Showing posts with label equities. Show all posts
Showing posts with label equities. Show all posts
Wednesday, November 25, 2015
S&P500 - Price vs Volume - September 2011 to November 2015
Given that the so-called Black Monday of 2011-08-08 (where the markets responded to a downgrade of the US long term credit rating by Standard and Poors) is an extreme event, and arguably marks the next phase of the market, there is some sense in looking at the quality of the market there after.
Volume evaporates on at least two occasions around the current maximums, suggesting that barring further external intervention, we may have reached genuine peak. On the other hand, volume spikes at the support level...
Tuesday, November 24, 2015
In Case You Weren't Paying Attention... Black Monday August 8 2011 - US Credit DownGrade by S&P
So, while I did make a very small amount of money going long in equities starting in 2009, I haven't been an active participant in the markets for some time. I have been acquiring a bricks-and-morter investment in what English law traditionally referred to as the real portion of one's estate.
The upshot of this is that I (somewhat intentionally) haven't been paying very close attention to the financial markets up until very recently, although this is potentially set to change, as I have had a sneaky feeling that things are about to get interesting, and that means potentially profitable!
The previous post asks whether the long-running (since May 2009) global bull market in equities, and more specifically the bull market in US equities, is either set to break, or has already broken.
Looking back, it seems clear that some event in late 2011 resulted in monetary authorities engaging in prolonged material intervention, as evidenced by the unwavering uptrend in equities.
My first guess was that it was the threat of Greece exiting the European Monetary Union (the so-called grexit) that was the catalyst. Looking back at the data, it may also be S&P's downgrade of the US's long term credit rating that was the canary in the coal-mine that triggered a new wave of monetary intervention.
Looking at the intra-day range (100% * (high - low) / close) of the S&P500 index, arguably the simplest metric of volatility, for the period starting around the post-2008 crash lows (March 2009) to present (Nov 2015).
If we arbitrarily consider only days where the intraday range is 4% or greater, the following periods of heightened volatility emerge:
2009 March - April
2011 August - November
2015 August
2009 March
2009-03-02 - 4.262150052795297
2009-03-05 - 4.445095597392138
2009-03-06 - 4.726506482484133
2009-03-10 - 5.603112840466933
2009-03-12 - 5.044356235181288
2009-03-18 - 4.708252029961601
2009-03-23 - 6.204734360569685
2009-03-25 - 4.3507642404285605
2009 April
2009-04-20 - 4.310479462751835
2011 August
2011-08-04 - 5.057204996375217
2011-08-05 - 4.170488085510845
2011-08-08 - 7.074839654833585 ! THE BIG ONE !
2011-08-09 - 6.084279293493569
2011-08-10 - 4.796745065848174
2011-08-11 - 5.542195388183927
2011-08-18 - 5.136544952439391
2011 September October November
2011-09-22 - 4.455717270441582
2011-10-04 - 4.4797366430890975
2011-11-30 - 4.0410277795598795
August 2015
2015-08-24 - 5.183789226851636
2015-08-25 - 4.334956637105361
So, looking into it, August volatility is clearly on the magnitude of a market top or bottom.
Looking further back, 2011-08-08 is the most volatile day for the period, and this is what the wikipedia summary for that day has to say:
In finance and investing, Black Monday 2011 refers to August 8, 2011, when US and global stock markets crashed[1] following the Friday night credit rating downgrade by Standard and Poor's of the United States sovereign debt from AAA, or "risk free", to AA+.[2] It was the first time in history the United States was downgraded.[3] Moody's issued a report during morning trading which said their AAA rating of U.S. credit was in jeopardy, this after issuing a negative outlook in the previous week.[4]
By market close, the Dow Jones Industrial Average lost 634.76 points (-5.55%) to close at 10,809.85, making it the 6th largest drop of the index in history.[5] Black Monday 2011 followed just one trading day behind the 10th largest drop of the Dow Jones Index, a 512.76 (-4.31%) drop on August 4, 2011.
...
The greater context of this being that the US politicans were engaged in a farcical performance wherein it was pretended that US government has any option other than to print more money.
The upshot of this is that I (somewhat intentionally) haven't been paying very close attention to the financial markets up until very recently, although this is potentially set to change, as I have had a sneaky feeling that things are about to get interesting, and that means potentially profitable!
The previous post asks whether the long-running (since May 2009) global bull market in equities, and more specifically the bull market in US equities, is either set to break, or has already broken.
Looking back, it seems clear that some event in late 2011 resulted in monetary authorities engaging in prolonged material intervention, as evidenced by the unwavering uptrend in equities.
My first guess was that it was the threat of Greece exiting the European Monetary Union (the so-called grexit) that was the catalyst. Looking back at the data, it may also be S&P's downgrade of the US's long term credit rating that was the canary in the coal-mine that triggered a new wave of monetary intervention.
Looking at the intra-day range (100% * (high - low) / close) of the S&P500 index, arguably the simplest metric of volatility, for the period starting around the post-2008 crash lows (March 2009) to present (Nov 2015).
If we arbitrarily consider only days where the intraday range is 4% or greater, the following periods of heightened volatility emerge:
2009 March - April
2011 August - November
2015 August
2009 March
2009-03-02 - 4.262150052795297
2009-03-05 - 4.445095597392138
2009-03-06 - 4.726506482484133
2009-03-10 - 5.603112840466933
2009-03-12 - 5.044356235181288
2009-03-18 - 4.708252029961601
2009-03-23 - 6.204734360569685
2009-03-25 - 4.3507642404285605
2009 April
2009-04-20 - 4.310479462751835
2011 August
2011-08-04 - 5.057204996375217
2011-08-05 - 4.170488085510845
2011-08-08 - 7.074839654833585 ! THE BIG ONE !
2011-08-09 - 6.084279293493569
2011-08-10 - 4.796745065848174
2011-08-11 - 5.542195388183927
2011-08-18 - 5.136544952439391
2011 September October November
2011-09-22 - 4.455717270441582
2011-10-04 - 4.4797366430890975
2011-11-30 - 4.0410277795598795
August 2015
2015-08-24 - 5.183789226851636
2015-08-25 - 4.334956637105361
So, looking into it, August volatility is clearly on the magnitude of a market top or bottom.
Looking further back, 2011-08-08 is the most volatile day for the period, and this is what the wikipedia summary for that day has to say:
In finance and investing, Black Monday 2011 refers to August 8, 2011, when US and global stock markets crashed[1] following the Friday night credit rating downgrade by Standard and Poor's of the United States sovereign debt from AAA, or "risk free", to AA+.[2] It was the first time in history the United States was downgraded.[3] Moody's issued a report during morning trading which said their AAA rating of U.S. credit was in jeopardy, this after issuing a negative outlook in the previous week.[4]
By market close, the Dow Jones Industrial Average lost 634.76 points (-5.55%) to close at 10,809.85, making it the 6th largest drop of the index in history.[5] Black Monday 2011 followed just one trading day behind the 10th largest drop of the Dow Jones Index, a 512.76 (-4.31%) drop on August 4, 2011.
...
The greater context of this being that the US politicans were engaged in a farcical performance wherein it was pretended that US government has any option other than to print more money.
Friday, October 9, 2015
Has the US Equity Bull Market Trend Collapsed ?
That's the question that I want to investigate.
Without bothering to define quantitatively what a bull market is, it's intuitively clear that one began in March 2009, which was the bottom of the commodities/credit/equity crash which took place from roughly 2006 to 2009, and continued on until at least August 2015 - a period of approximately 6 years and 6 months.
 | |
| S&P500 Index Close Mar 2009 to October 2015 |
The first task is to break this down into successive phases.
The first phase is probably best defined as the period from the March 2009 bottom to the May 2010 flash crash. This consists of 4 up waves, with the 3rd faltering, and the 4th terminating in the May 2010 flash crash.
The next phase runs from the May 2010 flash crash, to the August 2011 greek euro exit related crash.
From the late 2011 GREXIT collapse, the price index exhibits 2 final bull waves, the first ending with 2012, and the second with a rather dramatic collapse around October 2014.
The final phase, it can be argued, is really more sidewise than directional, although overall still bullish, up until August 2015 - where a high volume crash is experienced.
Monday, October 3, 2011
The Slope - Trading Horizon @ 3 October 2011
The major US indices are down, with the S&P500 index being around 1105, down 2.3% on the day.
This is inline with the recent trend of the last 5 straight days.
Reuters:
[ The Good Ship Dexia Beaches near the Shores of Normandy ] Banks slumped after a 10 percent fall in shares of Franco-Belgian financial group Dexia. The company is highly exposed to Greek loans and it highlighted concerns about the extent to which a default in Athens would damage already fragile European banks.
[ Some story about a Bunch of Honest Cretans ] Greece admitted it will miss its deficit targets this year, which could make the country unable to receive more international aid and run out of cash.
[ Meanwhile, back in the fatherland, Bank Of America and Morgan Stanley are about to require some expensive life support if they are to survive the Greek default (Note of thanks to the desk at Goldman Sachs which planted the derivative timebomb in the basement of the less-than-dextrous aforementioned European bank, within the circle of the European monetary union) ] U.S. banks including Morgan Stanley and Bank of America have all seen their credit default swap costs jump as other banks hedge their counterparty exposures and speculative traders bet on the situation worsening.
[ Margin Stanley ] Morgan Stanley has been the most volatile name in recent weeks, with the cost of insuring its debt rising to levels not seen since November 2008, according to Markit data. [ may be being circled by hedge fund vultures ] "Everyone is looking at the Morgan Stanleys of the world, looking at their CDS gapping up here," said David Lutz, managing director of trading, Stifel Nicolaus Capital Markets in Baltimore.
This is inline with the recent trend of the last 5 straight days.
Reuters:
[ The Good Ship Dexia Beaches near the Shores of Normandy ] Banks slumped after a 10 percent fall in shares of Franco-Belgian financial group Dexia. The company is highly exposed to Greek loans and it highlighted concerns about the extent to which a default in Athens would damage already fragile European banks.
[ Some story about a Bunch of Honest Cretans ] Greece admitted it will miss its deficit targets this year, which could make the country unable to receive more international aid and run out of cash.
[ Meanwhile, back in the fatherland, Bank Of America and Morgan Stanley are about to require some expensive life support if they are to survive the Greek default (Note of thanks to the desk at Goldman Sachs which planted the derivative timebomb in the basement of the less-than-dextrous aforementioned European bank, within the circle of the European monetary union) ] U.S. banks including Morgan Stanley and Bank of America have all seen their credit default swap costs jump as other banks hedge their counterparty exposures and speculative traders bet on the situation worsening.
[ Margin Stanley ] Morgan Stanley has been the most volatile name in recent weeks, with the cost of insuring its debt rising to levels not seen since November 2008, according to Markit data. [ may be being circled by hedge fund vultures ] "Everyone is looking at the Morgan Stanleys of the world, looking at their CDS gapping up here," said David Lutz, managing director of trading, Stifel Nicolaus Capital Markets in Baltimore.
Monday, August 8, 2011
8 August 2011 - S&P Down 6.66%
So this is what having your sovereign debt rating downgraded from AAA status looks like:
Monday, December 27, 2010
Mon 27 Dec 2010 - Chinese Equities Fall
SSE - The Shanghai Composite Index - closed 1.9% down on the day, in apparent response to the earlier-than-expected rate increase announced by the Chinese central bank on Christmas day.
The effect of the negative news is compounded by the reduction in equity market liquidity resulting from recent successive reserve-ratio increases.
China stocks fall after central bank's weekend rate hike, amid speculation more hikes to come
CHINA MARKETS-Chinese stocks fall as rate rise reality sets in
CHINA MARKETS-Chinese stocks fall as rate rise reality sets in
Stocks, U.S. Futures Fall on China Rate Concern; Treasuries Drop
China stocks close down – Dec 27
25 Dec 2010 - Chinese Central Bank Raises Prime Rate
China Raises Rates
Yahoo Finance news
---
2010-01-07
http://www.reuters.com/article/idUSTRE7060SD20110107?loomia_ow=t0:s0:a49:g43:r4:c0.032727:b40798056:z0
China Money: Bank reserves turn top weapon in liquidity fight
The effect of the negative news is compounded by the reduction in equity market liquidity resulting from recent successive reserve-ratio increases.
China stocks fall after central bank's weekend rate hike, amid speculation more hikes to come
CHINA MARKETS-Chinese stocks fall as rate rise reality sets in
CHINA MARKETS-Chinese stocks fall as rate rise reality sets in
Stocks, U.S. Futures Fall on China Rate Concern; Treasuries Drop
China stocks close down – Dec 27
25 Dec 2010 - Chinese Central Bank Raises Prime Rate
China Raises Rates
Yahoo Finance news
---
2010-01-07
http://www.reuters.com/article/idUSTRE7060SD20110107?loomia_ow=t0:s0:a49:g43:r4:c0.032727:b40798056:z0
China Money: Bank reserves turn top weapon in liquidity fight
SSE Composite Index
Wikipedia:
The SSE Composite Index (Chinese: 上海证券交易所综合股价指, 简称上证综指) is an index of all stocks (A shares and B shares) that are traded at the Shanghai Stock Exchange.
Price Graphs
Google Finance
Sina[Chinese]
The SSE Composite Index (Chinese: 上海证券交易所综合股价指, 简称上证综指) is an index of all stocks (A shares and B shares) that are traded at the Shanghai Stock Exchange.
Price Graphs
Google Finance
Sina[Chinese]
Wednesday, July 21, 2010
Yahoo Finance Symbols
Assorted equity index ticker symbols for Yahoo Finance
SYMBOL INDEX
-------------------------------------
^GSPC us S&P500
^IXIC us NASDAQ Composite
^DJI us DOW-JONES
^FTSE uk FTSE100
^FCHI french CAC40
^GDAXI german DAX
^N225 japanese NIKKEI
SSE chinese SHANGHAI COMPOSITE
^HSI hong-kong HANG-SENG
Sunday, July 18, 2010
List of Symbols of Companies on the S&P500
comma-separated-values
as at April 1 2010
taken from wikipedia page 2010-07-18
MMM,ABT,ANF,ADBE,AMD,AES,AET,AFL,A,APD,ARG,AKS,AKAM,AA,AYE,ATI,AGN,ALL,ALTR,MO,AMZN,AEE,AEP,AXP,AIG,AMT,AMP,ABC,AMGN,APH,APC,ADI,AON,APA,AIV,APOL,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVB,AVY,AVP,BHI,BLL,BAC,BK,BCR,BAX,BBT,BDX,BBBY,BMS,BRK.B,BBY,BIG,BIIB,HRB,BMC,BA,BXP,BSX,BMY,BRCM,BF.B,CHRW,CA,COG,CAM,CPB,COF,CAH,CFN,CCL,CAT,CBG,CBS,CELG,CNP,CTL,CEPH,CERN,CF,SCHW,CHK,CVX,CB,CI,CINF,CTAS,CSCO,C,CTXS,CLF,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CMCSA,CMA,CSC,CPWR,CAG,COP,CNX,ED,STZ,CEG,CBE,GLW,COST,CVH,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DF,DE,DELL,DNR,XRAY,DVN,DV,DO,DTV,DFS,DISCA,D,RRD,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,EK,ETN,EBAY,ECL,EIX,EP,ERTS,EMC,EMR,ETR,EOG,EQT,EFX,EQR,EL,EXC,EXPE,EXPD,ESRX,XOM,FDO,FAST,FII,FDX,FIS,FITB,FHN,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,F,FRX,FO,BEN,FCX,FTR,GME,GCI,GPS,GD,GE,GIS,GPC,GNW,GENZ,GILD,GS,GR,GT,GOOG,GWW,HAL,HOG,HAR,HRS,HIG,HAS,HCP,HCN,HNZ,HP,HES,HPQ,HD,HON,HRL,HSP,HST,HCBK,HUM,HBAN,ITW,TEG,INTC,ICE,IBM,IFF,IGT,IP,IPG,INTU,ISRG,IVZ,IRM,ITT,JBL,JEC,JNS,JDSU,JNJ,JCI,JPM,JNPR,K,KEY,KMB,KIM,KG,KLAC,KSS,KFT,KR,LLL,LH,LM,LEG,LEN,LUK,LXK,LIFE,LLY,LTD,LNC,LLTC,LMT,L,LO,LOW,LSI,MTB,M,MRO,MAR,MMC,MI,MAS,MEE,MA,MAT,MFE,MKC,MCD,MHP,MCK,MJN,MWV,MHS,MDT,WFR,MRK,MDP,MET,PCS,MCHP,MU,MSFT,MIL,MOLX,TAP,MON,MWW,MCO,MS,MOT,MUR,MYL,NBR,NDAQ,NOV,NSM,NTAP,NYT,NWL,NEM,NWSA,NEE,GAS,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NU,NOVL,NVLS,NRG,NUE,NVDA,NYX,ORLY,OXY,ODP,OMC,OKE,ORCL,OI,PCAR,PTV,PLL,PH,PDCO,PAYX,BTU,JCP,PBCT,POM,PEP,PKI,PFE,PCG,PM,PNW,PXD,PBI,PCL,PNC,RL,PPG,PPL,PX,PCP,PFG,PG,PGN,PGR,PLD,PRU,PEG,PSA,PHM,QLGC,PWR,QCOM,DGX,STR,Q,RSH,RRC,RTN,RHT,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RDC,R,SWY,SAI,CRM,SNDK,SLE,SCG,SLB,SNI,SEE,SHLD,SRE,SHW,SIAL,SPG,SLM,SII,SJM,SNA,SO,LUV,SWN,SE,S,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,SUN,STI,SVU,SYMC,SYY,TROW,TGT,TE,TLAB,THC,TDC,TER,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TIE,TJX,TMK,TSS,TSN,USB,UNP,UNH,UPS,X,UTX,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VZ,VIAb,V,VNO,VMC,WMT,WAG,DIS,WPO,WM,WAT,WPI,WLP,WFC,WDC,WU,WY,WHR,WFMI,WMB,WIN,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,YHOO,YUM,ZMH,ZION,
as at April 1 2010
taken from wikipedia page 2010-07-18
MMM,ABT,ANF,ADBE,AMD,AES,AET,AFL,A,APD,ARG,AKS,AKAM,AA,AYE,ATI,AGN,ALL,ALTR,MO,AMZN,AEE,AEP,AXP,AIG,AMT,AMP,ABC,AMGN,APH,APC,ADI,AON,APA,AIV,APOL,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVB,AVY,AVP,BHI,BLL,BAC,BK,BCR,BAX,BBT,BDX,BBBY,BMS,BRK.B,BBY,BIG,BIIB,HRB,BMC,BA,BXP,BSX,BMY,BRCM,BF.B,CHRW,CA,COG,CAM,CPB,COF,CAH,CFN,CCL,CAT,CBG,CBS,CELG,CNP,CTL,CEPH,CERN,CF,SCHW,CHK,CVX,CB,CI,CINF,CTAS,CSCO,C,CTXS,CLF,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CMCSA,CMA,CSC,CPWR,CAG,COP,CNX,ED,STZ,CEG,CBE,GLW,COST,CVH,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DF,DE,DELL,DNR,XRAY,DVN,DV,DO,DTV,DFS,DISCA,D,RRD,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,EK,ETN,EBAY,ECL,EIX,EP,ERTS,EMC,EMR,ETR,EOG,EQT,EFX,EQR,EL,EXC,EXPE,EXPD,ESRX,XOM,FDO,FAST,FII,FDX,FIS,FITB,FHN,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,F,FRX,FO,BEN,FCX,FTR,GME,GCI,GPS,GD,GE,GIS,GPC,GNW,GENZ,GILD,GS,GR,GT,GOOG,GWW,HAL,HOG,HAR,HRS,HIG,HAS,HCP,HCN,HNZ,HP,HES,HPQ,HD,HON,HRL,HSP,HST,HCBK,HUM,HBAN,ITW,TEG,INTC,ICE,IBM,IFF,IGT,IP,IPG,INTU,ISRG,IVZ,IRM,ITT,JBL,JEC,JNS,JDSU,JNJ,JCI,JPM,JNPR,K,KEY,KMB,KIM,KG,KLAC,KSS,KFT,KR,LLL,LH,LM,LEG,LEN,LUK,LXK,LIFE,LLY,LTD,LNC,LLTC,LMT,L,LO,LOW,LSI,MTB,M,MRO,MAR,MMC,MI,MAS,MEE,MA,MAT,MFE,MKC,MCD,MHP,MCK,MJN,MWV,MHS,MDT,WFR,MRK,MDP,MET,PCS,MCHP,MU,MSFT,MIL,MOLX,TAP,MON,MWW,MCO,MS,MOT,MUR,MYL,NBR,NDAQ,NOV,NSM,NTAP,NYT,NWL,NEM,NWSA,NEE,GAS,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NU,NOVL,NVLS,NRG,NUE,NVDA,NYX,ORLY,OXY,ODP,OMC,OKE,ORCL,OI,PCAR,PTV,PLL,PH,PDCO,PAYX,BTU,JCP,PBCT,POM,PEP,PKI,PFE,PCG,PM,PNW,PXD,PBI,PCL,PNC,RL,PPG,PPL,PX,PCP,PFG,PG,PGN,PGR,PLD,PRU,PEG,PSA,PHM,QLGC,PWR,QCOM,DGX,STR,Q,RSH,RRC,RTN,RHT,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RDC,R,SWY,SAI,CRM,SNDK,SLE,SCG,SLB,SNI,SEE,SHLD,SRE,SHW,SIAL,SPG,SLM,SII,SJM,SNA,SO,LUV,SWN,SE,S,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,SUN,STI,SVU,SYMC,SYY,TROW,TGT,TE,TLAB,THC,TDC,TER,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TIE,TJX,TMK,TSS,TSN,USB,UNP,UNH,UPS,X,UTX,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VZ,VIAb,V,VNO,VMC,WMT,WAG,DIS,WPO,WM,WAT,WPI,WLP,WFC,WDC,WU,WY,WHR,WFMI,WMB,WIN,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,YHOO,YUM,ZMH,ZION,
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