Tuesday, July 06, 2004

From the NYSE in response to the late June record of 70.5% of volume due to program trading: NYSE Program Trading announced today for the period June 21-25 reached a record 70.5%. This reflects the impact of investment managers' portfolio rebalancing as a result of the annual Russell index changes last Friday. One of the impacts of this rebalancing is increased program trading activity. Traders utilize program trading to help buy and sell baskets of stocks more effectively. This applies to Russell index funds and all funds tracked to Russell indices. The Exchange's Crossing Session II, a type of program trading, peaked last Friday to more than 620 million shares (compared to a year-to-date average of 25.6 million shares a day), accounting for most of the increase in program trading last week. It is also important to note that because the Exchange counts each program buy and sell order individually, and divides that number by single-counted NYSE volume (completed, two-sided transactions), the 70.5% figure effectively represents double the amount of actual program trading when compared to the single-counted NYSE daily volume. 1:25:44 PM

Our STEM.MR Nasdaq model, our shortest-term model, just hit 71%, which can now be considered oversold.  This is the first time since May 12th the model has reached such a reading.  I don't interpret this as a "buy" signal, rather I think it is better meant to serve as a warning shot that the downside is becoming stretched and pressing short bets at this point gets to be considerably more risky.   12:33:58 PM