Posted by sbaxman111 on 20th of Jun 2017 at 04:12 pm
Jun 20, 2017
Yesterday’s rally in US equities took the S&P 500 to
yet another new all-time closing high, which was the 24th such
all-time closing high in 2017. With the year not quite half
over, if the pace of the first six months keeps up in the second
half, the S&P 500 would be poised for 51 all-time closing highs
this year. Obviously a lot can change in the second half, and
even a moderate pullback could halt the accumulation of new highs.
Conversely, there was a two-month period of consolidation
already this year where there were no new highs for the market, so
if we see a slow steady grind higher in the second half, the number
of new highs could really start to pile up.
The chart below shows the annual number of new all-time
closing highs for the S&P 500 going back to 1929. Here,
you can really see how a sharp pullback can really halt the
frequency of new highs right in its track. After there were
45 new highs in 1929, it took 24 years until 1954 before the
S&P 500 did it again. From that point on, the pace
of new highs went in waves with many occurrences from the mid-1950s
to mid-1960s and again in the 1980s and 1990s, while the pace
slowed in the 1970s and 2000s. Since 2013 when the
S&P 500 finally took out its pre-financial crisis highs,
the pace has picked back up again. If the current pace of
highs in the S&P 500 continues, and the S&P 500 closes at
50 or more all-time highs this year, it would rank in the top five
of all years. In order to crack 1995’s all-time record of 77
for a single year, though, we would have to see one heck of a rally
in the second half.
Posted by sbaxman111 on 20th of Jun 2017 at 02:42 pm
The difference in yield between Treasuries due in five years and
those maturing in three decades tumbled Tuesday to as low as 96
basis points this morning,
the narrowest since December 2007.
The last two times the US yield curve was this
'flat' (Mar 01, Dec 07),
the US economy officially entered a recession.
Posted by sbaxman111 on 16th of Jun 2017 at 12:30 pm
Quadruple Witching
Friday, June 16th, is a quadruple witching day in the
markets. It is given this name because there are sectors of
the market that will expire such as stock index futures, stock
index options, stock options, and single stock futures. Since
these options are expiring, all four of them should have elevated
volume as traders roll out of the ending contract and buying or
selling the next. Things could get interesting as it has been
reported that $1.3 trillion of S&P options will come to an
end. A very good “quant” analyst at
JPMorgan, Marko Kolanovic, believes Friday and next week could see
higher volatility because of the quadruple witching and especially
the size of the S&P options expirations. His note to
clients is below…
In our view, it will be difficult for the market to go much
higher from these levels (~2,450) unless there is meaningful
progress on US fiscal reform (i.e. tax cut). Current positioning of various investors is already quite high
and that poses additional risk going into weak
seasonals. Low volatility and positive price momentum resulted in high
leverage of systematic investors: CTAs are likely at their ~95th
percentile of equity exposure, Volatility targeting funds are
likely at maximum equity exposure, and other investors (such as
equity long-short and risk parity funds) also have above average
equity exposure and leverage. The impact of S&P 500 derivatives has been supporting the
market going higher in the first few days of this week (expiry
momentum)… …and will turn into a headwind next and the following week
(reversion of expiry effect, and reversion due to monthly/quarterly
rebalances).
$1.3T of S&P 500 options expire on Friday, and this will
change dealers’ positioning (half of the long gamma positions will
expire).
This can result in market volatility starting on Friday and
into next week.
Posted by sbaxman111 on 13th of Jun 2017 at 05:13 pm
For the first time since September 2014, after which oil
prices collapsed almost 75%,
Brent and WTI Crude futures both just flashed a 'death cross'
signal as the 50-day moving-average crossed below the
200-day moving-average.The crossover is typically seen a loss of
short-term momentum and last occurred in the second half of 2014,
when prices collapsed due to oversupply amid surging U.S.
shale oil production.
Posted by sbaxman111 on 13th of Jun 2017 at 03:37 pm
Tomorrow is yet another Fed Day — the third of 2017.
Prior to each Fed Day, Bespoke publishes an in-depth analysis
of the market’s historical performance on these extremely impactful
trading days. You’d be surprised to see just how much of the
market’s returns over the years have come from Fed Days, which
represent just 3% of all trading days.
As a taste, below is one of many tables and charts included
in our Fed Days report. It highlights the S&P 500’s
performance on Fed Days by month of the year going back to 1994
when the Fed began announcing policy decisions on the day of its
meetings. Unfortunately for market bulls, the S&P 500 has
been up on June Fed Days less than any other month of the year.
Keep that in mind heading into the trading day
tomorrow.
Posted by sbaxman111 on 12th of Jun 2017 at 10:26 am
The chart below shows the change in market cap last
Friday by sector. As shown, the overall index lost $23
billion in market cap, but that was nearly all due to losses in
Tech. Technology sector stocks lost a combined $142 billion
in market cap. The money that came out of Tech shifted right
into sectors like Financials, Energy, Health Care, Industrials,
Materials, Telecom, and Real Estate. All of these sectors saw
inflows, with Financials gaining the most at +$59.8 billion.
Energy saw the second biggest gain in market cap at $31.2
billion.
Posted by sbaxman111 on 10th of Jun 2017 at 12:33 am
The so-called "big five" — Apple
, Alphabet
Class A shares, Microsoft
,Facebook
and Amazon
— lost more than $97.5 billion in market value between the
close on Thursday and the close on Friday, according to FactSet,
dragging the Nasdaq to its worst week of the year.
Posted by sbaxman111 on 5th of Jun 2017 at 07:36 pm
Russell 2000 sentiment has sharply declined since January
, when future contract positioning reached record
bullishness.
It’s now the most short since May 2011.
In the four months following the May/June 2011 peak in shorts, the
Russell 2000 dropped almost 30%, as QE2 ended, as was
only rescued by the unleashing of Operation Twist...
The average stock in the S&P 500 right now is trading roughly
5% above its 200-day moving average. But a whopping 32% of
stocks in the index are more than 10% above their 200-DMAs.
That’s a healthy reading that shows just how strong equities
have been.
Posted by sbaxman111 on 24th of May 2017 at 01:02 pm
Of course Shiller is right that the market "can" go up 50%
from here - convenient though that he leaves out a time frame or a
date when it will happen. It could also go down 50% from here. He
(and let's throw Harry Dent's 35,000 Dow in here as well) has no
more ability to predict the timing of future market events on his
own, than Biff did in "Back To The Future 2".
The community is delayed by three days for non registered users.
bespoke - closing highs year by year
Posted by sbaxman111 on 20th of Jun 2017 at 04:12 pm
Jun 20, 2017
Yesterday’s rally in US equities took the S&P 500 to yet another new all-time closing high, which was the 24th such all-time closing high in 2017. With the year not quite half over, if the pace of the first six months keeps up in the second half, the S&P 500 would be poised for 51 all-time closing highs this year. Obviously a lot can change in the second half, and even a moderate pullback could halt the accumulation of new highs. Conversely, there was a two-month period of consolidation already this year where there were no new highs for the market, so if we see a slow steady grind higher in the second half, the number of new highs could really start to pile up.
The chart below shows the annual number of new all-time closing highs for the S&P 500 going back to 1929. Here, you can really see how a sharp pullback can really halt the frequency of new highs right in its track. After there were 45 new highs in 1929, it took 24 years until 1954 before the S&P 500 did it again. From that point on, the pace of new highs went in waves with many occurrences from the mid-1950s to mid-1960s and again in the 1980s and 1990s, while the pace slowed in the 1970s and 2000s. Since 2013 when the S&P 500 finally took out its pre-financial crisis highs, the pace has picked back up again. If the current pace of highs in the S&P 500 continues, and the S&P 500 closes at 50 or more all-time highs this year, it would rank in the top five of all years. In order to crack 1995’s all-time record of 77 for a single year, though, we would have to see one heck of a rally in the second half.
Roberts - Forward looking annual returns
Posted by sbaxman111 on 20th of Jun 2017 at 02:46 pm
Despite this simple reality, investors continue to chase stocks as if future returns over the next 10-years will be as profitable as the last 10-years. This most likely will not be the case.
ZH - 5-30 YEAR BOND RATIO
Posted by sbaxman111 on 20th of Jun 2017 at 02:42 pm
The difference in yield between Treasuries due in five years and those maturing in three decades tumbled Tuesday to as low as 96 basis points this morning, the narrowest since December 2007.
The last two times the US yield curve was this 'flat' (Mar 01, Dec 07), the US economy officially entered a recession.
Maudlin - worried about passive funds
Posted by sbaxman111 on 16th of Jun 2017 at 01:46 pm
http://www.mauldineconomics.com/editorial/heres-the-reason-active-funds-cant-beat-passive-fundsand-it-worries-me-a-lo
Levin Commentary on Quad Witching today
Posted by sbaxman111 on 16th of Jun 2017 at 12:30 pm
Quadruple Witching
Friday, June 16th, is a quadruple witching day in the markets. It is given this name because there are sectors of the market that will expire such as stock index futures, stock index options, stock options, and single stock futures. Since these options are expiring, all four of them should have elevated volume as traders roll out of the ending contract and buying or selling the next. Things could get interesting as it has been reported that $1.3 trillion of S&P options will come to an end. A very good “quant” analyst at JPMorgan, Marko Kolanovic, believes Friday and next week could see higher volatility because of the quadruple witching and especially the size of the S&P options expirations. His note to clients is below…
In our view, it will be difficult for the market to go much higher from these levels (~2,450) unless there is meaningful progress on US fiscal reform (i.e. tax cut). Current positioning of various investors is already quite high and that poses additional risk going into weak seasonals. Low volatility and positive price momentum resulted in high leverage of systematic investors: CTAs are likely at their ~95th percentile of equity exposure, Volatility targeting funds are likely at maximum equity exposure, and other investors (such as equity long-short and risk parity funds) also have above average equity exposure and leverage. The impact of S&P 500 derivatives has been supporting the market going higher in the first few days of this week (expiry momentum)… …and will turn into a headwind next and the following week (reversion of expiry effect, and reversion due to monthly/quarterly rebalances).
$1.3T of S&P 500 options expire on Friday, and this will change dealers’ positioning (half of the long gamma positions will expire).
This can result in market volatility starting on Friday and into next week.
NDX - 50 day line is in play
Posted by sbaxman111 on 15th of Jun 2017 at 02:14 pm
WTI Death Cross
Posted by sbaxman111 on 13th of Jun 2017 at 05:13 pm
For the first time since September 2014, after which oil prices collapsed almost 75%, Brent and WTI Crude futures both just flashed a 'death cross' signal as the 50-day moving-average crossed below the 200-day moving-average.The crossover is typically seen a loss of short-term momentum and last occurred in the second half of 2014, when prices collapsed due to oversupply amid surging U.S. shale oil production.
Bespoke - S&P on Fed Days
Posted by sbaxman111 on 13th of Jun 2017 at 03:37 pm
Tomorrow is yet another Fed Day — the third of 2017. Prior to each Fed Day, Bespoke publishes an in-depth analysis of the market’s historical performance on these extremely impactful trading days. You’d be surprised to see just how much of the market’s returns over the years have come from Fed Days, which represent just 3% of all trading days.
As a taste, below is one of many tables and charts included in our Fed Days report. It highlights the S&P 500’s performance on Fed Days by month of the year going back to 1994 when the Fed began announcing policy decisions on the day of its meetings. Unfortunately for market bulls, the S&P 500 has been up on June Fed Days less than any other month of the year. Keep that in mind heading into the trading day tomorrow.
Bespoke - rotation out of tech
Posted by sbaxman111 on 12th of Jun 2017 at 10:26 am
The chart below shows the change in market cap last Friday by sector. As shown, the overall index lost $23 billion in market cap, but that was nearly all due to losses in Tech. Technology sector stocks lost a combined $142 billion in market cap. The money that came out of Tech shifted right into sectors like Financials, Energy, Health Care, Industrials, Materials, Telecom, and Real Estate. All of these sectors saw inflows, with Financials gaining the most at +$59.8 billion. Energy saw the second biggest gain in market cap at $31.2 billion.
A difference
Posted by sbaxman111 on 10th of Jun 2017 at 12:42 am
“The difference between playing the stock market and the horses is that one of the horses
must win..” – Joseph Abramowitz
Big 5 tech stocks $ Friday loss
Posted by sbaxman111 on 10th of Jun 2017 at 12:33 am
The so-called "big five" — Apple , Alphabet Class A shares, Microsoft , Facebook and Amazon — lost more than $97.5 billion in market value between the close on Thursday and the close on Friday, according to FactSet, dragging the Nasdaq to its worst week of the year.
Investing Fact
Posted by sbaxman111 on 7th of Jun 2017 at 11:41 am
Brokers Believe In One Cycle And That’s “Bull.”
Bespoke Chart
Posted by sbaxman111 on 6th of Jun 2017 at 10:39 am
R 2000 Futures Now the most short since 2011
Posted by sbaxman111 on 5th of Jun 2017 at 07:36 pm
Russell 2000 sentiment has sharply declined since January , when future contract positioning reached record bullishness. It’s now the most short since May 2011.
In the four months following the May/June 2011 peak in shorts, the Russell 2000 dropped almost 30%, as QE2 ended, as was only rescued by the unleashing of Operation Twist...
And with the Fed balance sheet set to be 'normalized' and rate-hikes coming no matter what, one wonders what would save stocks this time?
Bespoke - stocks above 200 day line
Posted by sbaxman111 on 30th of May 2017 at 12:13 pm
The average stock in the S&P 500 right now is trading roughly 5% above its 200-day moving average. But a whopping 32% of stocks in the index are more than 10% above their 200-DMAs. That’s a healthy reading that shows just how strong equities have been.
Shiller says market can go up 50% from here
Shiller says market can go up 50% from here
Posted by sbaxman111 on 24th of May 2017 at 01:02 pm
Of course Shiller is right that the market "can" go up 50% from here - convenient though that he leaves out a time frame or a date when it will happen. It could also go down 50% from here. He (and let's throw Harry Dent's 35,000 Dow in here as well) has no more ability to predict the timing of future market events on his own, than Biff did in "Back To The Future 2".
Bespoke - Fang influence on the S&P
Posted by sbaxman111 on 23rd of May 2017 at 10:19 am
First 15 yrs - AMZN vs NFLX
Posted by sbaxman111 on 22nd of May 2017 at 01:31 pm
GLOBAL EQUITIES lost almost $1 trillion on Weds
Posted by sbaxman111 on 19th of May 2017 at 05:13 pm
After reaching a record market cap of $74.1 trillion this week, global equities saw almost $1 trillion evaporate in a single day...
As Bloomberg notes, concern over Donald Trump’s administration and a political crisis in Brazil pushed the MSCI All-Country World Index down 1.5 percent in the past two days, the most since September.
The last time that happened, it took about three months for shares to recover the value lost.
Apple Cash
Posted by sbaxman111 on 17th of May 2017 at 04:43 pm
In the last three months of 2016, Apple racked up new cash at a rate of about $3.6 million an hour. -The Wall Street Journal, April 30,2017