Interdum stultus opportuna loquitur...

Tuesday, November 15, 2005

USRant: Bias Change - Neat, But Unnecessary...

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Although the Dow only fell 10 points, the bias change I mentioned yesterday (in "Finally, I Get My Way", reiterated in yesterday's OzRant) appears to have been right on time, considering the afternoon carnage. You'll recall that the change of bias doesn't mean that one just throws down short immediately - no, that would just be silly. Rather, one waits for signals - both short and long - and the key to the bias is that it's easier to find a short signal than a buy signal.

As for this session, it really didn't hinge critically on the change in bias; the smoothed-%R sell signal was given on the same bar as a CCI divergence anyhow. Check it out: pretty, ain't it?

Dow 15-minute chart

Dow Intraday Chart

The overbought %R occurred on precisely the same bar on the SPX chart - I had already sticky-taped this one in before I realised I ought to've used the SPX. But whereas the massively-managed Dow pulled back less than 80 points from the signal point, the SPX pulled back 11 points (which is almost 110 points Dow-equivalent). And oddly enough, both indices formed intraday CCI buying divergences at the same time as registering smoothed-%R oversold; in other words, the bias change was something of a moot point (since the buying bias rules would have thrown up both of these trades anyhow).  

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation - a $5.25billion, overnight repurchase entirely in T-backed collateral undertaken at an 8 basis point premium to the Fed Funds Rate (FFR). So real help there.

Major US Indices

After a strange spike in all indices just at the open (caused, probably, by large-trader position realignment in advance of AMZN entering the S&P500, although I'm not sure when that actually happens), they went nowhere for an hour - although as with yesterday there was this suspicious tendency for the Dow futures to  hold the market up every time 10700 was tested from above. After the first hour, shorts got bored and helped (by covering) generate a 50-point bounce in the Dow. And then the sell signal. Lover-ly.

And poor old Kirk Kerkorian - his much-touted increased GM stake is now worth even less today than it was yesterday. What a putz. I said it at the time, GM is a dead duck... and now it's only a matter of time before it seeks bankruptcy protection. I've mused on this before - what does it mean when a component of the Dow is bankrupt?

After its 50-point short-covering rally, and after providing the perfect sell signal (both a CCI divergence and a smoothed-%R overbought) for those with eyes to see, the Dow almost points... and then bounced just after providing an intraday buy signal. Bloody gentlemanly, that.

Overall, the Dow Jones Industrial Average slid 10.73 points (0.1%), closing out the day at 10686.44 points. The index hit an intraday high of 10741.99 , and fell as low as 10664.27 during the session. 

Within the blue-chip index, 10 stocks rose, the biggest gainers being Johnson & Johnson (JNJ, +3.83% to $62.83) and International Business Machines (IBM, +1.39% to $85.53), which accounted for 28 Dow points between them. Losers in the Dow numbered 19 and were led by General Motors (GM, -4.76% to $22.61) and Mcdonalds (MCD, -1.83% to $33.31), with these two stocks contributing -14 Dow points worth of downward pressure on the index. Volume traded was tilted in favour of the losers by 263.8m shares to 151m.

The broader S&P500 dipped 4.75 points (0.39%), at 1229.01. Within the index, gainers numbered 163, while 313 S&P500 stocks fell for the day. Volume was tilted 1.9:1 in favour of the losers with 1246.99 million units traded in the losers as compared with 658.33 million traded in the winners .

Over at Times Square, the Nasdaq Composite declined 14.21 points (0.65%), to close at 2186.74, while larger-cap technology issues fared better with the Nasdaq100 losing 7.59 points (0.46%), to end at 1644.31 points. Within the tech benchmark, gainers numbered 28, while 66 Nasdaq100 stocks fell for the day. Volume was tilted 1.8:1 in favour of the losers with 433.51 million traded in the losers compared to 238.74 million in the winners .

NYSE Volume was super-chunky, with 2.3 billion shares changing hands, while Nasdaq Volume was barely even in the chunky category, with 1.72 billion shares traded.

Major Market Statistics
Dow Jones Industrial Average10686.44-10.73-0.1%
Nasdaq Composite2186.74-14.21-0.65%
NYSE Volume2.3bn--
Nasdaq Volume1.72bn--


My 9-stock "bellwethers" group fell by an average of 0.67%

  • General Electric (GE) -$0.00 (0%) to $34.40;
  • Citigroup (C) -$0.58 (1.2%) to $47.66;
  • Wal Mart (WMT) -$0.52 (1.05%) to $48.78;
  • I.B.M. (IBM) +$1.17 (1.39%) to $85.53;
  • Intel (INTC) -$0.29 (1.14%) to $25.08;
  • Cisco Systems (CSCO) -$0.08 (0.46%) to $17.27;
  • eBay (EBAY) -$0.48 (1.1%) to $43.05;
  • Fannie Mae (FNM) -$0.84 (1.76%) to $46.91; and
  • Freddie Mac (FRE) -$0.43 (0.68%) to $62.44.

Market Breadth & Internals

NYSE declining Issues beat out advancers by 2222 to 1061, for a single-day A/D reading of -1161; and Nasdaq losers exceeded gainers by 2116 to 915. The 10-day moving average of the A/D line fell to -158.2 on the NYSE, while the 10dma of the Nasdaq A/D fell to -129.4.

On the NYSE declining volume was greater than volume in advancing issues by 1428 to 798.8 million shares; On the Nasdaq declining volume exceeded volume in advancing issues by 1100.8 to 578.6 million shares.

80 NYSE-listed stocks rose to new 52-week highs, and 214 posted fresh 52-week lows, while on the Nasdaq there were 81 stocks that hit new 52-week highs, and 81 which fell to fresh 52-week lows.

Market Breadth Statistics

Advancing Volume (m)798.8578.59
Declining Volume (m)1427.961100.75
New Highs8081
New Lows21481

Market Sentiment Statistics
CBOE Volatility Index12.230.050.41%
CBOE Nasdaq Volatility Index14.790.110.75%
Equity Put-Call Ratio0.80.022.56%
10-day PCR0.5800%
SPX-VIX Ratio100.5-0.8-0.79%

Bond Market Analysis

Bonds rose at the long end, with the yield on the benchmark 30-year Treasury bond shedding 5.5 bps to 4.741%.

The middle of the yield curve was broadly higher: five year yields fell to 4.502%, and ten-year yields fell to 4.557%.

Spreads between short-dated (2-yr) Treasuries and high-grade corporate bonds of similar maturity profiles were 9.0 bps wider at 17.0 basis points; spreads between longer dated Treasuries and their corporate AAA counterparts rose to 59.0 bps for 10-year AAA, and 80.5 bps for 20-years.

Credit spreads (spreads between corporate bonds of the same maturity profile but different creditworthiness) opened up again,  with the AAA-A spread on 20-years adding 1 basis point t0 37 bps and the 10-year AAA-A spread unchanged at 5.0 bps.

Treasury Yields
UST 13wk (yld)3.9150.0330.85%
UST 2Y (yld)4.45-0.02-0.45%
UST 5Y (yld)4.502-0.039-0.86%
UST 10Y (yld)4.557-0.047-1.02%
UST 30Y (yld)4.741-0.055-1.15%

The Banks Index lost 0.95 points (0.92%), closing at 102.31; within the index,

  • Fifth Third Bancorp (FITB) -$0.68 (1.66%) to $40.27;
  • Wachovia (WB) -$0.83 (1.57%) to $51.98;
  • Wells Fargo (WFC) -$0.88 (1.41%) to $61.51;
  • Keycorp (KEY) -$0.46 (1.38%) to $32.91; and
  • Comerica (CMA) -$0.75 (1.26%) to $58.84.

The Broker-dealer Index dipped 2.78 points (1.44%), to end the session at 190.47; the ticket clippers lined up as follows -

  • Charles Schwab (SCH) -$0.56 (3.5%) to $15.44;
  • Legg Mason (LM) -$3.03 (2.57%) to $114.82;
  • Raymond James (RJF) -$0.70 (1.91%) to $36.01;
  • Lehman Brothers (LEH) -$2.01 (1.6%) to $123.74; and
  • E*Trade (ET) -$0.30 (1.56%) to $18.97.

The Philadelphia SOX (Semiconductor) index shed 1.46 points (0.31%), at 462.27

  • Infineon Tech (IFX) -$0.20 (2.04%) to $9.60;
  • Linear Technology (LLTC) -$0.66 (1.91%) to $33.83;
  • KLA-Tencor (KLAC) -$0.79 (1.53%) to $50.70;
  • Texas Instruments (TXN) -$0.41 (1.29%) to $31.47; and
  • Maxim Integrated (MXIM) -$0.44 (1.23%) to $35.47.

Gold & Silver Markets

Gold fell by $0.10 (0.02%) to close at $469 per ounce.

The Gold Bugs Index lost 6.01 points (2.6%), at 225.22

  • Gold Fields (GFI) -$1.07 (7.35%) to $13.48;
  • Hecla Mining (HL) -$0.20 (6.13%) to $3.06;
  • Golden Star (GSS) -$0.12 (5.36%) to $2.12;
  • Randgold Resources (GOLD) -$0.36 (2.45%) to $14.34; and
  • Coeur d'Alene (CDE) -$0.09 (2.27%) to $3.88.

Silver rose $0.01 (0.06%) to close at $7.79 per ounce. 

The Gold and Silver Index (XAU) lost 2.09 points (1.9%), ending the day at 107.86 points.

  • Gold Fields (GFI) -$1.07 (7.35%) to $13.48;
  • Meridian Gold (MDG) -$0.39 (2.08%) to $18.35;
  • Agnico Eagle (AEM) -$0.28 (1.98%) to $13.83; and
  • Anglogold Ashanti (AU) -$0.78 (1.87%) to $41.00.
Precious Metals and Indices
PHLX Gold and Silver Index107.86-2.09-1.9%
AMEX Gold BUGS Index225.22-6.01-2.6%

Oil Market

Well, Crude hasn't fallen all the way to the head and shoulders projected low of $54-ish (which was projected way back in September if I recall correctly), but now it's significantly under the contango-adjusted RantTarget of $57.30 - which implies lower prices still. So all them folks who thought they smelt a bottom (and bought the Australian Energy index yesterday) are going to pay today.

Oil lost ground, shedding $0.71 per barrel, closing at $56.98 per barrel. 

The Oil and Gas Index (XOI) lost 4.33 points (0.45%), at 961.7

  • Marathon Oil (MRO) -$1.19 (2.04%) to $57.12;
  • Repsol YPF (REP) -$0.44 (1.51%) to $28.70; and
  • Sunoco (SUN) -$0.60 (0.8%) to $73.98.

The Oil service stocks (OSX) Index slid 0.17 points (0.1%), at 166.44

  • Baker Hughes (BHI) -$0.62 (1.17%) to $52.47;
  • GlobalSantaFe (GSF) -$0.48 (1.1%) to $43.17; and
  • Transocean (RIG) -$0.59 (1.02%) to $57.48.
Energy Complex
Reuters CRB329.5-1.12-0.34%
Crude Oil Light Sweet56.98-0.71-1.23%
Heating Oil1.6809-0.05-2.86%
Natural Gas11.563-0.04-0.38%
Unleaded Gas1.4564-0.04-2.65%
AMEX Oil Index961.7-4.33-0.45%
Oil Service Index166.44-0.17-0.1%

Currency Markets

I've gotta say, the Euro is starting to get on my wick; sure, it managed a gain (recall though - our notional 'medium term' ECZ5 position is still underwater by 85 pips, but that's not going to matter in a couple of sessions).

Frankly, I'm beginning to think that people were trading the French riots, and pretty much that alone; in other words, if you watch the news ticker and match significant slabs of selling, it seems (using an 'eyeball' test only) to match up with news items about the Paris riots. 

If that's the case, then the ForEx market is now absolutely full of idiots; the same sort of idiot that used to occupy a tech stock chat-room. Given the massive increase in ForEx bucket-shops, it doesn't surprise me that much - there will always be folks who think that this time the combination of leverage and volatility will get them out of the hole they dug themselves trading penny stocks.

USD Exchange Rates
US Dollar Index92.04-0.06-0.07%
Australian Dollar0.73330.0060.82%
Swiss Franc1.3169-0.0011-0.08%
Canadian Dollar0.8383-0.0003-0.04%