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Federal Reserve Open Market Operations
The Fed's Open Market Operations desk performed 1 repurchase operation.
- a $2.25billion, overnight repurchase with $2.096billion in T-backed collateral .
Major US Indices
The Dow Jones Industrial Average lost 14.49 points (0.14%), closing out the day at 10456.02 points. The index fell as low as 10430.53 (at about 11:45 a.m.) and hit an intraday high of 10497.42 just after 2 p.m.
Within the blue-chip index, 12 stocks rose, the biggest gainers being Pfizer (PFE, +2.44% to $26.04) and Johnson & Johnson (JNJ, +2.11% to $68.20), which accounted for 15 Dow points between them. Losers in the Dow numbered 15 and were led by General Motors (GM, -2.98% to $28.66) and Honeywell (HON, -2.51% to $37.28), with these two stocks contributing -14 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the gainers by 278.8m shares to 153.3m.
The broader S&P500 added 0.82 points (0.07%), to end the session at 1172.53; during the session the June S&P500 futures fell as low as 1168.75, which is just 4.25 points above its low for the year (so far... I am on record as saying that the January 24th low wasnot going to hold, and would be broken before mid-year).
Over at Times Square, the Nasdaq Composite gained 0.88 points (0.04%), to close at 1990.22, while larger-cap technology issues fared better with the Nasdaq100 adding 6.68 points (0.46%), to end at 1471.77 points.
NYSE Volume was super-duper-chunky, with 2.25 billion shares changing hands, while Nasdaq Volume was just chunky, with 1.78 billion shares being shifted from one online brokerage account to another (and back again, in all likelihood).
| Major Market Statistics | |||
| Index | Close | Gain(Loss) | % |
| Dow Jones Industrial Average | 10456.02 | -14.49 | -0.14% |
| S&P500 | 1172.53 | 0.82 | 0.07% |
| Nasdaq Composite | 1990.22 | 0.88 | 0.04% |
| Nasdaq100 | 1471.77 | 6.68 | 0.46% |
| NYSE Volume | 2.25bn | - | - |
| Nasdaq Volume | 1.78bn | - | - |
Bellwethers
My 9-stock "bellwethers" group rose by an average of 0.20%
- General Electric (GE) -$0.00 (0%) to $35.50;
- Citigroup (C) +$0.01 (0.02%) to $44.45;
- Wal Mart (WMT) -$0.25 (0.49%) to $50.65;
- I.B.M. (IBM) +$1.02 (1.14%) to $90.52;
- Intel (INTC) +$0.37 (1.61%) to $23.39;
- Cisco Systems (CSCO) -$0.17 (0.95%) to $17.75;
- eBay (EBAY) +$0.04 (0.11%) to $35.92;
- Fannie Mae (FNM) +$0.20 (0.37%) to $54.16; and
- Freddie Mac (FRE) -$0.01 (0.02%) to $63.68.
Market Breadth & Internals
NYSE declining issues beat out advancers by 2607 to 734, for a single-day A/D reading of -1873; that is a huge tilt considering the modest decline in the headline averages, and really looks like the sort of numbers you get as a rpelude to a bounce. Nasdaq losers exceeded gainers by 2067 to 1057. The 10-day moving average of the A/D line fell to -945.8 on the NYSE, while the 10dma of the Nasdaq A/D fell to -523.8.
On the NYSE declining volume was greater than volume in advancing issues by 1440.8 to 734.1 million shares; Nasdaq advancing volume was greater than volume in decliners by 1054.8 to 659.5 million shares.
12 NYSE-listed stocks rose to new 52-week highs, and 146 posted fresh 52-week lows, while on the Nasdaq there were 29 stocks that hit new 52-week highs, and 107 which fell to fresh 52-week lows.
| Market Breadth Statistics | ||
| NYSE | Nasdaq | |
| Advancers | 734 | 1057 |
| Decliners | 2607 | 2067 |
| Advancing Volume (m) | 734.05 | 1054.8 |
| Declining Volume (m) | 1440.84 | 659.49 |
| New Highs | 12 | 29 |
| New Lows | 146 | 107 |
| Market Sentiment Statistics | |||
| Index | Close | Gain(Loss) | % |
| CBOE Volatility Index | 14.06 | -0.17 | -1.19% |
| CBOE Nasdaq Volatility Index | 17.68 | -0.33 | -1.83% |
| Equity Put-Call Ratio | 0.76 | 0 | 0% |
| 10-day PCR | 0.79 | -0.01 | -0.87% |
| SPX-VIX Ratio | 83.4 | 1.05 | 1.28% |
Bond Market Analysis
There was a pertty massive reversal in bonds today (I mentioned yesterday they were due for a bounce). After falling to exactly 109, the 30-year bond future reversed hard up and rose over a point from its low, eventually closing above 110 at 110 & 5/32. The yield on the benchmark 30-year Treasury bond shed 2.8 basis points to 4.863%.
The bond strangle performed brilliantly, but only if you read things properly. And also I got the entry prices slightly skew-wiff... the 108 puts actually opened yesterday at 4 ticks (not 5), which is the actual fill you would have got if you had entered a bid of 5 ticks at the open. The 110 calls opened at 7 (not 4), however the bid of 4 I advocated would have been filled almost immediately after the open. Thus the total outlay for the strangle was 8 ticks (not 9).
The 108 puts hit an intra-session high of 21 ticks, which meant that the entire strangle had more than doubled in value (even based on the initial estimate of the cost of the strangle at 9 ticks). The short leg had qunitupled based on the actual fill for each leg (rather than the bids). Either way, it was a good trade.
The 110 call is going to expire worthless, but overall, the trade did its job; it provided an opportunity to turn each $251 (8 ticks plus commissions) per strangle, into $656.25... in a session and a half. I've assumed here that the exit did not take place at the intraday high for the 108 puts, but used the offer for each leg of the strangle at the point that the short leg quintupled.
Perhaps a better assumption is the usual "exit one lot at 100% gain and ride the rest to expiration" - however that's not really fair since these options expire tomorrow and this was explicitly portrayed as a swing for the fences with little time to sit on the position. In the spirit of complete disclosure I will provide details of how the position would have performed if held on that basis, after the expiry tomorrow. I'm not hugely fazed which metric is used to calculate the gain on the position... either way it's not bad for 2 days' "work". It's either 100% or 161.25%... take your pick, and annualise it... lol.
| Treasury Yields | |||
| Index | Close | Gain(Loss) | % |
| UST 13wk (yld) | 2.761 | 0 | 0% |
| UST 2Y (yld) | 3.81 | 0 | 0% |
| UST 5Y (yld) | 4.294 | 0.018 | 0.42% |
| UST 10Y (yld) | 4.607 | -0.003 | -0.07% |
| UST 30Y (yld) | 4.863 | -0.028 | -0.57% |
The Banks Index added 0.13 points (0.14%), at 95.65; within the index,
- BB&T Corp (BBT) +$0.83 (2.2%) to $38.59;
- National City Corp (NCC) +$0.40 (1.21%) to $33.40;
- Bank Of America (BAC) +$0.32 (0.73%) to $43.98;
- MBNA Corp (KRB) +$0.15 (0.62%) to $24.44; and
- Wells Fargo (WFC) +$0.36 (0.62%) to $58.74.
The Broker-dealer Index lost 1.57 points (1.07%), to end the session at 144.71; the ticket clippers lined up as follows -
- Merrill Lynch (MER) -$1.55 (2.64%) to $57.09;
- Jeffries Group (JEF) -$0.83 (2.19%) to $37.02;
- Raymond James (RJF) -$0.70 (2.19%) to $31.30;
- Legg Mason (LM) -$1.52 (1.87%) to $79.63; and
- Lehman Brothers (LEH) -$1.50 (1.59%) to $92.90.
The Philadelphia SOX (Semiconductor) index posted a rise of 4.77 points (1.16%), ending the day at 414.86
- Altera (ALTR) +$0.12 (0.63%) to $19.29;
- Applied Materials (AMAT) +$0.40 (2.53%) to $16.21;
- Xilinx (XLNX) +$0.60 (2.1%) to $29.13;
- Advanced Micro Devices (AMD) +$0.27 (1.76%) to $15.65; and
- Broadcom (BRCM) +$0.48 (1.63%) to $29.89.
Gold & Silver Markets
Gold fell by $2.30 (0.54%) to close at $425 per ounce. it won't be long until we start getting some psychological fragility in the Gold-permabull market. Not the permabulls themselves, but rather the camp-followers who start tagging along when it looks like the permabulls are right (i.e., near swing highs). yes, that's right... the golden nuffies - people who don't realise how much buying a high will hurt you if you use a load of leverage.
Gold Bugs Index lost 4.24 points (2.06%), ending the day at 201.93
- Coeur d'Alene (CDE) -$0.16 (4.19%) to $3.66;
- Golden Star (GSS) -$0.10 (3.58%) to $2.69;
- Glamis Gold (GLG) -$0.54 (3.41%) to $15.29;
- Goldcorp (GG) -$0.43 (2.98%) to $13.98; and
- Freeport McMoran (FCX) -$1.16 (2.89%) to $38.91.
Silver fell by $0.09 (1.32%) to close at $6.98 per ounce. The Gold and Silver Index (XAU) lost 1.86 points (1.94%), at 93.92 points.
- Goldcorp (GG) -$0.43 (2.98%) to $13.98;
- Freeport McMoran (FCX) -$1.16 (2.89%) to $38.91;
- Kinross Gold (KGC) -$0.15 (2.39%) to $6.12; and
- Placer Dome (PDG) -$0.37 (2.27%) to $15.93.
| Precious Metals and Indices | |||
| Index | Close | Gain(Loss) | % |
| Gold | 425.00 | -2.30 | -0.54% |
| Silver | 6.98 | -0.09 | -1.32% |
| PHLX Gold and Silver Index | 93.92 | -1.86 | -1.94% |
| AMEX Gold BUGS Index | 201.93 | -4.24 | -2.06% |
Oil Market
Oil lost ground, shedding $1.53 per barrel, closing at $54.07 per barrel. The journalist's one-sentence explanation goes something like "good inventory data" since the API Crude inventories rose 8.7 million barrels (and the DoE measure rose 4.1 million). Like most journo-waffle, that's just post hoc ergo propter hoc. The actual reason that crude futures got smacked was - repeat after me - stop-running generated by the big guys so that they can reposition. Crude's pull back may yet gain some momentum, but it's not because the bull market in oil prices is over; it's because the smart money wants to buy large quantities and require lowere prices to do so. The next oversold condition is going to be a trade to behold...
The Oil and Gas Index (XOI) lost 12.05 points (1.41%), to end the session at 840.86
- Occidental Petroleum (OXY) -$2.30 (3.23%) to $68.87;
- BP (BP) -$1.51 (2.38%) to $62.01; and
- Kerr Mcgee (KMG) -$1.84 (2.29%) to $78.46.
The Oil service stocks (OSX) Index dipped 4.39 points (3.16%), to end the session at 134.61
- Weatherford International (WFT) -$2.47 (4.23%) to $55.90;
- Noble Corp (NE) -$2.24 (3.99%) to $53.96; and
- Rowan Companies (RDC) -$1.19 (3.97%) to $28.78.
| Energy Complex | |||
| Index | Close | Gain(Loss) | % |
| Reuters CRB | 306.51 | -6.51 | -2.08% |
| Crude Oil Light Sweet | 54.07 | -1.53 | -2.75% |
| Heating Oil | 1.5455 | 0.01 | 0.52% |
| Natural Gas | 7.168 | -0.05 | -0.65% |
| Unleaded Gas | 1.598 | 0.04 | 2.24% |
| AMEX Oil Index | 840.86 | -12.05 | -1.41% |
| Oil Service Index | 134.61 | -4.39 | -3.16% |
Currency Markets
USD stronger... note that this was as predictable as Rum, Sodomy and the Lash.
It's not a nuffie-reaction to the interest rate increase; it's a counter-trend bounce that was obvious once taxi drivers and journalists started blathering about the weak USD. That's two demographics (along with central wankers) who only talk about things after they've happened. Were they talking about a decline in the USD to 110 and 100 (and below) when the USD index was at 120? No they weren't. Guess who was?
| USD Exchange Rates | |||
| Index | Close | Gain(Loss) | % |
| US Dollar Index | 83.94 | 0.57 | 0.68% |
| Euro | 1.2989 | -0.0094 | -0.72% |
| Yen | 105.94 | 0.38 | 0.36% |
| Sterling | 1.8701 | -0.0157 | -0.83% |
| Australian Dollar | 0.7726 | -0.01 | -1.28% |
| Swiss Franc | 1.1955 | 0.0076 | 0.64% |
| Canadian Dollar | 0.822 | -0.0053 | -0.64% |
