OK", the market did its job... that is, it took the majority to the cleaners.

Sure, journalists wrote headlines about how the number was "close to" expectations. Sure, they concentrated on how the prior month had been revised up. And sure, the unemployment rate didn't change. And in the early minutes after the data, it looked like the market was off to the races.

I said in yesterday's USRant (in the Market Sentiment section) that if the S&P futures couldn't break 1194 before the data, that 1175 was a good possibility.

Well, not only could the market not break 1194 before the data, it couldn't do so after the data without some prompting. When it did break (AFTER the data) it did so on a monstrously high TICK level, which was a perfect place to reposition shorts.

Note: when 1994 wasn't breached before the data, my bias changed to shorting, looking for a move from the immediate post-data exuberance... down to (or towards) 1175. At 1183.50, TICK was -1000 - which happens very rarely and when it does it's usually time to go long unless the market is in a confirmed downtrend. Regardless of the trend direction it's always time to close shorts when TICK is < -1000.

Anyhow - check out the chart: the significant intraday points are marked...

S&P Futures Intraday 5 minute chart

By the end of the session, the DJIA had shed 18.92 points (0.18%), closing out the day at 10603.96 points; the broader S&P500 lost 1.7 points (0.14%), closing at 1186.19.

Over at Times Square, the Nasdaq Composite dipped 1.39 points (0.07%), to close at 2088.61, while larger-cap technology issues fared significantly better with the Nasdaq100 adding 7.29 points (0.47%), to end at 1564.81 points.

The main explanation for the counter-market performance of the NDX was a massive 7% gain in Apple (AAPL); there was no real catalyst (it reports earnings next week, and some brokerage dickhead upgraded earnings estimates... if that's all it takes we are in deep ca-ca going forward). Intel (INTC) also rose over a percent on no news.

NYSE Volume was chunky, with 1.48 billion shares changing hands, while Nasdaq Volume was super-chunky (over 2 bill), with 2.19 billion shares traded.

Nasdaq Composite2088.61-1.39-0.07%
NYSE Volume1.48bn--
Nasdaq Volume2.19bn--


My 9-stock "bellwethers" group fell by an average of 0.12%

  • Fannie Mae (FNM) -$0.35 (0.5%) to $70.00;
  • Citigroup (C) -$0.28 (0.57%) to $48.65;
  • Ebay (EBAY) +$0.40 (0.38%) to $106.58;
  • Freddie Mac (FRE) -$0.04 (0.06%) to $71.71;
  • Wal Mart (WMT) -$0.06 (0.11%) to $53.99;
  • Intel (INTC) +$0.34 (1.51%) to $22.80;
  • IBM (IBM) -$0.42 (0.44%) to $95.78;
  • General Electric (GE) -$0.22 (0.61%) to $36.00;
  • Cisco Systems (CSCO) -$0.13 (0.69%) to $18.72;

Market Breadth & Internals

NYSE declining Issues beat out advancers by 1910 to 1406, for a single-day A/D reading of -504; and Nasdaq losers exceeded gainers by 1900 to 1174.

Declining volume was greater than volume in advancing issues by 922.49 to 537.21 million shares on the NYSE; Nasdaq declining volume exceeded volume in advancing issues by 598.02 to 585.6 million shares.

35 NYSE-listed stocks rose to new 52-week highs, and 8 posted fresh 52-week lows, while on the Nasdaq there were 43 stocks that hit new 52-week highs, and 23 which fell to fresh 52-week lows

Advancing Volume (m)537.21585.6
Declining Volume (m)922.49598.02
New Highs3543
New Lows823

Market Sentiment


Index Close Gain(Loss) %
Equity Call Volume (000) 2650.17 325.05 13.98%
Equity Put Volume (000) 2005.85 202.54 11.23%
CBOE Volatility Index 13.49 -0.09 -0.66%
CBOE Nasdaq Volatility Index 19.15 -0.98 -4.87%
Equity Put-Call Ratio 0.76 -0.02 -2.41%
SPX-VIX Ratio 87.93 0.46 0.52%

Bond Market Analysis

The big story in the bond market was the flagrant stop-gunning shenanigans as the data was released.

There's an axiom in futures trading; do not use "hard" (pre-set, and transmitted to the exchange) stops during Globex - and particularly not when there's data being released. Why? Because in a thin market, the professionals will "gun the stops" - taking the market down hard to kick out those who are long (forcing them to re-enter at worse terms) and then taking it up hard to take out those who are short (making them re-enter at worse terms, too). It costs almost nothing to do that, and it inflicts massive amounts of financial pain on nuffie traders.

Take a look at the stop-running in the bond market - and note that from low to high (price basis in the futures), the change in implied yield on Treasuries moved up 5 basis points and down 3.5 basis points; that's a bigger move - from high to low - than you would get in 30-years as a result of a surprise 25bps move by the Fed. Check it out:

Intraday 5 minute chart

By the close, Bonds had actually risen in price at the long end, and were static to lower in the belly and shorter maturities. The yield on the benchmark 30-year Treasury bond shed 2 basis points to 4.837%.

UST 13wk (yld)2.2780.010.44%
UST 2Y (yld)3.1850.0290.92%
UST 5Y (yld)3.7130.020.57%
UST 10Y (yld)4.27100%
UST 30Y (yld)4.837-0.02-0.41%

The Banks Index slid 0.59 points (0.57%), ending the day at 102.09; within the index,

  • Zions Bancorp (ZION) -$1.62 (2.43%) to $64.99;
  • Us Bancorp (USB) -$0.54 (1.74%) to $30.45;
  • Northern Trust (NTRS) -$0.76 (1.6%) to $46.63;
  • M&T Bank (MTB) -$1.41 (1.34%) to $103.49;
  • BB&T Corp (BBT) -$0.48 (1.14%) to $41.52;

The Broker-dealer Index shed 0.62 points (0.42%), to end the session at 148.04; the ticket clippers lined up as follows -

  • E*Trade (ET) -$0.23 (1.66%) to $13.65;
  • Jeffries Group (JEF) -$0.53 (1.36%) to $38.33;
  • Raymond James (RJF) -$0.21 (0.71%) to $29.49;
  • Bear Stearns (BSC) -$0.47 (0.46%) to $102.62;
  • Goldman Sachs (GS) -$0.45 (0.43%) to $104.78;

The Philadelphia SOX (Semiconductor) index rose 5.42 points (1.35%), to 407.56

  • Altera (ALTR) -$0.00 (0%) to $18.67;
  • Broadcom Corp (BRCM) +$1.92 (6.2%) to $32.90;
  • Marvell Tech (MRVL) +$1.46 (4.42%) to $34.50;
  • Teradyne (TER) +$0.33 (2.18%) to $15.50;
  • KLA-Tencor (KLAC) +$0.66 (1.56%) to $42.97;

Gold & Silver Markets

Gold fell by another $2.60 (0.62%) to close at $419.60 per ounce. $400 now looks like the place for the next test of the nuffies' will power and pain tolerance (note that I do not use the term "pain threshold" - which means the point at which pain is first experienced... the pain tolerance level is the level of pain at which it becomes unbearable: people who repeat the crap "women have higher pain thresholds" confuse the two terms).

Gold Bugs Index rose 1.04 points (0.52%), closing at 202.33

  • Iamgold (IAG) +$0.18 (2.96%) to $6.26;
  • Goldcorp (GG) +$0.17 (1.25%) to $13.75;
  • Golden Star (GSS) +$0.04 (1.13%) to $3.59;
  • Freeport McMoran (FCX) +$0.34 (0.96%) to $35.62;
  • Gold Fields (GFI) +$0.11 (0.87%) to $12.72;

Silver rose $0.01 (0.16%) to close at $6.45 per ounce. The Gold and Silver Index (XAU) gained 0.38 points (0.41%), closing at 93.39 points.

  • Durban Roodepoert Deep (DROOY) +$0.04 (2.67%) to $1.54;
  • Goldcorp (GG) +$0.17 (1.25%) to $13.75;
  • Freeport McMoran (FCX) +$0.34 (0.96%) to $35.62;
  • Gold Fields (GFI) +$0.11 (0.87%) to $12.72;
PHLX Gold and Silver Index93.390.380.41%
AMEX Gold BUGS Index202.331.040.52%

Oil Market

Oil lost ground slightly, shedding $0.26 per barrel, closing at $45.15 per barrel. Despite a poor showing for the day, Crude (and energy more broadly) capped off quite a good week.

The Oil and Gas Index (XOI) declined 3.72 points (0.53%), to 700.19

  • Sunoco (SUN) -$1.73 (2.19%) to $77.42;
  • Occidental (OXY) -$0.92 (1.62%) to $55.75;
  • Repsol Ypf (REP) -$0.33 (1.33%) to $24.46;
The Oil service stocks (OSX) Index declined 2.09 points (1.73%), closing at 118.39
  • Varco (VRC) -$0.91 (3.2%) to $27.51;
  • Global Industries (GLBL) -$0.22 (2.9%) to $7.37;
  • Schlumberger (SLB) -$1.68 (2.58%) to $63.53;
Reuters CRB279-1.5-0.53%
Crude Oil Light Sweet45.15-0.26-0.57%
AMEX Oil Index700.19-3.72-0.53%
Oil Service Index118.39-2.09-1.73%

Currency Markets

The USD rally seems to be taking people by surprise - which is pretty funny when you consider how bloody obvious it was. That's enough for the moment...

Suffice it to say that there is intervention happening, and it's not by the Bank of Japan. The Yanks are doing it themselves - in yet another example of the stupid King Canute view of the world that bureaucrats have of themselves; try ordering the tides around instead of dicking around wasting taxpayers' money trying to support the greenback, you pack of third rate morons...

US Dollar Index83.730.480.58%
Australian Dollar0.7574-0.0034-0.45%
Swiss Franc1.18440.01060.9%
Canadian Dollar0.81170.00270.33%

European Markets

France's benchmark CAC-40 Index gained 21.48 points (0.56%), at 3877.96; the German DAX-30 Index rose 15.46 points (0.36%), ending the day at 4316.4; and in the UK, the FTSE-100 Index gained 29.8 points (0.62%), at 4854.1 points.


Monday's Pivots (US Futures Market)

R2107071198.61596.67114 20/32
R1106531192.31581.83113 12/32
Pivot106121187.91569.67112 6/32
S1105581181.61554.83110 30/32
S2105171177.21542.67109 24/32