Reviewing Trading Metrics

  • Posted: 19 August 2012 01:08 AM

    I’ve been concerned about AAPL’s declining daily trading average for some time.  The last time I spoke on this I think it was Mav that said money flows were fine.  How the relationship between PPS and trading volume interact, I looked at average daily volume between earnings reports going back to fiscal 2005, and applied that to the intraday high of the last Friday before earnings.

    For the period average daily money flows are $5 MM.  However, the range that created that average was from $900 MM during fiscal 2005 to $14 BB during the March quarter of 2012.  Money Flow didn’t exceed $5 BB until fiscal 2010.

    Here are the last 8 quarters average daily money flows based on formula described above:

    September quarter 2012 through August 17 (post July earnings): $7.4 BB
    June quarter 2012 (post April earnings):.......................................$9.5 BB
    March quarter 2012 (post January earnings):...............................$14.1 BB
    December quarter 2011 (post October earnings)...........................$5.4 BB
    September quarter 2011 (post July earnings):................................$9.6 BB
    June quarter 2011 (post April earnings):........................................$5.3 BB
    March quarter 2011 (post January earnings):.................................$5.8 BB
    December quarter 2010 (post October earnings):..........................$5.2 BB
    September quarter 2010 (post July earnings):................................$5.7 BB

    Note that money flows for the September quarter 2011 (post July earnings) and the March quarter 2012 (post January earnings) ballooned significantly.  Both of the earnings reports that preceded these respective money flow periods are reports in which I believe Apple exceeded institutional expectations.  All other periods not so much.

    As I have said a couple times, trading since July earnings has been weird.  Apple did not make its numbers (regardless of what their public guidance was).  However, trading commencing Monday after that report AAPL has been on a tear which is reflected in average daily money flows.

    Some have attributed AAPL’s recent rally to anticipation/expectations of the next iPhone.  I believe it has much more to do with the the approaching end of the US Apple vs Samsung IP trial, with a positive outcome for Apple.

    Signature

    You can’t do more, make more, be more, than the next guy, if you think like the next guy. Think different.

         
  • Avatar

    Posted: 19 August 2012 02:16 AM #1

    Gregg, I think you were out of town when I first posted this link, which I thought might inspire a spreadsheet for you. smile

    AAPL Money Flow

         
  • Posted: 19 August 2012 02:51 AM #2

    lovemyipad - 19 August 2012 05:16 AM

    Gregg, I think you were out of town when I first posted this link, which I thought might inspire a spreadsheet for you. smile

    AAPL Money Flow

    I’m going to need help with their acronyms and formulas to try to understand what they are measuring.

    Signature

    You can’t do more, make more, be more, than the next guy, if you think like the next guy. Think different.

         
  • Avatar

    Posted: 19 August 2012 11:55 PM #3

    Hi Gregg.

    According to your chart, the last 2 quarters were 2 of the 4 biggest ever in terms of daily money flow - I assume its the downtrend you are worried about rather than the actual amount traded?

    Which brings me to my question - whats the importance of this?is there some sort of danger in ATH PPS beinmg hit on low volume? For instance would a sell off be more severe?

    Signature

    Full Disclosure:

    - Long Apple
    - Pro: Apple HDTV, iPhone Air, Stock split, Consumer robotics

         
  • Posted: 20 August 2012 07:26 PM #4

    Burgess - 20 August 2012 02:55 AM

    Hi Gregg.

    According to your chart, the last 2 quarters were 2 of the 4 biggest ever in terms of daily money flow - I assume its the downtrend you are worried about rather than the actual amount traded?

    Which brings me to my question - whats the importance of this?is there some sort of danger in ATH PPS beinmg hit on low volume? For instance would a sell off be more severe?

    This is an interpretation of existing data that I have not used before.  Ergo, I’m not quite sure how to address it.  Initial thoughts are that trading volume isn’t near as important as money flow, and it appears that you can determine institutional sentiment by comparing PPS direction with money flow, whereas institutional direction used to be a comparison of PPS direction and trading volume.

    Take today’s trading as an example.  AAPL rose $17.00 on 21 MM shares traded.  A simple (and not entirely accurate) calculation of 21 MM X $665/share results in money flow of $14.4 Billion.  While the increase in share volume is impressive, it doesn’t put into perspective what it would take to accomplish that.  Today’s money flow represents a 220% increase over average money flow since August 1.  That increase, coming on the heals of Friday’s near doubling of that average, can only be achieved with institutional participation.

    The aggregate amount that Friday’s and today’s trading exceeded the August (to date) average is nearly $11.4 Billion, or stated differently, nearly two whole trading days of money flow.

    This looks like a major institutional commitment to AAPL at present valuations, and if true, strongly suggests institutional sentiment that AAPL is going much higher in the near/long term.

    [ Edited: 20 August 2012 10:06 PM by Gregg Thurman ]

    Signature

    You can’t do more, make more, be more, than the next guy, if you think like the next guy. Think different.

         
  • Avatar

    Posted: 20 August 2012 09:03 PM #5

    Gregg Thurman - 20 August 2012 10:26 PM
    Burgess - 20 August 2012 02:55 AM

    Hi Gregg.

    According to your chart, the last 2 quarters were 2 of the 4 biggest ever in terms of daily money flow - I assume its the downtrend you are worried about rather than the actual amount traded?

    Which brings me to my question - whats the importance of this?is there some sort of danger in ATH PPS beinmg hit on low volume? For instance would a sell off be more severe?

    This is an interpretation of existing data that I have not used before.  Ergo, I’m not quite sure how to address it.  Initial thoughts are that trading volume isn’t near as important as money flow, and it appears that you can determine institutional sentiment by comparing PPS direction with money flow, whereas institutional direction used to be a comparison of PPS direction and trading volume.

    Take today’s trading as an example.  AAPL rose $17.00 on 21 MM shares traded.  A simple (and not entirely accurate) calculation of 21 MM X $665/share results in money flow of $14.4 Billion.  While the increase in share volume is impression, it doesn’t put into perspective what it would take to accomplish that.  Today’s money flow represents a 220% increase over average money flow since August 1.  That increase, coming on the heals of Friday’s near doubling of that average, can only be achieved with institutional participation.

    The aggregate amount that Friday’s and today’s trading exceeded the August (to date) average is nearly $11.4 Billion, or stated differently, nearly two whole trading days of money flow.

    This looks like a major institutional commitment to AAPL at present valuations, and if true, strongly suggests institutional sentiment that AAPL is going much higher in the near/long term.

    thank you for this insight , Gregg.

    Signature

    “My mind hovers on hummingbird wings.”  D. Eggers