RSS feeds&p 500
’A quick US morning market round-up
“This isn’t a flight to quality, it’s a flight from disaster.” [Via Bloomberg]
That, from Colin Embree from Bank of Nova Scotia Asia, sums up movements on Tuesday morning.
The S&P was down 1.8 per cent at 1,272 at pixel time.
Gaddafi’s market – US edition
Spotted: Vix, the ‘fear gauge’, up nearly 28 per cent on Tuesday.
A 2011 Egyptian revolution-encompassing high. (Though still way below 2010 eurozone-crisis levels.) According to VelocityShares,
Oil spikes, shocks and stocks
With oil on the rise, what next for equity markets?
That’s the question KBW try to answer in a note out on Monday. The analysts look for correlations over the last 50 years between big (ten and 20 per cent quarter on quarter) WTI rises and changes in the S&P500 and the Keefe Bank Index.
Correlation trading and the WTI-Brent spread
Another day, and another widening in the WTI-Brent front-month future spread — this time to what looks to be approaching record wides.
The spread hit as much as -9.50 on Monday and according to Bloomberg data the record for the differential stands at -10.67,
Rally monkey (means) business
The festive rally monkey rears its noggin in time for Christmas.
Here’s the S&P 500 shooting up to pre-Lehman levels:
Which means here comes the gurning, gyrating gibbon:
Related link:
The QE2 Vix untwist
Kathleen Brooks, research director at Gain Capital, warned on Wednesday how a quantitative easing boost from the Fed would, most likely, reverse a recent and unusual trend in the Vix Index.
As she explained,
Correlating causality, QE2 edition
From a Deutsche Bank note on equities (click to enlarge chart):
And another chart (also click to enlarge):
Oh, and a FT Alphaville health warning on correlation and causality.
S&P 500 curiosity, du jour
Given Monday’s mini flash crash in the SPY S&P 500 ETF — one of the most traded securities in the United States –we thought the following datapoint might be worth flagging up.
Via LPL Financial:
Did nobody ever consider that indexing was dangerous?
Here’s one for a spirited debate.
A new paper from the National Bureau of Economic Research by Jeffrey Wurgler, Nomura professor of finance at New York University, discusses the potentially overlooked perils of indexing.
Momentum, value, and the long term
Included in last week’s thoughtful paper by Andrew Haldane, the Bank of England’s executive director of financial stability, was this chart:
The chart purports to show the advantage of a momentum investment strategy against a value strategy with a one-month holding period,
Are stock prices still too high?
So long as we’re looking at long-term home values, we may as well continue the history lesson by also observing the last century-plus of stock market performance.
And, err, the lesson is roughly the same:
Cor blimey … Correlation
Type JCJ <Index> GP <GO> on your Bloomberg.
You’ll get a chart that looks like this:
It’s the CBOE’s S&P 500 Implied Correlation Index — based on options expiring in January 2011.
Fed up
And the early US market take on the Federal Reserve’s latest policy shift was…
Oh dear. European bourses, by comparison, had already given up the fight:
All this after USDJPY ploughing a 15-year low plus some deflated Treasuries.
Nothing fundamental about this rally
What has really caused this?
. . . and this?
(Note the S&P 500 is now 7.1 per cent above the 10-month low reached on Payrolls Friday 12 days ago and just around 1.5 per cent away from its 200-day moving average).
M-m-m-meltdown
Gloom and doom on Thursday for stock markets after poor US jobs and PMI data:
Cheer up — the double dip might never happen. Well, on second thought…
Risk on, but why?
Send for the rally monkey? The FTSE 100 is on course for a sixth straight session of gains, while the S&P 500 closed above its 200-day for the first time in a nearly a month.
(Other markets are up too:
Prepare for flash crash II and $10 trillion of QE
Plenty of gems in the latest missive from Bob Janjuah.
Aside from the above, the RBS strategist believes the market is starting to realise just how daft the consensus views for global growth and corporate earnings are:
Two thirds of the way…
…to a fresh bear market. Major US indices after Friday’s rout:
Related links:
US jobs data cast doubt on recovery – FT
It’s time…
… for this.
At pixel time the FTSE 100 was up 150 points, and the S&P 500 up 20 points.
AN ÜBER BEAR EARLY WARNING ALERT
The use of “Caps Lock” can only mean one thing — Bob ‘the bear’ Janjuah is back.
And his latest missive — the first since the euro meltdown — does not dissapoint.
Dear All
I am deeply troubled by the world and markets.
So far, it’s a bad start to America’s trading day
A grim open for US markets on Friday, after earlier European gloom. Flashes, via Reuters:
RTRS-S&P 500 DOWN 10.77 POINTS, OR 1.01 PERCENT, AT 1,060.82 AFTER MARKET OPEN
RTRS-NASDAQ DOWN 30.39 POINTS,
The dead, dead cat bounce
Oh dear. Equities got ugly again on Friday.
First, the FTSE 100, which dropped 200 points before climbing back to -175 at pixel time, as this chart shows:
Elsewhere, via Reuters:
RTRS- NASDAQ FALLS 3 PCT
RTRS-S&P 500,
Nasdaq – “It wasn’t us”
From a press release issued by the US exchange on Friday:
The NASDAQ Stock Market Had No Technology or System Issues Associated With Yesterday’s Trading Between 2:00 and 3:00 p.m. Eastern Time.
Got that?
The NASDAQ OMX Group,
Citigroup: Don’t buy this dip
As the market tries to figure out what the hell happened after 14.00 EST on Thursday — was it the trading robots or a fat finger — Tobias Levkovich of Citigroup has issued a warning to clients:
In the S&P 500 over time,
UBS and its 1,350 S&P target
That’s right — the equity market recovery/rebound/dead cat bounce (delete as appropriate) has got further to run, UBS says.
The reason? “A more constructive view on earnings”, according to the Swiss bank:
S&P euro index arbitrage at work
Here’s one for all those would-be algo traders out there – the euro-denominated e-mini S&P 500 contract, has seen a sudden and unexpected upsurge in trading in the last few days.
Here’s a breakdown of recent activity courtesy of the CME:
Bob the Bull
Clearly Bob Janjuah’s guest editing slot on Alphaville has had a profound effect.
He’s turned bullish!
I know I will always be labelled a perma-bear, and I have given up on the idea that (at least some) folks will ever understand/appreciate that occasionally I do make bullish calls (most notably early in 2009!).