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Post by actuarynomore on Jan 24, 2011 11:12:25 GMT -5
It's weird, I'm starting to wonder if it could be a trailing indicator too... looking at the Nasdaq on Friday it was a mess compared to the other indexes. The stocks with the worst performance on Friday generally had big option chains that needed unraveling. Small caps and Crap caps with useless or non-existent chains went either way, but generally not too much either way. Interesting thought Cos - I had been trying to think of how that could be the case. I did come up with the notion that the Fed (knowing [and setting] the FFR's implications and causes) is using the FFR to know how much POMO they need. Is it possible to look back at last week's POMO after that surge from .16% to .19% and see if they lightened up on the POMO because of it? We are in POMO Release 6 which runs from January 13 through February 9 – As with the previous 2 releases (4 & 5), there are 18 POMO days where the FED can use up to $119.5B of maximum POMO available. As I stated last week, when you look at the min/max range stated for each POMO, the FED has used more POMO (through the first 5 POMO days) during this release than the previous 2 POMO Releases: * Release 4 - Max Available $42.5B - Used $38.1B - 89.6% * Release 5 - Max Available $44.5B - Used $37.9B - 85.2% * Release 6 - Max Available $38.5B - Used $35.7B - 92.7%Relative to last week: * Tuesday – FFR .16% - POMO Used 87%* Wednesday - FFR .19% - POMO Used 96.5%* Thursday – FFR .18% - POMO Used 88%* Friday – FFR .18% - POMO Used 92.9%There are 3 more weeks of POMO during Release 6 with the following POMO amounts available for the weeks beginning: * 1/24 – $32.0B – M, T, Th and F* 1/31 - $29.5B – M, T, W, Th, and F * 2/7 - $19.5B – M, T and W I don’t believe there is any correlation between the ratio of POMO accepted to available and the FFR but if pressed I could look into it. Following is my POMO summary chart updated through last Friday’s POMO.
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Post by brosin on Jan 24, 2011 11:17:40 GMT -5
I was hoping you would help us see if the rubber meets the road - thanks Dave!
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Post by cosmic on Jan 24, 2011 11:24:54 GMT -5
It's not a direct correlation, but...
looks like the Fed pumps more in when the FFR is bullish, %-wise.
So the logic would say why the higher % on Friday? Well, 'no move' in FFR is not bearish, thus bullish, so push the throttle again.
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Post by actuarynomore on Jan 24, 2011 11:46:16 GMT -5
It's not a direct correlation, but... looks like the Fed pumps more in when the FFR is bullish, %-wise. So the logic would say why the higher % on Friday? Well, 'no move' in FFR is not bearish, thus bullish, so push the throttle again. I believe the lower accepted %'s on a daily basis are attributable to the range of POMO available (the lower the range the wider the % accepted swings) as shown by the following for last week when you look at min/max versus accepted: * Tues - Min/Max $1 to $2 - Accepted $1.74 - 87.0% * Tues - Min/Max $6 to $8 - Accepted $7.7 - 96.5% * Tues - Min/Max $1.5 to $2.5 - Accepted $2.2 - 88.0% * Tues - Min/Max $7 to $9 - Accepted $8.36 - 92.9%
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Post by actuarynomore on Jan 24, 2011 14:17:20 GMT -5
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Post by actuarynomore on Jan 25, 2011 14:16:16 GMT -5
FWIW - Today's POMO Update... $7.720B accepted out of $8B max available - 96.5%So far, for Release 6 - $52.323B accepted out of $55.5B max available - 94.3%No POMO tomorrow - $6B and $9B available Thursday and Friday.
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Post by brosin on Jan 25, 2011 14:54:07 GMT -5
QUICK BOYS WE NEED MORE AMMO, AHEM, MORE POMO!
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Post by ask2lern on Jan 25, 2011 14:55:58 GMT -5
No POMO tomorrow..................
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Post by brosin on Jan 25, 2011 15:43:51 GMT -5
the boys said
QUICK BUY 100K SHARES OF IBM...MARKET ORDER DO IT DO IT!!
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Post by actuarynomore on Jan 26, 2011 10:08:02 GMT -5
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Post by brosin on Jan 26, 2011 10:25:33 GMT -5
Thanks Dave!! EXALT
The question is whether (or better yet, for how long) the Fed can continue to be the entire market! ;D
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Post by actuarynomore on Jan 27, 2011 9:37:26 GMT -5
POMO day today and while the range is $4B to $6B, based on Fed tendencies during this Release, I expect $5.8B or thereabouts will be accepted. I ran across an interesting study conducted on POMO versus non-POMO days going all the way back to October, 2005 through October, 2010 (posted below) and while we get a sense as to how POMO has impacted the correlation of SPX ROR and FFR, I thought it might be interesting to throw a Gold comparison in as well. The last chart posted you've seen before but I have added a Gold ETF - IAU to the mix. Bottom Line - Can you imagine where Gold would be in a world without POMO - Un-Fn-Believable!!!
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Post by actuarynomore on Jan 27, 2011 13:40:18 GMT -5
POMO day today and while the range is $4B to $6B, based on Fed tendencies during this Release, I expect $5.8B or thereabouts will be accepted. As expected, POMO accepted today equaled $5.790B out of $6.0B or 96.5% of max available. So far, through 9 POMO days, Release 6 has used 94.5% of max available versus 89.8% and 85.22% for Releases 4 and 5 respectively. Now, what makes today’s POMO maybe a little more significant is because the ratio of “POMO Submitted” to “POMO Accepted ” is the second largest for a POMO day (since POMO started in earnest) where the amount Accepted is $6.0B or greater. Why is this significant?CCash posted the following:The key premise of the article is as follows: “...we claimed 3 months ago that the Submitted-To-Accepted ratio is a critical tell in how the market will perform through close, finding that "generic market effect on POMO days (i.e. stocks and yields up relative to non-POMO days) should be pronounced when the submitted-to-accepted ratio is relatively low (“meets expectations”) and muted when the ratio is high (“a negative surprise”, particularly if said Dealers had already positioned themselves in pre-POMO trading, based on a set of expectations regarding the outcome)." Following the surge in the S/A ratio in yestedrday's POMO, which effectively predicted the market rout, we decided to rerun the analysis. We found that recent incremental data merely reinforces the original conclusion: namely, watch out for days that have a substantially above average Submitted to Accepted ratio." Concluding based on later research… ” stock prices do better on days when the ratio is below average and worse on days when it is above.”BTW – On the day referenced above where the S-A Ratio was the greatest, the SPX was down 1.62%!!!
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Post by birthmark on Jan 27, 2011 13:46:48 GMT -5
Wow. Thanks Actuary for that. Gold would be through the roof without POMO. And it will be. Eventually. GL
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Post by rex on Jan 27, 2011 13:55:04 GMT -5
So, since this is the "second largest", we should end the day in baby bear territory???
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Post by actuarynomore on Jan 27, 2011 13:57:00 GMT -5
It's what Their Study (not mine) suggested!!!
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Post by benvestor on Jan 27, 2011 14:00:14 GMT -5
Today's POMO - $8.869B out of a possible $9B - 98.54% - The HIGHEST % USED ON ANY SINGLE POMO DAY!!! [image] [image] [image]
Jan 24 was way up and had the highest POMO usage tho... that refutes the study
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Post by actuarynomore on Jan 27, 2011 14:04:33 GMT -5
Today's POMO - $8.869B out of a possible $9B - 98.54% - The HIGHEST % USED ON ANY SINGLE POMO DAY!! Jan 24 was way up and had the highest POMO usage tho... that refutes the study Hey Ben - Jan 24 was the highest of Actual to Max Available. This study focused on the ratio of POMO Submitted to POMO Accepted!!! POMO submitted is published around 10:00am CT on every POMO day.
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Post by actuarynomore on Jan 27, 2011 14:09:05 GMT -5
HEY CLINT!!!
To check the validity of the Submitted to Accepted Ratio theory, could you please post a chart that shows what happened to the SPX during the day of 11/16 - I can't otherwise I would - Thanks and exalt - Dave
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Post by benvestor on Jan 27, 2011 14:10:58 GMT -5
isnt accepted the same as USED? i guess im missing something
anyhow very cool charting and correlating here Dave
This POMO is really working apparently
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Post by actuarynomore on Jan 27, 2011 14:25:55 GMT -5
isnt accepted the same as USED? i guess im missing something anyhow very cool charting and correlating here Dave This POMO is really working apparently You are correct Ben - Used/Accepted are the same to me as well. When the Fed publishes the future POMO schedule (Release 6 defines POMO ops through February 9), they report a minimum/maximum range that the actual amount of POMO will fall in. For today, the range was $4B to $6B and the amount accepted/used equals $5.76B which produces what I call a 96.5% actual to max available ratio. The Submitted Amount is based on what Dealers submit in an auction the morning of and according to the following article: "The New York Federal Reserve purchased $5.79 billion in U.S. Treasury debt during its permanent open market operations (POMO) today. Dealers submitted $33.560 billion worth of debt, meaning the auction was more than five times oversubscribed, which is much higher than most auctions have been recently. This is something to keep an eye on going forward. Maturities purchased were from 07/31/2012 - 07/15/2013." So, based on this information, the Submitted to Actual ratio becomes 5.80 (33.56/5.79). Hope this helps!!!
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Post by Clinton SPX on Jan 27, 2011 17:01:48 GMT -5
Easier than I thought 11-16 spx Attachments:
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Post by benvestor on Jan 27, 2011 17:18:59 GMT -5
whats easy? we are crashing soon like November?
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Post by Clinton SPX on Jan 27, 2011 19:23:01 GMT -5
whats easy? we are crashing soon like November? hehe finding chart for Nov easy
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Post by actuarynomore on Jan 27, 2011 19:49:16 GMT -5
Hey Clint - Thanks and if I am looking at it correctly, SPX started falling right from the get go on Tuesday, 11/16 - Really appreciate it - Thanks, Dave
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Post by actuarynomore on Jan 27, 2011 20:14:50 GMT -5
Earlier I posted the following regarding an article/study that someone had done relative to the "POMO Submitted to Actual Ratio" The key premise of the article is as follows: “...we claimed 3 months ago that the Submitted-To-Accepted ratio is a critical tell in how the market will perform through close,... Further concluding based on later research… ” stock prices do better on days when the ratio is below average and worse on days when it is above.”Well, I know that 2 days do not make a study, but when you look at the 2 days that had the highest Submitted-to-Actual Ratio since POMO started in earnest on 11/12, this is what we experienced: * 11/16 - Ratio was 6.19 and the SPX was already going down before the Submitted amount was published * 01/27 - Ratio was 5.80 and soon after the Submitted amount was published, the SPX was off and running from 1295 to over 1300!!! Bottom-Line - Study, schmudy, when it comes to POMO, don't bet against the Market going up.
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Post by actuarynomore on Jan 28, 2011 12:15:13 GMT -5
FWIW... POMO accepted today was $8.36B out of $9.0B max available, 92.9% Next week, POMO every day with max available of $8, $2, $2.5, $9 and $8 Billion respectively.
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Post by actuarynomore on Jan 28, 2011 17:09:32 GMT -5
FWIW - Posted below is the POMO Funding Chart updated through today and this is what you'll see: * 8 CONSECUTIVE DAYS OF POMO starting next Monday through 2/9 (end of Release 6). * Blue Area consumming Light Green Area reflecting how much more aggressive the Fed is in maximizing POMO accepted relative to max available under Release 6 versus Releases 4 and 5. I anticipate as we approach next Friday, the Fed will publish POMO Release 7 which (as with Releases 4, 5 and 6) will have 18 POMO days starting either Friday, 2/11 or Monday, 2/14 with a maximum $119.5 Billion POMO available.
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Post by rex on Jan 28, 2011 17:22:22 GMT -5
In the end, what happens to all the leftover submitted to accepted monies? Do they take the "leftovers" and pool them all together and have one last release that no one has thought about yet?
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Post by actuarynomore on Jan 28, 2011 17:41:20 GMT -5
One more chart which shows since December 31, 2009: * SPX * Dollar - As defined by UUP * Gold - Based on actual Gold prices * FFR * POMO Excluding the FFR for a moment, it's interesting to note: * How close SPX, Dollar and Gold were tracking through the first 4 months of 2010 * The divergence, then convergence from May through July And then ALL BETS WERE OFF WITH THE ADVENT OF POMO at the beginning of August. It seems POMO is boosting SPX while at the same time creating a direct correlation between Gold and the Dollar. Regarding the FFR, it feels to me that rates will remain sub-20 and possibly move downward over the next month or 2 especially if as Bros has stated before that the FFR is a reflection of the health of the Market.
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