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Options Expiration Market Distortions

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4-19-2013 2-22-44 PM options

There was little in the way of economic data Friday but primarily there was the earnings hangover from IBM (negative) and beats from GOOG and MSFT. The latter allowed a rally Friday in the tech laden (QQQ) but really the poor IBM report should dominate tech. But IBM’s report only modestly held back the price-weighted DJIA as Boeing (BA) rallied. BA reported it had solved the Dreamliner’s battery problems. At the same time the company stated it was reducing plane order estimates which aren’t bullish right?

With stocks short-term oversold it certainly wasn’t much of a surprise that options expiration Friday could manipulate volume and performance. Da Boyz in the options pits (mostly electronic now) were hunting down strike prices to exercise existing options as they can. It’s a technical event with an outcome that surely can mislead Main Street.

Leading markets higher today with strong results included Kimberly-Clark (KMB) that helped defensive sector Consumer Staples (XLP). Other defensive sectors up on the day included Healthcare (XLV), Utilities (XLU) and other more conservative sectors. Financials (XLF) managed a rebound but it certainly wasn’t based on any positive earnings data. Biotech (IBB) posted new all-time highs.

Bonds (IEF) were mostly flat while the dollar (UUP) rallied slightly. Gold (GLD) also found a bid with more options related activity. Commodities (DBC) overall were also slightly higher.

Given the weak stock market performance for the past week overall, it shouldn’t surprise three Fed presidents have suggested more easing (QE) might be necessary. This then would be in addition to $3.2 trillion already accumulated. (“In for a penny, in for a pound”)

The bottom line for ETFs remains, equity flows continue favoring conservative dividend and income sectors primarily no matter the headlines and spin.

Volume was elevated which is typical for options expiry while breadth per the WSJ was positive.

4-19-2013 5-41-14 PM diary

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SPY 5 MINUTE

SPY 5 MINUTE

 

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$NYMO

$NYMO

The NYMO is a market breadth indicator that is based on the difference between the number of advancing and declining issues on the NYSE. When readings are +60/-60 markets are extended short-term.

 

$NYSI

$NYSI

The McClellan Summation Index is a long-term version of the McClellan Oscillator. It is a market breadth indicator, and interpretation is similar to that of the McClellan Oscillator, except that it is more suited to major trends. I believe readings of +1000/-1000 reveal markets as much extended.

 

$VIX

$VIX

The VIX is a widely used measure of market risk and is often referred to as the "investor fear gauge". Our own interpretation is highlighted in the chart above. The VIX measures the level of put option activity over a 30-day period. Greater buying of put options (protection) causes the index to rise.

 

We’ll see more earnings releases next week. Economic data is focused again on housing, manufacturing, Durable Goods Orders, Consumer Sentiment and GDP Data. The following week is the Fed meeting to kick off May.

Now with the bull market being challenged, we’ll see if the previous bullish trend can continue.

Let’s see what happens.

 


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