Monday, September 29, 2014

JANUS - The Two-faced GOD

The definition of NT Taleb's Black Swan is a material event causing a shock that should have been foreseen. Gross's departure was probably imminent but is sending shock waves throughout the bond and ETF markets.

  Sentiment: Standouts from last week in the Sentiment area include halitosis (bad breadth) in both NYSE and Nasdaq, as well as new highs and lows, despite the great Friday rally!  Insider selling by sector was huge, but so was the buying, so that the S/B ratio came down to 25:1 from 61 the previous week.
The McClellan Oscillator, a fairly fast-twitch indicator, closed at minus 43, a BUY signal for Monday. Again, in spite of Friday's big UP day, the VIX closed up nearly 3 points w/w.  The S&P500 COT (Traders') large guys reversed from 11k to only 1k, while the small guys (dumb money?) reversed to Bullish from minus 22k to plus 35k! The two-year Treas. hit a new recent high in yield to 0.58%.
*note:  I shall be on vacay next week, away from electronic thingees.
Here are the numbers:

Date> 9/26/2014 9/19/2014
Indices: DJIA  17113 17279
  NAZ  4512 4579
SPX  1982 2010
WklyVolume (Bshs). naz/ny 9.0/3.5 10.1/4.4
Specul.Ratio hi=bullish 2.57 2.3
Sentiment: put/call-CBOE  69 60
VIX>50-alltmlow=8.8 14.9 12.1
Advance/Dec-NYSE.. 646/2592 1604/1622
Weekly Net: -1946 -18
     Cumulative: 161903 163849
Weekly  NYSE hi/low 88/315 209/187
New Hi's/Low's Nasdaq h/l 95/322 174/232
McClellan  Oscillator -43 -28
McClellanSum .+750/-1000 -55 248
Newsletter Inv.Intel -Bull:tues 48 52.5
Surveys Bear:-5yrs 15.3 15.2
AAII  -Bull :wed. 41.8 42.2
Bear  28.2 23
COT:SPX w/w large/small (net)k (1k)/35k 11k/(22k)
COT:gold  comm.hedg long-short.000 (64k) (77k)
CEOinsider selling 25:1 61:1
off.&bd b/s.vs. 10% holder b/s 175/35 175/30
3-box rev Bullish%-  70 74
US equity -ICI Fund Flows WeekDelay (2.0B)
MMF flows Change in $B 15B (16.7B)
MargDebt- top (300M) monthly  463B 460B
ETF:mthlyEqty/ Int'l/Bond-$B n/a 1100/443/272
2-yr Tsy Yield: Inflation 0.58%nh 0.57%

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