Interdum stultus opportuna loquitur...

Friday, January 23, 2009

OzRant: Did a Hedge Fund Just Go Boom?

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

I doubt that I have ever seen such insouciance from the short side of the market as I saw today; with the major banks down 6% each, and with the SPI near its lowest point since November, there was a period of 5 minutes (between 2:30 and 2:35) during which 906 contracts changed hands.

That was the largest 5-minute intraday volume for the week, and 90% of it took place at the offer - in other words it was either shorts selling an already oversold market, or it was some big portfolio dumping. There was no attempt at short-covering in the last half-hour: clearly, everyone who was selling felt comfortable holding over the long weekend.

To get a sense of how much downside pressure there was, have a look at the chart - I have highlighted that the Williams' %R was oversold from the first bar of the day virtually until the last (and I use a much higher hurdle for 'oversold': 90 instead of the usual 80).

I've also marked a level which will almost certainly be hit next Tuesday - see if you can spot it.

Intraday SPI chart

Everybody's a short-side expert aat interim lows... nuffnuffs

So let's get this right: on a pre-holiday Friday, with the Australian market already at 2-month lows, and with major banks stocks already down 6%-plus for the day, the 3 p.m. consensus was that your beloved GT has been right all along and it's time to position yourself for financial Armageddon.

As you know, dearest Reader, I never like to be on the crowded side of the boat. So it should come as no shock to you that as of this morning I am long 2 SPI (at an average well above the close - so the position is well underwater). Like every moron who shorted today, I too am holding over the weekend - the differencebeing that I am holding a long position. 

I plan to exit above 3420 (basis Mar09 SPI) on Tuesday. As I write this, that would require Tuesday to furnish a 110-point rally. Don't be surprised if it does that at the open.

Note well: this does not mean that this is the end of the current downleg, identified by your beloved GT on January 6th. No no no no no... not a bit of it. It is simply a bounce opportunity that I perceive, and which I took about three hours before I ought to have done. That's all it is: the hedges are not coming off the Model Portfolios, and the portfolios are not being rebalanced.

The SPI long is just a short term play to take advantage of an overcrowded boat... just as I was short a day early back in November 2007, I am long a day early today: stings a bit when there's leverage being used, but it's not going to be like that short on the US 30-year bond (from 127 and a bit, which went all the way to 142, is now back within 2 points of the entry, and will eventualyl be closed with a tiday profit... it has taken two months). nor will it be like the fabled 'ES 1264 short'.

The 'short sterling' trade is another one favoured by the 'late to the train' set at the moment... fading the collective wisdom of people who trade based on what they read in the papers and see on the telly, is a no-brainer. So in keeping with sensible contrarianism, I am short EURGBP... albeit at prices quite a bit lower than the current level. I missed a profitable exit two mornings ago, but it will come again: EURGBP is massively overbought. 

Major Market Indices

The broad market - the All Ordinaries (XAO) - slid pretty savagely, posting a loss of 131.6 points (3.83%), finishing at 3300.3 points. The index hit an intraday high of 3371 at 10:41 am, while the low for the day was 3300.2 - set at 4:01 pm Sydney time.

Today's close is the lowest closing level for the All Ords since February 9th, 2004. Those of us who are victims of the government's compulsory superannuation scheme - trying to force people to save - would have been better off taking the money and spending it on drugs or consumer electronics.

Total volume traded on the ASX was 1.06bn units, 7.8% above its 10-day average of 983.1m shares. That's not big enough volume to signal a final, cathartic washout... whih is why the SPI long is one which I'll exit before the close on Monday, even if its not fully back in the black by the finish of play.

The ASX's daily listing of all stocks included 1034 different 3-letter FPO's which traded (i.e., had non-zero trade volume). Of these, 191 issues rose, with volume in rising issues totalling 133.8m units; there were 621 declining stocks, which traded aggregate declining volume of 865.8m shares.

Of the 487 All Ordinaries components, 70 rose while 330 fell. Volume was tilted in favour of the losers by a margin of 7.9:1, with 94.23m shares traded in gainers while 739.74m shares traded in the day's losers.

The Index that forms the cash basis for the SPI Futures - the S&P/ASX 200 (XJO) - dipped rather savagely, losing 144.1 points (4.13%), closing out the session at 3342.7 points.

GT Intraday Chart
Name Close +/-(%)
All Ordinaries 3300.30 -131.60 (3.8%)
ASX 20 1984.80 -87.20 (4.2%)
ASX 50 3364.50 -147.80 (4.2%)
ASX 100 2750.60 -119.70 (4.2%)
ASX 200 3342.70 -144.10 (4.1%)
ASX 300 3331.10 -142.00 (4.1%)
ASX Mid-Cap 50 3080.00 -123.90 (3.9%)
ASX Small Ordinaries 1612.90 -51.60 (3.1%)

The ASX 20 Leaders (XTL) - heavy on banks (which got hammered) - was taken to the woodshed in a big way, sliding 87.2 points (4.21%), closing out the session at 1984.8 points.

Among the 20 big guns, only one component - Telstra Corporation (TLS) - kept its head off the chopping block. TLS managed to add $0.06 (1.68%) to close at $3.64 and traded 54.82m shares in the process. The stocks which make up the index traded a total of 170.9m units; the lone rising index component had volume amounting to 54.82m shares, while the 19 decliners had volume traded totalling 116.08m units.

The following stocks were the worst-performed within the index:

  • ANZ Banking Group (ANZ), -$0.94 (7.23%) to $12.06 on volume of 15.1 million shares;
  • National Australia Bank (NAB), -$1.17 (6.46%) to $16.94 on volume of 7.6 million shares;
  • Westfield Group (WDC), -$0.8 (6.27%) to $11.96 on volume of 6.3 million shares;
  • Stockland (SGP), -$0.23 (6.13%) to $3.52 on volume of 7.4 million shares; and
  • Commonwealth Bank Of Australia (CBA), -$1.53 (5.98%) to $24.07 on volume of 7.4 million shares.

The ASX Small Ordinaries (XSO) also copped a bit of a hiding, sliding 51.6 points (3.1%), closing out the session at 1612.9 points.

Among the stocks that make up the Small Caps index, 28 index components finished to the upside, and of the rest, 162 closed lower for the session.

The 210 stocks which make up the index traded a total of 305.8m units: volume in the 28 gainers totalling 30.06m shares, with trade totalling 265.15m units in the index's 162 declining components. The major percentage gainers within the index were
  • Rubicon Japan Trust (RJT), +$0.00 (33.33%) to $0.01 on volume of 221.8 thousand shares;
  • Citigold Corporation (CTO), +$0.03 (14.29%) to $0.24 on volume of 3.1 million shares;
  • Paperlinx (PPX), +$0.04 (7.22%) to $0.52 on volume of 2.3 million shares;
  • Salmat (SLM), +$0.18 (6.21%) to $3.08 on volume of 60.2 thousand shares; and
  • Sylvania Resources (SLV), +$0.04 (5.71%) to $0.74 on volume of 21.1 thousand shares.

In the red-zone of the little-stock index, the following list represents the biggest downers (in terms of percentage decline):

  • Valad Property Group (VPG), -$0.04 (44.05%) to $0.05 on volume of 68.6 million shares;
  • Babcock & Brown Power (BBP), -$0.01 (18.42%) to $0.06 on volume of 7.2 million shares;
  • Becton Property Group (BEC), -$0.03 (16.67%) to $0.13 on volume of 647.9 thousand shares;
  • City Pacific Limited (CIY), -$0.02 (16.52%) to $0.10 on volume of 251.7 thousand shares; and
  • Marion Energy (MAE), -$0.05 (16.39%) to $0.26 on volume of 486.6 thousand shares.

Index Changes
Code Name Close +/- % Volume
XAO All Ordinaries 3300.3 -131.6 -3.83 885.8m
XFL ASX 50 3364.5 -147.8 -4.21 311.3m
XJO ASX 200 3342.7 -144.1 -4.13 790.1m
XKO ASX 300 3331.1 -142 -4.09 853.8m
XMD ASX Mid-Cap 50 3080 -123.9 -3.87 249.4m
XSO ASX Small Ordinaries 1612.9 -51.6 -3.1 293m
XTL ASX 20 1984.8 -87.2 -4.21 163.5m
XTO ASX 100 2750.6 -119.7 -4.17 560.7m
Market Breadth
Advances 1 4 16 70 28 191
Declines 19 96 183 330 162 621
Advancing Volume 54.8m 56.9m 80m 94.2m 30.1m 133.8m
Declining Volume 116.1m 542.5m 675.2m 739.7m 265.1m 865.8m
GICS Industry Indices

Among the 11 industry indices, today's market action was dominated by sectoral declines - only one sector managed a gain for the day.

The best performing index was Telecommunications (XTJ), which added 16.7 points (1.37%) to 1238.7 points. This index only contains 3 stocks; they traded a total of 70.49m units today. 2 index components rose, with rising volume amounting to 63.89m shares, while the sole declining stock traded 6.6m units. The major percentage gainers within the index were

  • Telstra Corporation (TLS), +$0.06 (1.68%) to $3.64 on volume of 54.8 million shares; and
  • Singapore Telecommunications (SGT), +$0.02 (0.78%) to $2.60 on volume of 9.1 million shares.

The worst-performed index for the session was Property Trusts (XPJ), which dipped 53.2 points (6.23%) to 801 points. The 21 stocks which make up the index traded a total of 240.02m units; The 20 decliners had volume traded totalling 239.56m units, and volume in the lone rising index component was 0.46m shares, The major percentage decliners within the index were

  • Valad Property Group (VPG), -$0.04 (44.05%) to $0.05 on volume of 68.6 million shares;
  • Centro Retail (CER), -$0.01 (12.99%) to $0.07 on volume of 8.3 million shares;
  • ING Office Fund (IOF), -$0.06 (10.58%) to $0.47 on volume of 4.4 million shares;
  • Macquarie Office Trust (MOF), -$0.02 (9.3%) to $0.20 on volume of 18.6 million shares; and
  • Commonwealth Property Office Fund (CPA), -$0.08 (8.89%) to $0.82 on volume of 51.8 million shares.

Just missing out on the wooden spoon was Financials ex Property Trusts (XXJ), which slid 193.3 points (5.47%) to 3339.3 points. The 27 stocks which make up the index traded a total of 104.42m units; The 26 decliners had volume traded totalling 76.24m units, - none of the index components ended with a gain. The major percentage decliners within the index were

  • HFA Holdings (HFA), -$0.01 (13.79%) to $0.08 on volume of 7.8 million shares;
  • Sunland Group (SDG), -$0.05 (8.33%) to $0.55 on volume of 828.2 thousand shares;
  • Platinum Asset Management (PTM), -$0.25 (7.6%) to $3.04 on volume of 443.2 thousand shares;
  • Australia And New Zealand Banking Group (ANZ), -$0.94 (7.23%) to $12.06 on volume of 15.1 million shares; and
  • Henderson Group PLC (HGG), -$0.09 (7.14%) to $1.17 on volume of 1.2 million shares.

Third-to-last amongst the sector indices was Materials (XMJ), which slid 425.8 points (5.05%) to 7999.5 points. The 46 stocks which make up the index traded a total of 143.65m units; The 39 decliners had volume traded totalling 130.55m units, and 2 index components rose, with rising volume amounting to 2.62m shares, The major percentage decliners within the index were

  • Sims Metal Management (SGM), -$3.82 (20.52%) to $14.80 on volume of 1.5 million shares;
  • Panoramic Resources (PAN), -$0.12 (11.79%) to $0.86 on volume of 1.9 million shares;
  • Alumina (AWC), -$0.15 (11.36%) to $1.17 on volume of 7 million shares;
  • Gindalbie Metals Ltd (GBG), -$0.06 (10.53%) to $0.51 on volume of 1.4 million shares; and
  • Onesteel (OST), -$0.25 (10.12%) to $2.22 on volume of 5.5 million shares.

Sector Indices
Code GICS Sector Close +/- % Volume
XTJ Telecommunications 1238.7 16.7 1.37 70m
XHJ Healthcare 8586.6 -78.3 -0.9 12m
XIJ Information Technology 378 -4.6 -1.2 3m
XSJ Consumer Staples 5928.1 -104 -1.72 35m
XEJ Energy 11283 -429.4 -3.67 39m
XUJ Utilities 4132.8 -172.1 -4 26m
XDJ Consumer Discretionary 1067.5 -45.9 -4.12 36m
XNJ Industrials 2896.1 -130.6 -4.31 88m
XMJ Materials 7999.5 -425.8 -5.05 144m
XXJ Financials ex Property Trusts 3339.3 -193.3 -5.47 104m
XPJ Property Trusts 801 -53.2 -6.23 240m

All Ordinaries Major Movers

All Ords Volume Leaders
Code Name Close +/- % Volume
VPG Valad Property Group 0.05 -0.04 -44.05 68.6m
TLS Telstra Corporation. 3.64 0.06 1.68 54.8m
CPA Commonwealth Property Office Fund 0.82 -0.08 -8.89 51.8m
BNB Babcock & Brown 0.33 0.00 0 28.2m
BLY Boart Longyear 0.17 -0.04 -19.05 23.8m
All Ords Percentage Gainers
Code Name Close +/- % Volume
MAFCA Multiplex Prime Property Fund 0.02 0.00 36.36 100k
RJT Rubicon Japan Trust 0.01 0.00 33.33 221.8k
CTO Citigold Corporation 0.24 0.03 14.29 3.1m
BTR Blackthorn Resources 0.08 0.01 12 148.1k
CLO Clough 0.36 0.04 10.94 13.7k
All Ords Percentage Losers
Code Name Close +/- % Volume
AXQ Allco Max Securities And Mortgage Trust 0.01 -0.01 -50 64.7k
VPG Valad Property Group 0.05 -0.04 -44.05 68.6m
SGM Sims Metal Management 14.80 -3.82 -20.52 1.5m
BLY Boart Longyear 0.17 -0.04 -19.05 23.8m
BBP Babcock & Brown Power 0.06 -0.01 -18.42 7.2m