Interdum stultus opportuna loquitur...

Wednesday, August 03, 2005

USRant: China? Spending? Nope and Nope. FED REPO...

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

There's news, there's interesting snippets, and then... there's Fed repo carried out at a decent discount to Fed Funds. The "news" stuff doesn't get you diddly unless the Fed has given its chums a big lick of repurchase dough at a substantial discount to FFR. When the various corrupt freakazoids who created the Fed did so, they didn't do it for the public good - they did it to enrich themselves and their cronies, and to increase the centralisation of power.

Sure, Personal Income rose (by 0.5% compared to consensus for 0.4%). Consumption Spending rose faster (by 0.8% as expected), leaving the savings rate lower than at any time since 9/11, which means it's almost time for another change to the measurement of savings: when the savings rate went negative in 2001, the government simply revised its measurement methodology and revised away the 'problem' (or at least, did so for those who simply take at face value, whatever number the government produces).

Sure, Factory Orders increased reasonably sharply - by 1% (in line with consensus) despite a 2% fall in motor vehicle sales caused by the removal of massive incentive programs from GM that expired in May.

Sure, China (or its state-run oil giant CNOOC) backed down on its bid for Unocal, after the massively racist and dishonest maunderings of the US political classes (who prefer that only other nations resources be accumulated, and then only by military action). The fact that China can afford to buy Unocal for cash, and that nobody in the US can do likewise (without raising debt) is a matter of no importance for the supposedly 'free-market' "Land of the Free". Shareholders? Who gives a shit about whether they wanted it or not? They're just the owners, for God's sake... in the completely bogus 'free-enterprise' culture of the United Soviet States of Amerika, ownership means squat unless it's married to huge payments to politicians. It's been that way since Teapot Dome, and it will be that way until the dissolution of the country.

All of these things are interesting - but to see why the market zipped vertically, with the bulk of the move happening straight after 10 a.m., look below.

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation - a $7billion, overnight repurchase with $6.329billion in T-backed collateral undertaken at a 5.69 basis point discount to the Fed Funds Rate (FFR).

That's more like it, Grease-splatt. Give da Boyz some money with guaranteed carry-profits, and they will do you a favour in return by goosing the market. That's a refreshing change from the recent habit of giving Da Boyz large licks of repo dough, but at no discount (and sometimes even a premium) to Fed Funds.

Major US Indices

The Dow Jones Industrial Average gained 60.59 points (0.57%), closing out the day at 10683.74 points. The index hit an intraday high of 10699.19 (10700-ish), after opening at its low at 10623.47 (10625-ish).

At 10 a.m., the index was at 10655, and not looking overly happy with its lot. then the lovely repo crack hit the bloodstream, and off it went like a Dervish, adding 30 Dow points in 6 minutes.

After the repo pump was over and done with, there was a lovely %R overbought/CCI divergence signal to short, so those with ears to hear got a nice reversal and picked up both sides of the hill, tagging the day high to within 10 Dow points yet again. Check out the chart...

Dow 15-minute Chart

Not shown on the chart, but of almost equal importance, is the fact that one of only 3 intraday registerings of TICK > 1000 happened right at the top of the divergence bar. There's an old saying "they don't ring a bell at the top", but you can program your TradeStation to play sounds when triggers are given, and I recommend that you tell TradeStation to play 'bell.wav' when the CCI diverges, the %R is overbought, and TICK (which would have to be data2 - a secondary series) is over 1000.

There was a plunge bar (which resulted in a strongly oversold %R) that provided the exit signal to the counter-trend trade, and that was followed by a microdivergence that changed the bias for the remainder of the session, which was choppy.

Within the blue-chip index, 22 stocks rose, the biggest gainers being Microsoft (MSFT, +3.43% to $26.81) and Alcoa (AA, +3.05% to $28.76), which accounted for 14 Dow points between them. Losers in the Dow numbered 7 and were led by Home Depot (HD, -1.05% to $42.41) and General Motors (GM, -0.90% to $36.53), with these two stocks contributing -6 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the gainers by 319.8m shares to 43.5m.

The broader S&P500 posted a rise of 8.77 points (0.71%), at 1244.12. Within the index, gainers numbered 360, while 128 S&P500 stocks fell for the day. Volume was tilted 3.0:1 in favour of the winners with 1397.31 million units traded in the winners as compared with 462.64 million traded in the losers .

Over at Times Square, the Nasdaq Composite posted a rise of 22.77 points (1.04%), to close at 2218.15, while larger-cap technology issues fared better with the Nasdaq100 adding 16.9 points (1.05%), to end at 1627.01 points. Within the tech benchmark, gainers numbered 68, while 30 Nasdaq100 stocks fell for the day. Volume was tilted 4.3:1 in favour of the winners with 639.05 million traded in the winners compared to 147.10 million in the losers.

NYSE Volume was super-chunky, with 2.06 billion shares changing hands, while Nasdaq Volume was barely chunky, with 1.79 billion shares traded.

Major Market Statistics
Dow Jones Industrial Average10683.7460.590.57%
Nasdaq Composite2218.1522.771.04%
NYSE Volume2.06bn--
Nasdaq Volume1.79bn--


My 9-stock "bellwethers" group rose by an average of 0.74%; I mentioned last week after XBATH just failed to hit a 100% gain, eBay looked like pushing that little option to worthlessness. So mote it be...

  • General Electric (GE) -$0.00 (0%) to $34.25;
  • Citigroup (C) +$0.37 (0.85%) to $44.07;
  • Wal Mart (WMT) +$0.27 (0.55%) to $49.80;
  • I.B.M. (IBM) -$0.12 (0.14%) to $83.31;
  • Intel (INTC) +$0.45 (1.66%) to $27.56;
  • Cisco Systems (CSCO) +$0.23 (1.19%) to $19.49;
  • eBay (EBAY) +$1.14 (2.61%) to $44.75;
  • Fannie Mae (FNM) +$0.02 (0.04%) to $55.87; and
  • Freddie Mac (FRE) -$0.06 (0.09%) to $63.46.

Market Breadth & Internals

NYSE advancing Issues exceeded decliners by 2194 to 1066 for a single-day A/D reading of 1128; Nasdaq gainers trumped losers by 1882 to 1214. The 10-day moving average of the A/D line rose to 353.9 on the NYSE, while the 10dma of the Nasdaq A/D rose to 227.1.

NYSE advancing volume exceeded volume in decliners by 1374 to 643.8 million shares; Nasdaq advancing volume was greater than volume in decliners by 1260.9 to 493.5 million shares.

404 NYSE-listed stocks rose to new 52-week highs, and 17 posted fresh 52-week lows, while on the Nasdaq there were 215 stocks that hit new 52-week highs, and 20 which fell to fresh 52-week lows.

VIX weakened a little, however the VIX futures remained unchanged for the session.

Market Breadth Statistics

Advancing Volume (m)1374.031260.92
Declining Volume (m)643.84493.51
New Highs404215
New Lows1720

Market Sentiment Statistics
CBOE Volatility Index11.75-0.33-2.73%
CBOE Nasdaq Volatility Index13.95-0.43-2.99%
Equity Put-Call Ratio0.840.2133.33%
10-day PCR0.5700%
SPX-VIX Ratio105.93.623.54%

Bond Market Analysis

Bonds fell at the long end, with the yield on the benchmark 30-year Treasury bond rising 3.0 bps to 4.54%. The 30-year bond futures fell as low as 114-10/32 before settling at 114-21/32 by the close.

The middle of the yield curve was broadly lower in price: five year yields rose to 4.163%, and ten-year yields rose to 4.336%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were 1.0 bps tighter at -6.0 basis points; spreads between longer dated Treasuries and their corporate AAA counterparts fell to 33.0 bps for 10-year AAA, and 75.5 bps for 20-years.

Credit spreads (spreads between corporate bonds of the same maturity profile but different creditworthiness) were mixed with the AAA-A spread on 20-years 7.0 bps tighter at 32.0 basis points and the 10-year AAA-A spread 2.0 bps looser at 15.0 bps.

Treasury Yields
UST 13wk (yld)3.40200%
UST 2Y (yld)4.0200%
UST 5Y (yld)4.1630.0060.14%
UST 10Y (yld)4.3360.0170.39%
UST 30Y (yld)4.540.030.67%

The Banks Index posted a rise of 0.57 points (0.57%), to 100.66; within the index,

  • Golden West Financial (GDW) +$1.09 (1.67%) to $66.39;
  • M&T Bank Corp (MTB) +$1.24 (1.14%) to $110.12;
  • Fifth Third Bancorp (FITB) +$0.43 (1%) to $43.46;
  • Mellon Financial (MEL) +$0.29 (0.95%) to $30.70; and
  • Citigroup (C) +$0.37 (0.85%) to $44.07.

The Broker-dealer Index posted a rise of 2.14 points (1.26%), ending the day at 171.56; the ticket clippers lined up as follows -

  • Legg Mason (LM) +$4.79 (4.69%) to $106.90;
  • Goldman Sachs (GS) +$2.40 (2.24%) to $109.52;
  • Raymond James (RJF) +$0.63 (2.12%) to $30.40;
  • Morgan Stanley (MWD) +$0.78 (1.48%) to $53.62; and
  • Bear Stearns (BSC) +$1.30 (1.26%) to $104.45.

The Philadelphia SOX (Semiconductor) index posted a rise of 11.83 points (2.49%), ending the day at 486.2

  • Maxim Integrated (MXIM) +$3.49 (8.31%) to $45.50;
  • Altera (ALTR) +$1.23 (5.71%) to $22.79;
  • National Semiconductors (NSM) +$1.10 (4.47%) to $25.71;
  • Taiwan Semiconductors (TSM) +$0.27 (3.13%) to $8.89; and
  • Teradyne (TER) +$0.48 (3.13%) to $15.82.

Gold & Silver Markets

Gold fell by $0.50 (0.12%) to close at $431.60 per ounce, despite a little weakening in the USD index.

Gold Bugs Index rose 2.55 points (1.29%), at 199.49

  • Eldorado Gold (EGO) +$0.11 (4.15%) to $2.76;
  • Randgold Resources (GOLD) +$0.53 (3.96%) to $13.91;
  • Meridian Gold (MDG) +$0.62 (3.48%) to $18.45;
  • Kinross Gold (KGC) +$0.11 (1.94%) to $5.79; and
  • Agnico Eagle (AEM) +$0.23 (1.87%) to $12.50.

Silver fell by $0.04 (0.59%) to close at $7.24 per ounce. The Gold and Silver Index (XAU) gained 1.24 points (1.36%), to 92.22 points.

  • Meridian Gold (MDG) +$0.62 (3.48%) to $18.45;
  • Barrick Gold (ABX) +$0.60 (2.44%) to $25.20;
  • Kinross Gold (KGC) +$0.11 (1.94%) to $5.79; and
  • Agnico Eagle (AEM) +$0.23 (1.87%) to $12.50.
Precious Metals and Indices
PHLX Gold and Silver Index92.221.241.36%
AMEX Gold BUGS Index199.492.551.29%

Oil Market

Oil was firmer, rising by $0.32 per barrel, closing at $61.89 per barrel - close to its session high (the high was $61.95). The Oil and Gas Index (XOI) added 11.71 points (1.23%), closing at 964.9

  • ConocoPhillips (COP) +$1.38 (2.19%) to $64.38;
  • ChevronTexaco (CVX) +$1.13 (1.93%) to $59.56; and
  • Sunoco (SUN) +$1.06 (1.65%) to $65.11.

The Oil service stocks (OSX) Index posted a rise of 3.59 points (2.2%), closing at 167.12

  • Tidewater (TDW) +$1.66 (4.1%) to $42.13;
  • Global Industries (GLBL) +$0.40 (3.89%) to $10.68; and
  • National Oilwells/Varco (NOV) +$2.06 (3.82%) to $56.00.
Energy Complex
Reuters CRB320.012.230.7%
Crude Oil Light Sweet61.890.320.52%
Heating Oil1.72510.010.48%
Natural Gas8.3780.222.75%
Unleaded Gas1.78160.031.97%
AMEX Oil Index964.911.711.23%
Oil Service Index167.123.592.2%

Currency Markets

USD Exchange Rates
US Dollar Index88.76-0.13-0.15%
Australian Dollar0.7650.00340.45%
Swiss Franc1.2773-0.0022-0.17%
Canadian Dollar0.8202-0.005-0.61%