Interdum stultus opportuna loquitur...

Wednesday, April 20, 2005

USRant: I Done Smelled It Comin'...

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

It sure looked like it was going to be a good day. Sure, the S&Ps and other index futures dropped hard (6pts in ten minutes on the SPs... stop running) after the CPI data was worse than expected (headline 0.6% vs. consensus of 0.5%; core 0.4% versus consensus of 0.2%) - but the futures gained it all back in the ten minutes thereafter. Well... almost all of it; the SP futures fell less than half a point short of getting back to the level it was at immediately before the data - so there was a 12 point round-trip in less than half an hour!

This appeared to give the bulls some gumption shortly after the open (although a big repo from Greenstain and his corrupt clique sure helped... the early session low was at 10 a.m. as usual), but it all went horribly sour after 11 a.m....


Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation.

  • a $5.75billion, overnight repurchase entirely in T-backed collateral.

Ordinarily, $5b is our notional intraday 'cutoff" - anything above that in Treasury-backed, and you can be virtually assured of a tradeable bounce starting at 10 a.m.; today that was the case, with the Dow rising from a 10 a.m. level of 10109.6 to 10186.2 just 63 minutes later. In like fashion, the S&Ps rose from 1149.50 to 1157.75 over the same period.

the key thing from there, though - just as the post-data bounce failed to get past the pre-data Globex high, so too the post-10 a.m. rally failed to get past either of the two previous intra session highs.

The Globex high is always a useful reference point for intraday shorts, particularly if it is not exceeded within the first hour of the day session. (Write that down if you want to be a futures trader).

Major US Indices

After 11 a.m., it just all turned to a fan=splat (I mentioned yesterday in the OzRant, that ...

"It is starting to smell like a fair-dinkum fan-splat is coming"

And of course the Great Architect would never want me to look like a goose (well, not more than twice a week, anyhow)... so he waved his magic compasses and said "So Mote it Be". (Or maybe it was "Rozan Khobar" or "Siiiize... of an Elephant"... I used to love The Banana Splits).

The Dow Jones Industrial Average shed 115.05 points (1.14%), closing out the day at 10012.36 points. The index hit an intraday high of 10186.45 at the aforementioned "just after 11 a.m., and fell as low as 10000.46 during the session. See that? 10,000.46; d'you think that round number had any psychological influence?

Within the blue-chip index, only 3 of the 30 component stocks rose, the biggest gainers being Caterpillar (CAT, +3.64% to $88.04) and United Technology (UTX, +0.78% to $99.04), which accounted for 29 Dow points between them. Losers in the Dow numbered 27 and were led by International Business Machines (IBM, -4.60% to $72.01) and Honeywell (HON, -2.93% to $35.43), with these two stocks contributing -34 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the losers by 367.4m shares to 121.6m.

The broader S&P500 shed 15.28 points (1.33%), to 1137.5. Within the index, gainers numbered 57, while 441 S&P500 stocks fell for the day. Volume was tilted 3.2:1 in favour of the losers with 1766.65 million units traded in the losers as compared with 547.74 million traded in the winners.

Over at Times Square, the Nasdaq Composite dipped 18.6 points (0.96%), to close at 1913.76, while larger-cap technology issues fared worse with the Nasdaq100 losing 13.95 points (0.98%), to end at 1406.85 points. Within the tech benchmark, gainers numbered 17, while 82 Nasdaq100 stocks fell for the day. Volume was tilted 1.5:1 in favour of the losers with 618.96 million traded in the losers compared to 405.15 million in the winners .

NYSE Volume was super-chunky, with 2.21 billion shares changing hands, while Nasdaq Volume was super-chunky (over 2 bill), with 2.01 billion shares being shifted from one online brokerage account to another (and back again, in all likelihood).

Major Market Statistics
Dow Jones Industrial Average10012.36-115.05-1.14%
Nasdaq Composite1913.76-18.6-0.96%
NYSE Volume2.21bn--
Nasdaq Volume2.01bn--


My 9-stock "bellwethers" group fell by an average of 0.55%

  • General Electric (GE) -$0.48 (1.33%) to $35.52;
  • Citigroup (C) -$0.21 (0.45%) to $46.14;
  • Wal Mart (WMT) -$0.25 (0.53%) to $47.35;
  • I.B.M. (IBM) -$3.47 (4.6%) to $72.01;
  • Intel (INTC) +$0.03 (0.13%) to $22.66;
  • Cisco Systems (CSCO) +$0.01 (0.06%) to $17.19;
  • eBay (EBAY) +$0.94 (2.92%) to $33.11;
  • Fannie Mae (FNM) -$0.52 (0.97%) to $53.27; and
  • Freddie Mac (FRE) -$0.10 (0.16%) to $60.90.

Market Breadth & Internals

NYSE declining Issues beat out advancers by 2466 to 846, for a single-day A/D reading of -1620; and Nasdaq losers exceeded gainers by 2124 to 955. The 10-day moving average of the A/D line fell to -325.0 on the NYSE, while the 10dma of the Nasdaq A/D fell to -467.5.

On the NYSE declining volume was greater than volume in advancing issues by 1822.8 to 338.4 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 1321 to 660 million shares.

17 NYSE-listed stocks rose to new 52-week highs, and 105 posted fresh 52-week lows, while on the Nasdaq there were 21 stocks that hit new 52-week highs, and 144 which fell to fresh 52-week lows.

Market Breadth Statistics

Advancing Volume (m)338.43660.01
Declining Volume (m)1822.831320.95
New Highs1721
New Lows105144

Market Sentiment Statistics
CBOE Volatility Index17.052.0913.97%
CBOE Nasdaq Volatility Index20.261.156.02%
Equity Put-Call Ratio0.860.1521.13%
10-day PCR0.820.011.11%
SPX-VIX Ratio66.7-10.34-13.42%

Bond Market Analysis

Bonds fell reasonably sharply at the long end, with the yield on the benchmark 30-year Treasury bond rising 3.0 basis points to 4.571%.

The middle of the yield curve was also broadly lower: five year yields rose to 3.854%, and ten-year yields rose to 4.211%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were 6.0 basis points wider at 12 basis points; spreads between longer dated Treasuries and their corporate AAA counterparts rose to 68.0 basis points for 10-year AAA, and 92.5 basis points for 20-years. Finally, some of these supposed bond vigilantes are paying attention to the risk inherent in the corporate market.

Credit spreads (spreads between corporate bonds of the same maturity profile but different creditworthiness) were mixed with the AAA-A spread on 20-years 5.0 basis points wider at 45.0 basis points and the 10-year AAA-A spread 73.0 basis points tighter at 18.0 basis points.

Treasury Yields
UST 13wk (yld)2.80700%
UST 2Y (yld)3.48-0.05-1.42%
UST 5Y (yld)3.8540.0090.23%
UST 10Y (yld)4.2110.0080.19%
UST 30Y (yld)4.5710.030.66%

The Banks Index lost 1.38 points (1.44%), closing at 94.76; within the index,

  • Bank Of NY (BK) -$1.12 (3.91%) to $27.50;
  • US Bancorp (USB) -$0.75 (2.69%) to $27.17;
  • Washington Mutual (WM) -$1.01 (2.59%) to $38.01;
  • North Fork Bancorp (NFB) -$0.69 (2.55%) to $26.36; and
  • National City Corp (NCC) -$0.83 (2.49%) to $32.51.

The Broker-dealer Index dipped 3.83 points (2.74%), closing at 136.04; the ticket clippers lined up as follows -

  • Charles Schwab (SCH) -$0.48 (4.64%) to $9.87;
  • Raymond James (RJF) -$1.09 (3.75%) to $27.95;
  • Lehman Brothers (LEH) -$2.94 (3.19%) to $89.17;
  • A G Edwards (AGE) -$1.26 (3.05%) to $40.05; and
  • Morgan Stanley (MWD) -$1.54 (2.98%) to $50.19.

The Philadelphia SOX (Semiconductor) index shed 8.59 points (2.19%), ending the day at 383.97

  • Teradyne (TER) -$0.95 (7.26%) to $12.14;
  • Linear Technology (LLTC) -$2.51 (6.58%) to $35.61;
  • Maxim Integrated (MXIM) -$1.71 (4.34%) to $37.66;
  • Advanced Micro Devices (AMD) -$0.62 (4.06%) to $14.66; and
  • National Semiconductors (NSM) -$0.69 (3.54%) to $18.81.

Gold & Silver Markets

Gold rose another $2.40 (0.55%) to close at $435.3 per ounce. With the surprising return of weakness into the USD market, it's not remotely surprising that Gold Bugs have taken the bit between their teeth.

I am still completely comvinced that Gold's next decent tradab;e leg is down (although there have been two decent swings - an $8 downswing and an $11 upswing - in the last week and a half).

The Gold Bugs Index dipped 1.75 points (0.9%), at 192.02

  • Eldorado Gold (EGO) -$0.14 (5.36%) to $2.47;
  • Iamgold (IAG) -$0.17 (2.75%) to $6.02;
  • Harmony Gold (HMY) -$0.16 (2.15%) to $7.28;
  • Agnico Eagle (AEM) -$0.24 (1.71%) to $13.82; and
  • Newmont Mining (NEM) -$0.69 (1.65%) to $41.16.

Silver rose $0.09 (1.2%) to close at $7.33 per ounce. The Gold and Silver Index (XAU) lost 0.83 points (0.91%), to end the session at 89.98 points.

  • Durban Rooderpoert Deep (DROOY) -$0.04 (4.82%) to $0.79;
  • Harmony Gold (HMY) -$0.16 (2.15%) to $7.28;
  • Agnico Eagle (AEM) -$0.24 (1.71%) to $13.82; and
  • Newmont Mining (NEM) -$0.69 (1.65%) to $41.16.
Precious Metals and Indices
PHLX Gold and Silver Index89.98-0.83-0.91%
AMEX Gold BUGS Index192.02-1.75-0.9%

Oil Market

Sometimes thigns happen two days too late, and that really pisses me off. Take this recent rebound in Oil. It couldn't happen on my timetable (i.e., last week, preferably in the last two sessions of the week).. .could it. No - it had to happen just a session and a half after I wanted it to. Perfect direcitonal call, but utterly useless since the options used to 'bet' on the call expired on Friday. Oh well... as Nuke Lalouche said...

sometimes you win, sometimes you lose, and sometimes... it rains.

Oil was firmer, rising by $0.38 per barrel, closing at $52.60 per barrel. The Oil and Gas Index (XOI) lost 14.48 points (1.75%), at 814.8

  • Exxon Mobil (XOM) -$1.49 (2.54%) to $57.14;
  • Sunoco (SUN) -$2.44 (2.43%) to $97.83; and
  • ChevronTexaco (CVX) -$1.29 (2.42%) to $52.05.

The Oil service stocks (OSX) Index slid 2.03 points (1.51%), to 132.36

  • National Oilwells/Varco (NOV) -$1.85 (4.3%) to $41.15;
  • Global Industries (GLBL) -$0.36 (3.44%) to $10.09; and
  • Rowan Companies (RDC) -$0.76 (2.67%) to $27.74.
Energy Complex
Reuters CRB306.992.960.97%
Crude Oil Light Sweet52.60.380.73%
Heating Oil1.4990.010.54%
Natural Gas7.01-0.07-0.99%
Unleaded Gas1.56900.1%
AMEX Oil Index814.8-14.48-1.75%
Oil Service Index132.36-2.03-1.51%

Currency Markets

USD Exchange Rates
US Dollar Index83.44-0.15-0.18%
Australian Dollar0.77610.00450.58%
Swiss Franc1.177-0.0033-0.28%
Canadian Dollar0.8059-0.0025-0.31%