One way to measure price volatility is to look at the intraday range an asset trades within (the intraday high minus the intraday low) and then compare that range to the asset’s price level. In this way we normalize the daily range for the prevailing...
We’ve touched on this point here and here, so we’ll keep it brief. Lumber is making a new low today and continues to diverge from stocks. Lumber made a large divergence from stocks in 2011 and 2013....
We’ve noted several times in the last few weeks the ongoing weakness in lumber prices here, here and here. We watch lumber prices because lumber, being a largely domestically produced and consumed resource, can give a good early indication of changes in domestic economic activity....
We’ve been commenting over the last few days here and here about the increasing number of weak stock market closes and how the number of weak closes seems to be closely correlated with Fed tapering of asset purchases. It seems fair enough, then, to comment...
The long end of the yield curve has continued to flatten over the last several days. At 77 basis points, the spread between 30 year and 10 year treasury bonds is the narrowest it’s been since 2009 (1st chart below)....
Today is a day that will test the persistence of this market rally. A few events came together that to us suggest a level of distribution. They are: The 1840 level on the S&P 500 that had provided pretty reliable support failed decisively....
Over the last 4.5 months the spread between the 30 year treasury yields and 10 year treasury yields has fallen from 112bps to 85bps, a difference of 27bps, and that spread has been falling fast in recent weeks....
The boom-bust barometer, which compares commodity prices to unemployment claims as gauge for economic activity, has had a strong correlation to the S&P 500 over the past 10 years. However, the boom-bust barometer has not confirmed the new highs made by the equity markets so...
Even amid geopolitical turmoil S&P 500 futures (blue line) and the JPY/USD exchange rate (orange line) are still moving in virtual lock step. But from a longer term perspective we are starting to see some cracks in the correlation. We will be monitoring closely which...
Over the past 10 years the S&P 500 Price to Earnings ratio and the real trade-weighted dollar index have had a nice correlation. As the dollar has strengthened P/E ratios have expanded (with a three quarter lead for the dollar)....
The JPY/USD cross is once again going tick for tick with S&P 500 futures as investor appetite for risk did a 180 overnight: With the euro selling down to 1.355 vs the USD, the USD is the big winner on the day: As gold struggles:...
As the emerging world experiences its fifth broad stock market selloff in as many years we thought it timely to review just what happened during the previous four selloff instances so we can have a better idea of what to expect from both EMs and...
We’ve noted on numerous occasions the almost eerie relationship between S&P 500 strength and the USD/JPY weakness and so far this year (and today) we have more of the same....
With 15 minutes left in the trading day the S&P 500 has put in a new low for the year and extended the YTD loss to 1.6%....
One unfortunate reality of market cap weighted indices is that statistics derived from these indices are inherently skewed by a handful of megacap companies. The P/E ratio is no exception....
