Interdum stultus opportuna loquitur...

Thursday, August 04, 2005

USRant: It Worked, But Boy...

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

As I type this, little Beckle (one of my cats) has decided that since his Daddy (me) is manifestly unwell, Beckle's job is to comfort me. This involves walking all over the keyboard trying to push his nose into my face.

As I typed those words he gave me a look that would cut through plate steel, and left the room. Don't tell me they don't know...

If you examine the post I made at 2:08 a.m. Australian time, you will see that I declared a divergence that should have made for a tradable low. As events unfolded, that was both true and relatively disappointing.

If you examine the chart below, you will see that there were three buying divergences - the first is arguable since the CCI made a low only marginally above the prior swing low (and on the Dow chart, the first candidate is definitely not a divergence). That's not the important one, though, since it was well before my post.

Each of them generated extremely low-risk entries for scalping a point or so in the S&P, but the one that should have been a doozy - the one that happened literally as I was typing the 2:08 a.m. post - was the most disappointing. Sure, it gave a couple of opportunities for a profitable exit - the first was less than a half-hour after the post - and no sensible stop was ever challenged. However it wasn't until the third (the one after 'mine') that a 'proper' divergence-like trade was achieved. Those who jumped on 'my' divergence got to eat steak for lunch tomorrow - a point and a half was the gain by the time the overbought %R gave the exit signal *the red dot). 1.5 S&P points - that's $75 per $2000 stake... piss-weak, but still a maniacal annual rate of return considering how consistently it works. Even so, the steak cameonly after the trade had gone absolutely nowhere for two hours.

S&P 15-minute

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 2 repurchase operations.

  • a $10.25billion, overnight repurchase entirely in T-backed collateral undertaken at a 3.9 basis point premium to the Fed Funds Rate (FFR); and
  • a $8billion, 14-day repurchase entirely in T-backed collateral, undertaken at a 15 basis point premium to the FFR.
Sure, it's big numbers, but without a decent discount to the FFR, da Boyz are never going to risk any part of it driving the market up. Still - the 14-day shows categorically that the Fed will raise rates next week.

Major US Indices

The Dow Jones Industrial Average dipped 87.49 points (0.82%), closing out the day at 10610.1 points. The index set its intraday high of 10696.88 (10700-ish) at the open, but was down over 20 points by the end of the first minute. The Dow as low as 10606.67 (10600-ish) at 1:31 p.m. NY time (it retested that low at the close, getting down to 10707 with seconds to go in the session.

Within the blue-chip index, 4 stocks rose, the biggest gainers being American Express (AXP, +0.67% to $55.85) and Microsoft (MSFT, +0.26% to $27.32), which accounted for 4 Dow points between them. Losers in the Dow numbered 26 and were led by Intel (INTC, -2.28% to $27.01) and Home Depot (HD, -2.25% to $41.28), with these two stocks contributing -13 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the losers by 235.8m shares to 107.9m.

The broader S&P500 declined 9.18 points (0.74%), ending the day at 1235.86. Within the index, gainers numbered 93, while 400 S&P500 stocks fell for the day. Volume was tilted 2.8:1 in favour of the losers with 1228.38 million units traded in the losers as compared with 441.87 million traded in the winners .

Over at Times Square, the Nasdaq Composite declined 25.49 points (1.15%), to close at 2191.32, while larger-cap technology issues fared better with the Nasdaq100 losing 18.45 points (1.13%), to end at 1608.74 points. Within the tech benchmark, gainers numbered 10, while 88 Nasdaq100 stocks fell for the day. Volume was tilted 3.5:1 in favour of the losers with 487.38 million traded in the losers compared to 139.95 million in the winners .

NYSE Volume was super-chunky, with 1.95 billion shares changing hands, while Nasdaq Volume was about average, with 1.59 billion shares traded.

Major Market Statistics
Dow Jones Industrial Average10610.1-87.49-0.82%
Nasdaq Composite2191.32-25.49-1.15%
NYSE Volume1.95bn--
Nasdaq Volume1.59bn--


My 9-stock "bellwethers" group fell by an average of 0.80%

  • General Electric (GE) -$0.20 (0.58%) to $34.01;
  • Citigroup (C) -$0.13 (0.3%) to $43.92;
  • Wal Mart (WMT) -$0.39 (0.79%) to $49.29;
  • I.B.M. (IBM) -$0.94 (1.12%) to $83.12;
  • Intel (INTC) -$0.63 (2.28%) to $27.01;
  • Cisco Systems (CSCO) -$0.11 (0.56%) to $19.43;
  • eBay (EBAY) -$0.72 (1.62%) to $43.83;
  • Fannie Mae (FNM) +$0.47 (0.85%) to $55.87; and
  • Freddie Mac (FRE) -$0.51 (0.8%) to $62.92.

Market Breadth & Internals

NYSE declining Issues beat out advancers by 2203 to 1079, for a single-day A/D reading of -1124; and Nasdaq losers exceeded gainers by 2131 to 926. The 10-day moving average of the A/D line fell to 10.1 on the NYSE, while the 10dma of the Nasdaq A/D fell to -141.4.

On the NYSE declining volume was greater than volume in advancing issues by 1351.1 to 547.2 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 1156.1 to 400.2 million shares.

167 NYSE-listed stocks rose to new 52-week highs, and 20 posted fresh 52-week lows, while on the Nasdaq there were 128 stocks that hit new 52-week highs, and 24 which fell to fresh 52-week lows.

The VIX futures resynchronised with the spot VIX, putting the VIX futures trade ever-so-slightly in the green. That's more annoying than you wil ever know - when the spot is up over 25% since my 'call', but the futures just washed off some contango starting the very day the call was made... it's easy to get the sense that someone is watching you and laughing.

Market Breadth Statistics

Advancing Volume (m)547.22400.23
Declining Volume (m)1351.051156.05
New Highs167128
New Lows2024

Market Sentiment Statistics
CBOE Volatility Index12.540.716%
CBOE Nasdaq Volatility Index15.091.379.99%
Equity Put-Call Ratio0.940.227.03%
10-day PCR0.5700%
SPX-VIX Ratio98.6-6.69-6.36%

Bond Market Analysis

Bonds fell at the long end, with the yield on the benchmark 30-year Treasury bond rising 1.7 bps to 4.522%. The 30-year bond futures dropped 8 ticks to 114-29/32 after setting a session low at 114-24/32.

The middle of the yield curve was broadly lower in price: five year yields rose to 4.149%, and ten-year yields rose to 4.319%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were 2.0 bps wider at -5.0 basis points; spreads between longer dated Treasuries and their corporate AAA counterparts rose to 39.0 bps for 10-year AAA, and 79.0 bps for 20-years.

Credit spreads (spreads between corporate bonds of the same maturity profile but different creditworthiness) were broadly tighter with the AAA-A spread on 20-years 7.0 bps tighter at 32.0 basis points and the 10-year AAA-A spread 5.0 bps tighter at 11.0 bps.

Treasury Yields
UST 13wk (yld)3.3800%
UST 2Y (yld)
UST 5Y (yld)4.1490.0220.53%
UST 10Y (yld)4.3190.0190.44%
UST 30Y (yld)4.5220.0170.38%

The Banks Index shed 0.72 points (0.72%), ending the day at 99.95; within the index,

  • Zions Bancorp (ZION) -$1.74 (2.36%) to $71.85;
  • National City Corp (NCC) -$0.74 (1.96%) to $37.01;
  • BB&T Corp (BBT) -$0.65 (1.54%) to $41.49;
  • M&T Bank Corp (MTB) -$1.66 (1.51%) to $108.25; and
  • Golden West Financial (GDW) -$0.97 (1.47%) to $64.95.

The Broker-dealer Index slid 3.18 points (1.85%), at 168.53; the ticket clippers lined up as follows -

  • E*Trade (ET) -$0.56 (3.56%) to $15.17;
  • Jeffries Group (JEF) -$1.18 (2.81%) to $40.87;
  • A G Edwards (AGE) -$1.00 (2.22%) to $43.96;
  • Raymond James (RJF) -$0.67 (2.21%) to $29.71; and
  • Morgan Stanley (MWD) -$0.92 (1.69%) to $53.50.

The Philadelphia SOX (Semiconductor) index shed 11.75 points (2.43%), to 472.54

  • Teradyne (TER) -$0.63 (4.04%) to $14.96;
  • Marvell Tech Group (MRVL) -$1.60 (3.58%) to $43.06;
  • National Semiconductors (NSM) -$0.84 (3.37%) to $24.06;
  • Freescale Semiconductors (FSL-B) -$0.82 (3.16%) to $25.11; and
  • Taiwan Semiconductors (TSM) -$0.28 (3.14%) to $8.65.

Gold & Silver Markets

Gold rose $0.80 (0.18%) to close at $437.70 per ounce. Of more immediate concern is the fact that it traded above $440 and then reversed (it's also time to change to the October contract, starting tomorrow). The October held above $440 at the close.

Gold Bugs Index dipped 1.31 points (0.62%), to end the session at 209.01

  • Hecla Mining (HL) -$0.35 (7.92%) to $4.07;
  • Randgold Resources (GOLD) -$0.55 (3.71%) to $14.26;
  • Eldorado Gold (EGO) -$0.07 (2.27%) to $3.02;
  • Meridian Gold (MDG) -$0.35 (1.77%) to $19.39; and
  • Newmont Mining (NEM) -$0.59 (1.47%) to $39.58.

Silver fell by $0.05 (0.74%) to close at $7.23 per ounce. The Gold and Silver Index (XAU) lost 0.16 points (0.17%), closing at 95.77 points.

  • Durban Rooderpoert Deep (DROOY) -$0.02 (2.08%) to $0.94;
  • Meridian Gold (MDG) -$0.35 (1.77%) to $19.39;
  • Newmont Mining (NEM) -$0.59 (1.47%) to $39.58; and
  • Goldcorp (GG) -$0.15 (0.87%) to $17.18.
Precious Metals and Indices
PHLX Gold and Silver Index95.77-0.16-0.17%
AMEX Gold BUGS Index209.01-1.31-0.62%

Oil Market

Oil was firmer, rising by $0.52 per barrel, closing at $61.38 per barrel - but well below the session high at $62.10 a barrel. The Oil and Gas Index (XOI) declined 2.27 points (0.24%), closing at 963.17

  • TotalFinaElf S.A. (TOT) -$1.52 (1.17%) to $128.32;
  • Repsol YPF (REP) -$0.27 (0.94%) to $28.41; and
  • Exxon Mobil (XOM) -$0.48 (0.81%) to $58.52.

The Oil service stocks (OSX) Index rose 0.91 points (0.55%), at 167.25

  • GlobalSantaFe (GSF) +$0.91 (1.99%) to $46.58;
  • National Oilwells/Varco (NOV) +$0.94 (1.65%) to $57.84; and
  • Global Industries (GLBL) +$0.17 (1.62%) to $10.64.
Energy Complex
Reuters CRB318.46-0.2-0.06%
Crude Oil Light Sweet61.380.520.85%
Heating Oil1.70780.021.12%
Natural Gas8.4710.121.44%
Unleaded Gas1.80230.031.77%
AMEX Oil Index963.17-2.27-0.24%
Oil Service Index167.250.910.55%

Currency Markets

USD Exchange Rates
US Dollar Index87.81-0.22-0.25%
Australian Dollar0.77290.00110.14%
Swiss Franc1.2581-0.0031-0.25%
Canadian Dollar0.82370.00180.22%