CALDEIRÃO DE BOLSA

Ja agora adiciono a ultima parte do report, que contém a discussão acerca do anomalo put/call ratio destes ultimos dias:
Cumps
Starter


SENTIMENT TANK: The tank filled up 2% on Thursday to 81%,
breaking through to its highest level since late October as the
market was rebounding off its low.

One note, however. As we've been discussing, we use the Put/Call
Ratio in calculating the level of the tank. Over the past few
days someone has been putting on an immense Paired Puts position
on QQQ. On Thursday someone traded almost 500K contracts of the
Jan '05 QQQ 45 puts and 150K contracts of the Jan '04 puts. It's
a weird trade if that's all there is to it because both contracts
are selling with virtually no premium and within a dime of one
another. I have read all kinds of speculation on the intent of
whomever is putting on this trade. But since we don't know what
else they're doing (whether they're playing the futures markets,
buying or selling stock against their options positions, or using
the options to hedge lord-knows-what) all we can do is speculate.
What I do know is that this has skewed the Put/Call Ratio to what
appears to be (on a 1-3 day contrarian basis) very bullish
reading of 1.35, and it has rocketed the tank upward in what is
probably an artificial way. (I.e. we'd expect the mkt to retrace
a bit if it had made a big move down...but the wonky put/call
action is probably messing with the meaning of our indicator a
bit).

Something else we're speculating about is that this immense and
complicated action on the QQQ puts could be part of what's
holding the VXN down and the NDX up. 650K QQQ contracts
represents 65M shares of QQQ, which is the 30-day average volume
and is about 1% of the float. I have to be honest and acknowledge
that I don't know what effect this immense position is having on
the market, but I do see that we have this anomaly of the
position being put on, and I also see the anomaly of the COMP and
NDX diverging from the rest of the market in a time of heightened
fear while the QQQ and VXN fail to respond to that fear. The COMP
and NDX are normally MORE volatile than the rest of the market,
not less so. So, we have these two anomalies and we have a
hypothesis about how they might relate. If our hypothesis is
correct, then this artificial stagnation of the NDX and QQQ
should end whenever the put player has finished setting up his
play.

SHORT-TERM: The hourly gauge remains in a decline phase, which
should either accelerate or reverse, if not on Friday then very
likely by Monday.

MID-TERM: The mid-term gauge progressed from 79 to 81 in its
downtrend on Thursday. It's moving toward a point at which we'll
either get some sort of downside capitulation or it's going to
want to flip over and start working its way up fairly soon. Our
Confidence Diffusion Index (CDI) remains at 6 out of 7. The lack
of downside follow-through on Thursday and the anomalous action
in the Put/Call Ratio keep us from hitting the maximal extreme.

LONG-TERM: The weekly gauge progressed two points to 33. Likewise
on the CDI we're still at 6 out of 7.

sss

FRIDAY a.m.
February 7, 2003




Weirdness
by David Nichols

This market is weird and scary. How could it not be when phrases like "25,000 liters of anthrax" and "economy in worst hiring slump in 20 years" come floating over the news wires.

It's especially bizarre if you're watching the market intraday, tick by tick. On a 30 minute chart, it's a rollercoaster pattern.



This is the kind of action that is rough on the nerves of traders. And it's traders, after all, that determine the moment-to-moment flow in the markets. At any given time there are only a tiny fraction of total shares outstanding available and on the market -- and it's traders flipping these shares back and forth that largely determine the market's flow.

In the short-term, traders are confused and frustrated. It seems like nothing can get going for more than a few hours, and this kind of thing can feed on itself, making traders very quick on the trigger.

But if you step back and look at the longer term charts, it's not as confusing. The market is in a downtrend. I always keep an eye on the weekly chart, and especially on Friday, as I like to get a sneak-peek at how it looks heading into the end of the week.

Surprisingly, the weekly charts of the OEX and SPX are very clear-cut, and don't reflect the short-term gyrations at all.



While the market has been churning around underneath broken support, it keeps moving lower. This is pernicious movement. It keeps hope alive. Actually, it creates the proverbial "slope of hope" -- which is the antithesis of the "wall of worry" that pushes a market up.

Indeed, on the daily chart we can draw in a perfect "slope of hope".



It's true that bearish sentiment is getting up towards a climactic reading. At some point in the not-too-distant future the market is going to turn around and mount a strong rally. But it's dangerous to step in at a point like this and make that call, as we're still not seeing extreme levels of fear.

The VIX is showing this current epidemic of fear is still proliferating among market participants. At this point, there are tell-tale signs we can look for to tell us when this fear virus has been vanquished -- chiefly a large red engulfing daily candle on the VIX, especially one that comes following a big spike. What we are seeing now -- a "gappy" wave of white candles in ascent -- is not showing any indications of losing its momentum.



The plan remains to stay in our small bearish Rydex positions until the market can prove itself to the upside. This just doesn't seem like the type of market that is going to reward big bets.