Data Diary

A couple of interesting charts that emerged from a shuffle through the filing cabinets this morning. 1) BIX relative to SPX – looks suspiciously like the S&P500 financials are setting up to outperform the broader index. The trend break in the RSI is one prerequisite that has been checked recently: Trying to reason how this [...]

The flight to cash seems to have begun again in earnest. And the biggest, scariest trend is the acceleration in deleveraging. Just as the 2008-08 selloff was fuelled by forced selling by margined investors, this time it is the banks themselves that are being squeezed out of their positions.  Until the Europeans find a circuit breaker, [...]

The European crisis of confidence continues to undermine world markets. Looking at breadth measures in the US equity markets, there is still no signs that selling has reached its climax. If anything, the weakness remains very widely spread. From a valuation perspective, it is likely that this widespread weakness is throwing up opportunities to accumulate [...]

Watching the panic pervade our market this week I was sorely tempted to pick up a few large cap stocks that were pushing pre-tax dividend yields of ~15%. In hindsight it might have been opportune to do so. Yet, I’m of the view that we haven’t seen the full extent of this unwind. Exhibit 1 [...]

Much like my hairline, the number of stocks covering the bald patch in US equities continues to thin… Last time we looked at this chart (1st June here), equities were about to dip lower. Now with the European mess behind us, equities have all but recovered that lost ground. It’s just that this has been [...]

China’s latest flash PMI data was not good (via Markit here) – if the trend continues, next month will see China on the wrong side of the ledger: You’d think that weakness in the China growth engine would be reflected in commodities prices – but the charts would suggest otherwise.  Consider that bellweather of commodity [...]

As a sucker for a crusty cliche, I was a natural to work in finance. It’s as much the refuge of  ’euphemism, question-begging and sheer cloudy vagueness‘ as any political stamping ground. So you’ll understand my intent when I say “it’s different this time”. No really, it is. Consider the following chart of the VIX and [...]

We’ve been noting how breadth continues to contract on the NYSE – as the market seeks to overtake the most recent highs, it is once again being driven by fewer and fewer leaders (for background on breadth see here). To my way of thinking, weakening breadth is a reflection of progressively more companies bumping up against [...]

Updating various charts and thought this was interesting. Comparing the recent price action of the VIX to that of the S&P500 suggests that option traders have not anticipated the recent price weakness in the equity index. The markets complacency can also be gauged by the CBOE Put/Call ratio that looks suspiciously like it has recently [...]

We had a look at a VIX derived forecast for the S&P500 a couple of weeks ago (here). With the snapping in volatility over the last couple of days, we finally get a decisive break in the chart: Volatility has now officially joined the QE trade – as near term vol has been sold aggressively [...]