Interdum stultus opportuna loquitur...

Saturday, October 08, 2005

USRant: Squishy, But 10250 Held Easily...

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

The Fed's Open Market Operations desk performed 1 repurchase operation - a $7.5billion, 5-day repurchase with $6billion in T-backed collateral undertaken at a 4.7 basis point discount to the Fed Funds Rate (FFR). the aort of repo size will stop a declining market cold. but it won't do much to actually generate upside traction. The 10 a.m. move was a measly 1.75 points, and it stalled perceptibly the moment it got to 1200 (from below).

Major US Indices

Yet again we were stuck with a buying divergence - and yet again it worked well enough to provide three or four one-point-plus opportunities in the first couple of hours. 

The best long-side trade of the day was - again, as always - the 'tease break' of the first hour low... when every breakout trader in creation thought that yesterday's low was in the offing. As is normally the case, everything about the trade setup spelt disaster for longs: TICK was about -900, the mornings' low had been broken, trendlines had crossed bearishly, and so on. The cash S&P just touched its prior close (i.e., the 'opening gap up' had been filled), the Dow was down at  10275-ish (it was at its low for the session at 10280.62) and had closed its opening gap as well. There was even a little volume spike in the S&P futures. Bleak, bleak, bleak. 

And what do you do when everything looks about as bad as it could get? Why you buy, of course. When you think "Jesus, this couldn't get any worse", it's hardly the time to SELL (and yet that's precisely what breakout traders do - expect that exceptional conditions will continue to hold).

There was a teensy 'microdivergence' on the S&P and Dow - the second 15-minute bar of the day session had a higher high but a lower CCI (and the CCI on the first bar of the day was >+200). As I've said before though, 'microdivergences' aren't the bread and butter... they give a bit of an alert as to the potential for the development of a full-blown CCI divergence, but aren't really to be taken as evidence per se.

By the close, the Dow Jones Industrial Average had managed to post a rise of 5.21 points (0.05%), closing out the day at 10292.31 points. The index hit an intraday high of 10347.3 (10350-ish) just after the end of the first 15 minutes, then fell fairly constantly for the next 90 minutes (with several intermittent and weak bounces) to bottom down at 10280.62 during the 'tease break' of the first hour low. This 10280 level was tested twice during the remainder of the session, and held both times.

Within the blue-chip index, 15 stocks rose, the biggest gainers being Caterpillar (CAT, +2.59% to $56.62) and General Electric (GE, +1.88% to $34.22), which accounted for 16 Dow points between them. Losers in the Dow numbered 15 and were led by Merck (MRK, -3.70% to $25.50) and Verizon Communications (VZ, -1.67% to $30.59), with these two stocks contributing -12 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the losers by 197.9m shares to 154.6m.

The broader S&P500 advanced 4.41 points (0.37%), closing at 1195.9. Within the index, gainers numbered 319, while 160 S&P500 stocks fell for the day. Volume was pretty evenly split, but the final tally had the winners holding the field, with 892.80 million units traded in the winners as compared with 864.81 million traded in the losers .

Over at Times Square, the Nasdaq Composite posted a rise of 6.27 points (0.3%), to close at 2090.35, while larger-cap technology issues fared worse with the Nasdaq100 adding 2.98 points (0.19%), to end at 1555.92 points. Within the tech benchmark, gainers numbered 53, while 43 Nasdaq100 stocks fell for the day. Despite the day's gain, Volume was tilted 1.4:1 in favour of the losers with 359.64 million traded in the winners compared to 254.53 million in the losers .

NYSE Volume was super-chunky, with 2.13 billion shares changing hands, while Nasdaq Volume was about average, with 1.49 billion shares being shifted from one online brokerage account to another (and back again, in all likelihood).

Major Market Statistics
Dow Jones Industrial Average10292.315.210.05%
Nasdaq Composite2090.356.270.3%
NYSE Volume2.13bn--
Nasdaq Volume1.49bn--


My 9-stock "bellwethers" group rose by an average of 0.40%, thanks largely to bounces in Big Blue (IBM) and the Death Machine (GE) and the Toxic Twins (Fannie Mae and Freddie Mac). eBay helped too, but I don't have a smartass name for it...

  • General Electric (GE) +$0.63 (1.88%) to $34.22;
  • Citigroup (C) -$0.02 (0.04%) to $45.41;
  • Wal Mart (WMT) +$0.10 (0.23%) to $44.03;
  • I.B.M. (IBM) +$0.80 (1%) to $80.50;
  • Intel (INTC) +$0.06 (0.25%) to $23.82;
  • Cisco Systems (CSCO) -$0.10 (0.56%) to $17.63;
  • eBay (EBAY) +$0.46 (1.17%) to $39.90;
  • Fannie Mae (FNM) +$0.39 (0.93%) to $42.35; and
  • Freddie Mac (FRE) -$0.72 (1.22%) to $58.08.

Market Breadth & Internals

NYSE advancing Issues exceeded decliners by 1972 to 1280 for a single-day A/D reading of 692; Nasdaq gainers trumped losers by 1709 to 1276. The 10-day moving average of the A/D line rose to -441.7 on the NYSE, while the 10dma of the Nasdaq A/D rose to -396.8.

NYSE advancing volume exceeded volume in decliners by 1308.7 to 784.5 million shares; Nasdaq advancing volume was greater than volume in decliners by 766.4 to 687.6 million shares.

38 NYSE-listed stocks rose to new 52-week highs, and 102 posted fresh 52-week lows, while on the Nasdaq there were 48 stocks that hit new 52-week highs, and 85 which fell to fresh 52-week lows.

Market Breadth Statistics

Advancing Volume (m)1308.71766.35
Declining Volume (m)784.49687.62
New Highs3848
New Lows10285

Market Sentiment Statistics
CBOE Volatility Index14.59-0.37-2.47%
CBOE Nasdaq Volatility Index16.62-0.17-1.01%
Equity Put-Call Ratio0.61-0.34-35.79%
10-day PCR0.6100%
SPX-VIX Ratio822.322.92%

Bond Market Analysis

After a big dip (to 113-09/32) following the "stronger-than-expected" labour force data, bonds rallied over a point from the low. As usual, people who traded in the direction of the news got absolutely slammed

There are no 'surprises' in markets in the US, folks - not to anyone with decent connections. 

I've said this before - if a piece of data says "short commodity X', then you wait for all the nuffnuffs to do exactly that... and then you buy. If a piece of data says "buy commodity X", you wait for the nuffnuffs to follow as blindly as a televangelists's TV audience, and then... you sell.

Today the long end finished with a gain, with the yield on the benchmark 30-year Treasury bond shedding 1.8 bps to 4.569%.

The middle of the yield curve was mixed: five year yields rose to 4.235%, and ten-year yields fell to 4.361%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were 11.0 bps wider at 14.0 basis points; spreads between longer dated Treasuries and their corporate AAA counterparts rose to 50.0 bps for 10-year AAA, and 77.5 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 3.0 bps tighter at 33.0 basis points and the 10-year AAA-A spread 6.0 bps tighter at 6.0 bps.

Treasury Yields
UST 13wk (yld)3.5330.0210.6%
UST 2Y (yld)4.16-0.03-0.72%
UST 5Y (yld)4.2350.0060.14%
UST 10Y (yld)4.361-0.005-0.11%
UST 30Y (yld)4.569-0.018-0.39%

The Banks Index advanced 0.2 points (0.21%), ending the day at 95.12; within the index,

  • Golden West Financial (GDW) +$0.64 (1.11%) to $58.25;
  • Wachovia (WB) +$0.37 (0.79%) to $47.23;
  • Washington Mutual (WM) +$0.28 (0.74%) to $38.25;
  • BB&T Corp (BBT) +$0.28 (0.73%) to $38.59; and
  • JPMorganChase (JPM) +$0.24 (0.71%) to $33.90.

The Broker-dealer Index advanced 0.58 points (0.33%), to 176.77; the ticket clippers lined up as follows -

  • E*Trade (ET) +$0.34 (2.01%) to $17.26;
  • Jeffries Group (JEF) +$0.81 (1.88%) to $44.01;
  • Charles Schwab (SCH) +$0.21 (1.53%) to $13.97;
  • Morgan Stanley (MWD) +$0.30 (0.56%) to $53.45; and
  • Goldman Sachs (GS) +$0.64 (0.55%) to $117.57.

The Philadelphia SOX (Semiconductor) index rose 2.76 points (0.6%), to end the session at 461.11

  • Teradyne (TER) +$0.29 (1.85%) to $15.93;
  • Micron Technology (MU) +$0.23 (1.78%) to $13.18;
  • Taiwan Semiconductors (TSM) +$0.13 (1.57%) to $8.42;
  • Novellus Systems (NVLS) +$0.36 (1.48%) to $24.72; and
  • Broadcom (BRCM) +$0.58 (1.26%) to $46.47.

Gold & Silver Markets

Gold rose another $2.70 (0.57%) to close at $477.70 per ounce.

The Gold Bugs Index added 5.68 points (2.39%), closing at 243.08

  • Coeur d'Alene (CDE) +$0.20 (5.01%) to $4.19;
  • Iamgold (IAG) +$0.28 (3.99%) to $7.29;
  • Eldorado Gold (EGO) +$0.13 (3.79%) to $3.56;
  • Meridian Gold (MDG) +$0.79 (3.72%) to $22.03; and
  • Harmony Gold (HMY) +$0.39 (3.61%) to $11.18.

Silver rose $0.18 (2.3%) to close at $7.77 per ounce. 

The Gold and Silver Index (XAU) gained 2.9 points (2.64%), to 112.86 points.

  • Durban Rooderpoert Deep (DROOY) +$0.08 (6.06%) to $1.40;
  • Placer Dome (PDG) +$0.65 (3.93%) to $17.21;
  • Meridian Gold (MDG) +$0.79 (3.72%) to $22.03; and
  • Harmony Gold (HMY) +$0.39 (3.61%) to $11.18.
Precious Metals and Indices
PHLX Gold and Silver Index112.862.92.64%
AMEX Gold BUGS Index243.085.682.39%

Oil Market

Oil was firmer, rising by $0.48 per barrel on nothing more than a bounce off a significantly oversold daily chart. Very predictable (and in fact predicted in these very pages). It closed at $61.84 per barrel. 

The Oil and Gas Index (XOI) added 20.8 points (2.13%), closing at 996.48

  • Sunoco (SUN) +$2.98 (4.14%) to $74.88;
  • Marathon Oil (MRO) +$2.40 (4%) to $62.35; and
  • ConocoPhillips (COP) +$1.58 (2.55%) to $63.60.

The Oil service stocks (OSX) Index posted a rise of 2.8 points (1.76%), to end the session at 162.22

  • Transocean (RIG) +$2.50 (4.62%) to $56.65;
  • Rowan Companies (RDC) +$1.02 (3.26%) to $32.32; and
  • Halliburton (HAL) +$1.94 (3.19%) to $62.71.
Energy Complex
Reuters CRB332.220.990.3%
Crude Oil Light Sweet61.840.480.78%
Heating Oil1.96010.010.48%
Natural Gas13.226-0.13-1%
Unleaded Gas1.8292-0.01-0.61%
AMEX Oil Index996.4820.82.13%
Oil Service Index162.222.81.76%

Currency Markets

USD Exchange Rates
US Dollar Index89.070.370.42%
Australian Dollar0.7572-0.0011-0.15%
Swiss Franc1.27760.00680.54%
Canadian Dollar0.85170.0050.59%