Na slikama se lijepo vidi kada su nastupili ekstremi u očitanju na "put to call ratio" i na vix-u i kako smo nakon toga imali lijepi rally. Vix pokazuje i veću vrijednost od one u trećem mjesecu.
Ostali indikatori ne pokazuju toliku rasprodanost kao tada, što znači da ima još malo prostora prema dolje, ali to se nikada ne zna.
Može biti da ćemo imati kratkoročni relief rally a nakon toga nastavak korekcije. Vrlo je teško reći, jer je prije ove nagle korekcije optimizam ulagača bio na niskim razinama i dosta zaštite je kupljeno (po Schaefferu, puno kupljenih puteva), što obično nije karaktreristično za market topove, nego za bottome. Usprkos tom zbunjujućem podatku, korekcija je ipak nastupila.
Osim ove tehničke priče, naravno, treba voditi računa i o fundamentima i financijskoj krizi zbog marketa kuća i svih proizvoda koji su kupovali sada neki već bezvrijedni hedge fundovi velikih investicijskih kuća.
Ako gledamo malo srednjeročnije i koristimo 21-day moving average za put to call ratio, vidjet ćemo da se situacija nije niti malo približila ekstremnim vrijednostima koje bi označavale mid-term market bottom. Za razliku od gornje slike, ovdje se ne vide nagli spikeovi, ali se vidi kada se akomulacija puteva desila u nekom periodu kontinuirano i dovela do ekstremnijih vrijednosti (gornje je 5-day moving average, tek toliko da se malo ispegla krivulja).
Weekly chart za nasdaq otkriva nam sell signal koji je opalio na macd-u:
Zadnji puta je signal bio lažan i nije doveo do korekcije, već se rally nastavio. Međutim ovaj puta se možda poklopilo više faktora da dovede do stvarne korekcije od 15% na indeksima, a možda i mini bear marketa (po definiciji, barem 20% korekcija).
Iako meni ovo sve izgleda kao početak veće korekcije, Schaeffer je drugačijeg mišljenja, a to je da će svaki pullback vjerojatno biti short lived (članak datira od 23.7.2007, znači prije ove zadnje korekcije):
Stocking Up on Protection.
Short sellers and put buyers continue to rule the roost, as an overwhelming scent of pessimism permeates the market landscape. For the fifth consecutive month, NYSE short interest has climbed to a record level. In the latest reporting period ended July 13, the number of shorted shares on the Big Board grew 3.9% to 12.95 billion, while the short-interest ratio jumped to 8.4 from 8.0. Additionally, odd-lot shorting is on the rise, hitting its highest level in more than 5 years.
The speculative crowd continues to gobble up puts as protection against feared market declines. Friday's option volume in the SPX was heavily focused on puts ďż˝ in fact, the single/day volume put/call ratio hit 3.6 from 0.95 the previous session. To put this high reading into perspective (according to our Quantitative Analysis staff), since June 2001, there have only been 32 readings of the single/day volume put/call ratio (front 3 months) hitting a reading of 3.5 or higher. For those who like statistics, this has only occurred 2% of the time since 2001 - a very rare development especially with the market sitting at its highs. This snapshot provides a good picture of the headwinds created by the build of (mostly August) option positions, the vast majority of which were puts in Friday's trading. As I've previously explained, a buildup in put positions creates a need to short futures and ETFs on the part of those taking the other side of the put trade.
An additional sign of the scramble for portfolio protection can be seen in the open-interest configuration for the CBOE Market Volatility Index (VIX 16.95). As of last Thursday's close, there were 3.8 open calls for every 1 open put in the front 3-months' series. Due to the inverse relationship between the VIX and the market, institutions are positioned for a bullish move in the VIX, which means a bearish move in the market.
Onward and upward?
I'm not ready to proclaim that the storm is past ... earnings are thick as thieves this upcoming week and spread across a wide variety of sectors. There are nearly 800 companies reporting, making it the busiest week so far this season. Some of the larger issues are headline-making names such as American Express (AXP) from the struggling financial group, Apple (AAPL) and Texas Instruments (TXN) from tech, 3M (MMM) and Exxon Mobil (XOM) from the Dow, and Ford Motor (F) and United Parcel Service (UPS) from the transports sector.
The advance GDP number for the second quarter will hit the Street on Friday, after we are treated to new and existing home sales, the Fed's "Beige Book," and durable goods orders. To top it off, remember that next week is a post-expiration week, 11 of 18 of which have been negative since January 2006.
What I do maintain is that the market is in a pronounced "pre-sold" state, and for a pullback to have any staying power, it's got to be linked to something unknown and unexpected. Soft earnings, high crude, even additional disappointments from the world of subprime ďż˝ these setbacks are already being anticipated and accounted for by short sellers and options players. A recent Merrill Lynch survey of 186 global-fund managers revealed that 72% expect credit or default risk to pose an elevated threat to the market's stability. When all-encompassing bullishness prevails despite perceptible concerns ďż˝ call it "irrational exuberance" if you must ďż˝ that's when the risk of a pullback is at its most acute.
Zbog ovoga članka, koji sam pročitao prije ove korekcije, iznos i volumen kojom se desila, poprilično me iznenadio.
Sa druge strane, još jedan indikator nam govori da ovo nikako ne bi trebalo biti dno. To je broj bearish nasuprot bullish advisora:
Vidi se da kada je god ovaj pokazatelj bio ispod 20% (točke K) to je bila dobra najava neke korekcije (L do M). Tako i ovaj zadnji puta (točka N i sadašnja korekcija od O do P).
Kada je taj postotak bio veći od 35% obično je označavao značajnija dna na tržištu (točke O, rally od S do R), što sada nije slučaj. Znači ne radi se o nekom značajnijem mid-term dnu, ali u bull marketu da bi se rally nastavio, nije niti potrebno da takvo dno bude dotaknuto (zadnje je bilo 2006, točka T, a rally od U do V):
Bez obzira što Schaeffer piše o dosta kupljene zaštite, ostali indikatori kažu - ako smo ušli u mid-term korekciju ovo nikako nije dno. Može biti samo short-term dno.
U komentaru sam stavio Sy Hardingov zadnji besplatni članak, radi boljeg razumijevanja kako market percipira sadašnju fundamentalnu situaciju na burzi (za razliku od samo svih tehničkih pokazatelja ovdje navedenih). Preporučujem obavezno pročitati.
Ako je ovo zaista početak nečeg većeg (veće korekcije) onda smo isto tako ušli u dulji period povećane volatilnosti, koja bi mogla i daleko nadmašiti iznose od zadnja dva dana, koji su išli do visokih vrijednosti do oko 23 (može to i preko 40 u bear marketu).
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