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3/10/2018 Weekend Update

3/10/2018 Weekend Update

Postby Cobra » Fri Mar 09, 2018 5:32 pm

Up one week means 77% chances higher high ahead the next week, so more up.
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Re: 3/10/2018 Weekend Update

Postby Cobra » Fri Mar 09, 2018 5:38 pm

The same price level, the same good job data, one down huge, one up huge. Look at what media said... I found very ironical...
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Re: 3/10/2018 Weekend Update

Postby Al_Dente » Fri Mar 09, 2018 6:41 pm

YEAR-TO-DATE %
aggressives (solid) and defensives (dash)
daily
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Re: 3/10/2018 Weekend Update

Postby tsf » Fri Mar 09, 2018 11:58 pm


http://slopeofhope.com/2018/03/beelzabu ... l#comments


The Pitbull rule works again. "Buy the low on the thurs/fri" prior to OPEX week".
Trick is figuring out if the low is thurs or friday.


This month, it was thursday. But this was a wacky week between Korea, Jobs report and Trump Tariffs.

Posted by pipesticks: 7:48AM Mar 9, 2018
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Re: 3/10/2018 Weekend Update

Postby Al_Dente » Sat Mar 10, 2018 6:54 pm

My reading of this is that the current blackout period started March 10 (see page 4, #8).
It’s not so easy as this rule is based on FISCAL quarters, and different corporations will have different blackout dates.
But note: absent corporate buybacks, bears may have a chance in the next 60+ days.
If you have better (or more current) information, please post it, as it’s quite important.
https://www.sec.gov/Archives/edgar/data ... policy.htm
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Re: 3/10/2018 Weekend Update

Postby tsf » Sat Mar 10, 2018 9:42 pm

https://www.marketwatch.com/story/this- ... nk=sfmw_tw

Feb 22, 2018
...
market correction coincide with blackout period for stock buybacks.
...

One factor, which is generally seen as having had some impact, was essentially invisible to investors watching major indexes or even individual share prices.

“The pullback coincided with the blackout period for share repurchases, likely intensifying the decline,” Goldman Sachs wrote earlier this month. “Given corporations represent the largest single source of demand for U.S. shares, equity returns have typically been lower and volatility higher during blackout periods.”

A “blackout” for stock buybacks refers to how most companies and insiders are prohibited from repurchasing their own shares in the month before the release of their quarterly results, removing a steady source of buying power from the markets.

...

There are four blackout months a year, but as each company releases its results on its own set schedule, the blackout period won’t necessarily coincide with a calendar month. However, the concentration of results during the multiweek span that comprises the earnings season means that four months—January, April, July, and October—see this impact the most. On average, 6.25% of a company’s annual repurchasing expenditure is done in a blackout month, compared with 9.5% for non-blackout months and 8.4% overall.

January in particular is susceptible to this trend. Only 4% of buyback spending is done in January, the lowest of any month, according to Goldman.

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Re: 3/10/2018 Weekend Update

Postby tsf » Sat Mar 10, 2018 9:52 pm

https://www.cnbc.com/2017/02/23/one-way ... eriod.html

One way for investors to play the end of the 'buyback blackout' period
George Manessis | @gsmanessis
Published 1:47 PM ET Thu, 23 Feb 2017

...

Under SEC rules, companies can't buy back any of their shares during the roughly five-week period which ends two days after the company's results are released.

Using hedge fund analytics tool Kensho, CNBC conducted a study to find out which Dow Components and sector ETFs perform well once the stock repurchases resume.

United Health and Nike trade consistently higher, up 72 percent of the time, with average returns of 2.3 percent and 2.2 percent, respectively.

Home Depot trades positively 57 percent of the time, with an average gain of 2.2 percent.

Taking a broader look at sector performance:

The Financial Select Sector SPDR XLF and the Energy Select Sector SPDR XLE both traded positively 63 percent of the time.

The XLF notched the highest average return, gaining 1.7 percent, with the XLE better by 1.4 percent.

The Utilities Select Sector SPDR XLU was the most consistently positive of the group, trading positively 71 percent of the time with an average gain of 1.4 percent.

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Re: 3/10/2018 Weekend Update

Postby Trades with cats » Sun Mar 11, 2018 11:50 am

1. Buybacks are the backbone of this long term bull market. Corporate buybacks happen when everyone is selling, and they happen at all time highs.
2. Buybacks stop four times a year for about 30 days.But it is case by case, and it depends on which companies and market prices.
3. So no one has a firm handle on this. What is clear is the last three major market drops occurred during a low buyback period. During this February's drop it was reported that buyback desks at major brokerages were buying three times the normal level of stock as they fought to keep share prices stable.

The bulk of earnings season lasts about six weeks. Alcoa traditionally kicks it off. Blackout is the 30 or so days before so we are dealing with a probability cloud that would be declining around three weeks after Alcoa. But the banks and deep pocket tech firms spend a lot, so they would be big data points. I see at least a Masters thesis if not a PhD for whom ever solves this puzzle.

Until then Alcoa is expected to report Monday April 23, so maybe mid April through mid May we are more vulnerable to a major sell off. So five weeks to party on Garth!

Personally I know I am biased in this area. I live in a smaller city that used to have two national companies headquarters that were wrecked by CEO's who made millions for themselves. So my bias is that a CEO is a parasite sucking the life out of a company, an inside corporate raider. I think eventually the huge levels of unproductive debt caused by excessive buybacks coupled with the magnified leverage on earnings of the reduced shares will destroy many firms during the next recession. That will lead to advisers forming funds that avoid firms with buybacks as part of their selection criteria. The practice will be frowned on the way hiring Marten Shkreli as your CEO in seven years would be. :lol:
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Re: 3/10/2018 Weekend Update

Postby Trades with cats » Sun Mar 11, 2018 12:04 pm

ES 06-18 (15 Minute) 2018_03_09.png

ES June expiry 15 minute bars CBOE US Index Futures regular US trading hours.
I,2 and 3 deviation bands off of daily Volume Weighted Average Price with a 20 period EMA just for grins.
Second box is average volatility by price bar using a 10 day look back ignoring day of the week.
Third box is the same thing for volume.

These relative ranges are new toys for me so I am open to suggestions. They will go back as far as 8 weeks . With the larger look back period it can keep track, by price bar, by day of the week, so for example relative volume last 8 Fridays at 8:15. Given the big spikes last month I though a short period prudent, thus 10 days. Average is not median, so a large spike can really skew the results but Fat Tails, aka Harry in Berlin has not written a median relative range tool and I do not write C# code.

I think it fair to say that as the week progressed the rally started running low on energy.
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