SPYsight: May 2009

Saturday, May 30, 2009

SPY Volume Spike (Valuation Spike was Just Darn Curious)

Honestly, I'd say little was sinister about that darn curious valuation spike late FRI.

Granted, the rumor mill of PPT & GS gone hog wild are fun, but... this won't turn out to be anything other than good old funNgames on the market floor.

Relevant Article

>> The Spectacular Close: Futures Spike 2% in a Few Seconds
What a lot of traders are talking about is the spike in the equity markets at the close. The SPX was trading in the opening range (903-912) for most of the day before it broke through the upper resistance about 15 minutes before close. This seems to have triggered a large number of buy stop orders as the SPX surged into the close.
The move was violent and the SPX futures market, the most liquid market in the world, too got overwhelmed. Though the closing print on the SPX (cash) was 919.14, the ES futures traded all the way up to 927.75 at 4:00PM. The chatter is that there was an order to purchase 2500 contracts of the SPX futures at close entered by a single dealer (JP Morgan according to some). This corresponds to a notional value of $575 Million dollars. This resulted in all the offers to sell between 914 and 927 to be hit. This also triggered a lot of stop orders to buy, adding to the stampede.

Unnatural Market Action: Window Dressing or Something More?
It is common for stocks, especially those which have performed well in the prior month to trade up on the last trading day of the month. This is because of what is called window dressing where fund managers want to own stocks which have performed well to look good to their customers. However the spike at the end was not window-dressing.
There is some speculation that there was an effort to prop up the market into the close to ensure a finish close to the high levels of the month. It is very odd for a major dealer to wait till the close to enter such a large order especially on a Friday which happened to be the last trading day of the month. Liquidity tends to be less near the close on Friday as many traders and desk square out their positions before the weekend.
We are living in an era of significant government intervention in the financial markets. What some call market intervention for the greater good, others call market manipulation. It is not clear what happened today, but it was certainly not normal. << >> Market Outlook: 200 Day SMA Beckons but Short Interest Missing
The SPX is creeping ever closer to its 200 Day SMA which now stands at 928.60, about 1% away from the close today. This average is coming down about 2 points every day, and it is very likely that we will touch the average next week, especially after the bullish close this Friday.
Many market participants are expecting a big round of short covering once the SPX reaches this level and fresh money pours into the market to chase the rally. One caveat though is the large drop in short interest in the market. According to Bespoke Investment Group, the short interest on S&P 500 stocks is at the lowest level since February 2007, with the average stock having 7% of its float short.The largest decline in short interest was in the Real Estate Group.
The past few months have decimated the bears, who seem to have thrown in the towel. Though this can be bullish in the short term, it also means that any correction may be more severe since there are not that many shorts who will buy to cover during a decline. One can argue that there are so much money on the sidelines belonging to the people who missed the rally that they lack of short interest will not matter. <<

Thursday, May 28, 2009

$CPCI & $CPC Volume Analysis

Next Week's Econ News: Flat to Decent

Still Looking For that Short Squeeze + FAS

Durable Goods Orders

Link to original Census Data.

It looks terrible all the way down the full table across every sub-sector.

If this BS keeps up I don't understand how the government & talking heads can keep yammering about any H2 09 or 2010 recovery, and I don't see any reason that consumer cash should increase going into H2.

If manufacturing isn't receiving cash for orders then both raw materials commodity suppliers and intermediate/finished goods retailers aren't going to be receiving cash.

The fantastic Treasury auction bid-to-cover ratios indicate that there's still plenty of cash available (in fact, I'd speculate that their cash levels are increasing), but I think the collective foreign & domestic "They" are all still hoarding it.
Consumers don't seem to have cash to be interesting the retailers to order stuff.

I would have thought that with spring & summer construction that there'd be more cash floating about.
Not so.

Where'd the Cash Go?

Is there a Money Market or Cash fund or ETF that shows where all of WED's cash went to?

When the long bonds sold off on yield triggers money wasn't going into Treasuries. (Maybe a fair bit into shorter term Treasuries, but not that much!)

Money drained out of Equities.

Out of gold & silver.

Out of the Euro & into the $USD and crude oil.
(Interesting to see those both up at the same time.)

It didn't go into any of the market sectors.

Some into commodities & ag.

That was a lot of cash just to "hide" somewhere for the afternoon.

Any ideas?

Treasury Auction Articles:

Treasury Sell Off
>>

"But we won't know if things are OK or not until we get the 10-year (auction next month), as the further you go out in duration, the more critical it is that the U.S. can get funding," he said.

Meanwhile, Moody's Investors Service affirmed the Aaa rating for the United States but warned the top credit could come under pressure if the government fails to reduce debt levels once economic growth returns. <<

Government Bond Yields Rise to Six-Month Highs; Metals Fall
>> The U.S. will sell $3.25 trillion of Treasuries in the fiscal year ending Sept. 30 to fund bank bailouts, stimulus spending and a record budget deficit, according to Goldman Sachs Group Inc. Today, the Treasury will auction $26 billion of seven-year notes. <<

$CPC & $CPCI

Tuesday, May 26, 2009

Still Watching for that New Short Squeeze

WED & THU Econ Forecast

Monday, May 25, 2009

SPY $TNX FXE & TLT

The US Treasury is selling
$40bn of two-year notes on Tuesday,
$35bn of five-year bonds on Wednesday, and
$25bn of seven-year debt on Thursday.

"... traders are watching closely to see what share is being purchased by US government itself in pure "monetisation" of the deficit.

It has so far bought $116bn of Treasuries as part of its "credit easing" blitz, out of a $300bn pool. "

Saturday, May 23, 2009

SPY + $TNX + $XAU

Last couple of days something very unusual has happened.

$SPX/SPY severely failed to move with $TNX.

This indicates that money was flowing out of equities but not into the "safety" of treasuries, driving down it's yield.
Very unusual.

$TNX actually skyrocketed up indicating that no one wanted US debt.

No one wanted the $USD, either.

With the $USD down commodities & the market should have gone through the roof, but... it didn't.

However, PMs moved right on up there.
This all makes sense, except for the market: $USD down, PMs and commodities up, $TNX up... but the market down?!
WTH?

A: This looks like a definite inflation trade, meaning that defation/depression are (subjectively) off-the-table.
B: With the mkt kinda putzin' around, money isn't really being shuffled around there, meaning that institutional investors remain straddling the fence between continued "green shoots" hopium and some wicked TA that yells "SELL! SELL! SELL!"

What I'm concerned about/watching is next week's Treasury dumping to pound down that ridiculous 3.45% TNote yield.

Will money fow back out of PMs and into treasuries?

Also, if this new debt pounds down the $USD some more when is the market gonna wake-the-eff-up and run to $SPX >1000?