ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Monday, November 26, 2007

 

reeking of desperation


not the markets -- me!

how hard is it to stay long this disaster? when you've my natural disposition, VERY. but the exercize is proving fruitful insofaras i am compelled to make and remake the bullish case against my nature, and nothing represents a greater triumph of self-control than to be able to do so competently.

i've already taken arguments about new lows and isee sentiment in my favor. now i'm going to lay claim to the ten-year treasury rate of change.

most equity investors know anything at all about treasury bonds only insofaras they represent the "flight to safety" -- when stocks dive, treasuries rally. is that true now?

absolutely!

in the last twelve sessions, the ten-year yield has collapsed 11.24% -- a tremendous move that relates more to the panic surrounding credit markets and the economic outlook than to any equity market event. but the only other occasions of this size of downdraft (going back to 1962) are notable:

  • may 20-23, 2003 -- emerging from the 2002-3 triple bottom, from may 20 to june 17 the s&p 500 jumped 10% with no appreciable downdraft.


  • october 1-5, 1998 -- the bottom of the 1998 ltcm collapse -- from october 5 to november 27, the s&p climbed 20.6% after a three-day downdraft of less than 3%.


  • october 30 - november 4, 1987 -- the crash of 1987 -- by october 30, the s&p had bounced 16% from the october 19 low, and the index fell 13% to retest that low going into december and then advance another 16% to new highs in january 1988.


  • october 12-14, 1982 -- the 1982 low was seen in august, and this point followed a very sharp rally off that low. the market went on to advance another 6.4% by november 9 with no downdraft.


  • november 9-18, 1981 -- a rally in the 1980-1982 bear -- the s&p advanced 5.0% from november 18 to december 4. no downdraft.


  • april 16-22, 1980 -- following a deep downturn in 1q1980, the s&p rallied straight up over 13% from mid-april to mid-june, and kept headed higher after that.


  • november 23, 1970 -- the rally marking the end of the 1968-70 bear had begun in may -- the subsequent rally in the s&p ran to february 16 and totaled 17.1%.


other points which might be considered close-but-no-cigar, most of which were also really good equity buy points:

  • september 24 - october 3, 2003
  • september 23-30, 2002
  • october 2, 2001
  • december 26, 2000
  • june 6, 1995
  • june 26, 1986
  • march 3-13, 1986
  • june 5, 1985
  • january 5, 1981
  • march 23, 1971
  • october 23, 1969
  • december 20, 1966

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Loving the detailed analysis on this blog. Thank you.

 
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