Interdum stultus opportuna loquitur...

Saturday, July 23, 2005

USRant: Afternoon Boost, Morning Murder...

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Fridays can be dull - but not if you're a completely innocent Londoner who happens to trip in front of one of the state's armed goons. The poor bastard who got five - count 'em, five - rounds pumped into him when he was already on the ground was just some poor schlub who, like most members of homo sapiens, got scared shitless when faced with the pointy end of a 9mm pistol.

Welcome to the New World, Citizen (or should I say "Comrade Citizen"?). Innocent civilians get blown away by the State, and we are supposed to just shut the fuck up and go about our day as if it's a good thing that the State's armed goons are prepared to open fire before there's a credible threat. The officer who did this is guilty of murder - and should spend the rest of his life as someone else's cell-bitch.

Oh, the subhuman vermin who pass themselves off as political leaders will mewl and pine and pretend like they give a solitary shit about some nobody who's never even been to a G8 summit. After all, I've said it before - give a politician a chance to gush false emotion in the presence of a corpse, and they're fucking there, man. Faux-emoting in the presence of a corpse is what politicians do.

Mindless State-o-philes will crap on about how the guy should have kept his footing. I hope that everyone who says such a thing has one of their next of kin greased by a State goon; preferably a young son. This is getting beyond a joke, and will end up with armed civilians in the streets.

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation - a $6.5billion, weekend repurchase entirely in T-backed collateral, undertaken at a pissy 0.6 basis point discount to the Fed Funds Rate (FFR). With a discount that small, there was never likely to be much of an effect on the markets - although with that much free cash, da Boyz will always have a dip if the markets develop any momentum of their own (thereby reducing the risk associated with punting some portion of the repo funds in the S&P futures).

Major US Indices

After some early weakness (which had the Dow flirting with 10600 for the entire morning half of the day), the Dow Jones Industrial Average staged a 70-point rally in the second half of the day (the traditionally-thin Friday Fade hours) to post a closing gain of 23.41 points (0.22%), closing out the week at 10651.18 points.

The index hit an intraday high of 10658.58 about 20 minutes before the close, having set its session low (10588.05) just before 12:20 NY time (note that the S&P500 set its low at 10:50 a.m., and the Nasdaq set a later low at 2:30 p.m.).

To see (yet again) how well the %R extreme/CCI divergence setup works, check out today's 15-minute Dow chart:

Dow 15-minute chart

The divergence on the CCI is plain as day (indicated by the green balloon), and, coupled with the oversold %R, gave the low of the day again to within 10 Dow points. The two red balloons in the later afternoon indicate weakness is likely on Monday morning - the CCI hit 336 (WAY overbought, and enough in its own right to warrant a short), then diverged as the market made another new high (the second red balloon).

Within the blue-chip index, 20 stocks rose, the biggest gainers being Exxon Mobil (XOM, +2.78% to $59.50) and Altria Group (MO, +1.09% to $66.52), which accounted for 19 Dow points between them. Losers in the Dow numbered 10 and were led by Microsoft (MSFT, -2.87% to $25.68) and United Technology (UTX, -1.27% to $51.14), with these two stocks contributing -11 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the losers by 225.2m shares to 148.3m.

The broader S&P500 posted a rise of 6.64 points (0.54%), to end the session at 1233.68; the S&P made its low earlier than the Dow and only tested its 10:50 low at 1226-ish as the Dow made a new, lower low. In fact, in order to get the S&P within a point of its 10:50 low, the TICK (NYSE upticks-downticks) had to plunge all the way down below -800 - my absolute favourite breadth-based short-term scalp buy signal. Within the index, gainers numbered 354, while 135 S&P500 stocks fell for the day. Volume was tilted 1.6:1 in favour of the winners with 1029.48 million units traded in the winners as compared with 650.66 million traded in the losers .

Over at Times Square, the Nasdaq Composite added 1.14 points (0.05%), to close at 2179.74, while larger-cap technology issues fared worse with the Nasdaq100 losing 1.13 points (0.07%), to end at 1600.76 points. Within the tech benchmark, gainers numbered 55, while 40 Nasdaq100 stocks fell for the day. Volume was tilted 1.0:1 in favour of the losers with 358.85 million traded in the winners compared to 352.33 million in the losers .

NYSE Volume was chunky, with 1.8 billion shares changing hands, while Nasdaq Volume was semi-chunky, with 1.71 billion shares being shifted from one online brokerage account to another (and back again, in all likelihood).

Major Market Statistics
Dow Jones Industrial Average10651.1823.410.22%
Nasdaq Composite2179.741.140.05%
NYSE Volume1.8bn--
Nasdaq Volume1.71bn--


My 9-stock "bellwethers" group fell by an average of 0.41%; is that Citigroup that I spy stirring?

  • General Electric (GE) +$0.07 (0.2%) to $35.07;
  • Citigroup (C) +$0.27 (0.61%) to $44.42;
  • Wal Mart (WMT) +$0.15 (0.3%) to $49.54;
  • I.B.M. (IBM) +$0.04 (0.05%) to $84.44;
  • Intel (INTC) -$0.28 (1.04%) to $26.75;
  • Cisco Systems (CSCO) -$0.24 (1.23%) to $19.32;
  • eBay (EBAY) -$1.08 (2.57%) to $41.02;
  • Fannie Mae (FNM) -$0.12 (0.21%) to $58.40; and
  • Freddie Mac (FRE) +$0.12 (0.18%) to $65.65.

Market Breadth & Internals

NYSE declining Issues beat out advancers by 2248 to 1035, for a single-day A/D reading of -1213; odd given the generalyl positive index tone. Nasdaq losers exceeded gainers by 1905 to 1123. The 10-day moving average of the A/D line fell to -69.1 on the NYSE, while the 10dma of the Nasdaq A/D fell to -31.4.

On the NYSE declining volume was greater than volume in advancing issues by 1590.7 to 499.9 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 1109.2 to 951 million shares.

246 NYSE-listed stocks rose to new 52-week highs, and 21 posted fresh 52-week lows, while on the Nasdaq there were 159 stocks that hit new 52-week highs, and 13 which fell to fresh 52-week lows.

The VIX futures continue to defy me - which is good, really. Sometimes it's nice to have a trade that sits underwater for a time - the moment you start feeling infallible, you wind up going the way of most Popes (i.e., to the traders' graveyard... couple hubris withleverage and your decline can be unutterably swift).

Market Breadth Statistics

Advancing Volume (m)499.93951.03
Declining Volume (m)1590.671109.21
New Highs246159
New Lows2113

Market Sentiment Statistics
CBOE Volatility Index10.52-0.45-4.1%
CBOE Nasdaq Volatility Index12.95-0.52-3.86%
Equity Put-Call Ratio0.700%
10-day PCR0.5300%
SPX-VIX Ratio117.35.424.84%

Bond Market Analysis

Bonds rose at the long end, with the yield on the benchmark 30-year Treasury bond shedding 5.6 bps to 4.442%. Bonds are being set up for some distribution - by now, the boffins that tell traders what to do will have nutted out what the Yuan rebasing means for USD and USD-reserve recycling, and will have sent out missives.

The middle of the yield curve was broadly higher in price: five year yields fell to 4.038%, and ten-year yields fell to 4.223%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were tighter at 0; spreads between longer dated Treasuries and their corporate AAA counterparts fell to 48.0 bps for 10-year AAA, and 81.0 bps for 20-years.

Credit spreads(spreads between corporate bonds of the same maturity profile but different creditworthiness) were broadly wider with the AAA-A spread on 20-years 2.0 bps tighter at 35.0 basis points and the 10-year AAA-A spread 14.0 bps tighter at 3.0 bps. By Monday these spread numbers will have righted themselves (I was right about the data being cocked).

Treasury Yields
UST 13wk (yld)3.29300%
UST 2Y (yld)3.89-0.07-1.77%
UST 5Y (yld)4.038-0.044-1.08%
UST 10Y (yld)4.223-0.059-1.38%
UST 30Y (yld)4.442-0.056-1.24%

The Banks Index rose 0.53 points (0.53%), ending the day at 101.42; within the index,

  • Washington Mutual (WM) +$0.98 (2.3%) to $43.54;
  • Northern Trust (NTRS) +$0.98 (1.95%) to $51.21;
  • Fifth Third Bancorp (FITB) +$0.48 (1.15%) to $42.37;
  • Wachovia (WB) +$0.46 (0.92%) to $50.52; and
  • US Bancorp (USB) +$0.26 (0.86%) to $30.59.

The Broker-dealer Index rose 1.27 points (0.74%), closing at 172.11; the ticket clippers lined up as follows -

  • Lehman Brothers (LEH) +$1.87 (1.78%) to $107.00;
  • E*Trade (ET) +$0.25 (1.62%) to $15.67;
  • Bear Stearns (BSC) +$1.31 (1.26%) to $105.18;
  • Charles Schwab (SCH) +$0.16 (1.17%) to $13.81; and
  • Morgan Stanley (MWD) +$0.62 (1.16%) to $54.00.

The Philadelphia SOX (Semiconductor) index gained 6.25 points (1.33%), closing at 475.19

  • Broadcom (BRCM) +$4.39 (11.37%) to $43.00;
  • Xilinx (XLNX) +$1.35 (5%) to $28.35;
  • Marvell Tech Group (MRVL) +$1.14 (2.74%) to $42.82;
  • Maxim Integrated (MXIM) +$0.40 (0.95%) to $42.49; and
  • National Semiconductors (NSM) +$0.17 (0.7%) to $24.42.

Gold & Silver Markets

Gold fell by $0.70 (0.16%) to close at $425 per ounce. The little bump up in the USD index helped to keep Gold bulls wary, but like the bond jump this is mostly about distribution of USD/Bonds rather than anything to do with Gold itself.

The Gold Bugs Index advanced 0.64 points (0.32%), at 201.92

  • Glamis Gold (GLG) +$0.38 (2.19%) to $17.77;
  • Eldorado Gold (EGO) +$0.05 (1.81%) to $2.81;
  • Goldcorp (GG) +$0.22 (1.38%) to $16.17;
  • Golden Star (GSS) +$0.04 (1.29%) to $3.15; and
  • Hecla Mining (HL) +$0.05 (1.17%) to $4.31.

Silver fell by $0.02 (0.28%) to close at $7.09 per ounce. The Gold and Silver Index (XAU) gained 0.15 points (0.16%), ending the day at 93.18 points.

  • Goldcorp (GG) +$0.22 (1.38%) to $16.17;
  • Meridian Gold (MDG) +$0.16 (0.87%) to $18.48;
  • Freeport McMoran (FCX) +$0.22 (0.55%) to $40.30; and
  • Newmont Mining (NEM) +$0.09 (0.23%) to $38.43.
Precious Metals and Indices
PHLX Gold and Silver Index93.180.150.16%
AMEX Gold BUGS Index201.920.640.32%

Oil Market

Oil was firmer, rising by $1.52 per barrel, closing at $58.65 per barrel. The Oil and Gas Index (XOI) added 23.71 points (2.59%), to end the session at 939.5

  • Amerada Hess (AHC) +$5.51 (4.85%) to $119.03;
  • Kerr Mcgee (KMG) +$3.35 (4.39%) to $79.67; and
  • Sunoco (SUN) +$5.06 (4.28%) to $123.33.

The Oil service stocks (OSX) Index rose 8.04 points (5.31%), closing at 159.56

  • Halliburton (HAL) +$4.59 (9.43%) to $53.29;
  • National Oilwells/Varco (NOV) +$2.95 (6.08%) to $51.47; and
  • Transocean (RIG) +$3.35 (6.06%) to $58.67.
Energy Complex
Reuters CRB308.220.65%
Crude Oil Light Sweet58.651.522.66%
Heating Oil1.58190.010.6%
Natural Gas7.3840.091.22%
Unleaded Gas1.7280.053.23%
AMEX Oil Index939.523.712.59%
Oil Service Index159.568.045.31%

Currency Markets

USD Exchange Rates
US Dollar Index89.660.790.89%
Australian Dollar0.7627-0.0029-0.38%
Swiss Franc1.29650.01130.88%
Canadian Dollar0.8201-0.001-0.12%