談談股市中的成交金額
一般情況下，成交（金）額並不是太重要。實際市場中，一隻股票作為Trading Vehicle，其波動幅度、波動頻繁度、總漲（跌）幅度是最常見也更重要的指標。
正常情況下，考核運作股票行情的主力資金團隊，對於給定的目標股股權結構，當然是需要的總資金越少，項目結束後所賺取的總利潤越大，表現就越好。這是對中小市值股票的通行標準，所以，運作時，波動頻繁度越高，單位資金使用率就越高；條件許可時，總漲（跌）幅度和波動幅度都越大，都可提高單位資金使用率，這都使得團隊績效越好。但這隻適用於相對於總市場，個股的流動性很好時。個股的流動性在這裏，定義為，個股市值或個股成交額相對（整個市場）很小，被該個股吸引的市場資金（即被圈對象）對該股持續地很充足。
主力資金運作一隻股票，無論是進貨(Accumulation)還是出貨(Distribution)，都必須使得該股股價有意識地波動，階段性地在一定價格區間內反複做股票和現金的交換。進貨階段一般很隱蔽，股價也低，成交額的作用不太明顯；但在出貨階段，由於股價被運作到較高，單位時間成交量由於主力有意識地批量出貨而變大，造成成交額顯著變大；比如，大行情的中小盤股PCLN/OPEN，在日成交額急劇增長時就進入了出貨狀態。
然而，市場內的Prey資金（即被圈對象）在任何給定的時間段內都是有限的。當有限到一定程度時，主力資金不會運作大行情（因為發動行情是有成本的），這是為何股市有周期性蕭條期的本質原因；在此強調，股市的大行情與經濟好壞完全無關，但的確在經濟好時，大眾的Prey資金總和更大，因而更能引起Big Boys運作大行情的興趣。這巧合地表現為，統計上，經濟好時，股市行情好，然而，這不過是披著鮮亮外衣價值投資的虛假宣傳罷了：大眾手上若沒有錢，主力資金費勁把股價弄那麽高幹什麽，能套現賣給誰？誰又有錢來接盤呢？
所以，一些大流通盤股票，或一些重要的指數指標股出現了成交額占市場總成交額的比例過大時，需要著重重新審視整個市場的組成和大成交額個股對市場的風向標意義。也即，對於重要的市場指標股和不同尋常的成交金額，成交金額顯得尤其重要，目前的AAPL就是典型的例子。
日成交金額Daily trading transaction dollar amount (DA) ~= 日成交量*日收盤價；時間A到時間B的成交總金額是期間所有日成交金額之和。DA consists of two exclusive factors, both of which increase in a bull market:
1, the market cap and the money that gets involved. This is the big picture, in which the market is just a hands-change game of stock shares and cash money.
2, trading frequency, ie, on the average, how often a share is changed hands.
Look at individual stock like SNDK /NVDA and overall market, they all seem to have similar pattern. It's clear that they started going down in 1999, 2007 and 2008 when DA hit a peak.
The two factors are about DA on broad market scale, which are not as valuable as how DA is distributed across the general market such as DA of AAPL accounts for 40-45% of the whole DA of NDX 100, which implies that there must be a model, which says what the general percentage of effective selling is.
Effective selling means, for example, in order to net sell 100 shares of some ticker on the average price of $10, a big boy's account may have to buy 1000 shares from $8 to $12 and sell 1100 shares during that price range when the price ends at $7 after the 100 shares net sale. In such a case, obvious big DA imbalance such as the cases of AAPL and BAC may mean a lot, ie, trendings of MSFT/INTC/GOOG can all be used to help distribute AAPL, because even if manipulating the helpers loses money, the cost should be very low compared to the gain from AAPL given the huge DA difference.
2012年4月下旬，the sum of YTD DA of the 9 of top 10 NDX stocks other than AAPLwas less than 1/3 of that of AAPL. From Feb 15th, 2012 to Apr 30th, 2012, AAPL's dollar amount is 10 times of MSFT, GOOG, JPM, C which are in the third to 6th place. BAC was in the 2nd place. Market reading were:
1, BAC is on the down trend, there was huge dollar amount of BAC in March 2012. And it showed a local top at $10. Unless it breaks out to uptrending, the huge dollar amount in March seems to be a sell by wall street.
2, the general market is listening to AAPL trending based on the numbers. On daily charting, AAPL may look bearish enough, but on weekly charting, it's still very strong, so the first leg of AAPL may have not shown up yet, ie, AAPL may need to find the first support where it will rebound to the second head of an M shape with reasonably assuming $640 level is the first head. Upon it reaches the first bottom, a news of stock split, dividend payment or such things similar may drive it to rebound.
A rough estimate tells that: suppose big boys have only 15% (should be much much more than it) of AAPL outstanding shares, which translates to 150M, and suppose their average entry price is $200 (should be much much less than it), which is the first correction price and first support around Dec 2009 since Mar 2009, when was the start of the current big bull run, if they successfully unload all of them around $420 on the average, which is the gap support. They lock in 150M * $200 = $30B.
Imagine what the annual total profit of all investment banks! For example, JPM made $17B in 2011. So AAPL trending is a very big project!
Also, think about MSFT buy-back program used $2.7B and drove the price from $27 to $33. That's about the money all people made from MSFT in the first quarter of 2012. Then such crazy MSFT trending for the whole year, $27 + $5 * 4 = $47, can make big boys lock in up to $10B, which will never happen.
2012年4月底，Nasdaq指數接近3000點，但除了一些主要的權重股，大多股票幾乎都沒有行情，所以，the then wave of general market trending aimed at helping distributing AAPL given the volume and price (DA) of AAPL.
AAPL shall contribute huge profit to MMs together with the manipulation on index futures. For example, the daily DA of AAPL was roughly 5 times of that of MSFT. For another, the price was about the same as GOOG's, yet the daily volume was about 6 times of that of GOOG. Ie, the profit made from AAPL alone could be the combination of all MSFT/GOOG/INTC/AMZN. In addition, keep in mind that the price of AAPL was as low as in single digit during accummulation years ago. It must be a huge project! Just look at AAPL company management actions: events one after another. It reminds of AMD in 2005, whose price ran up to $40+ before topping with postive company news piling up.
AAPL distribution will take time because of it's big shares outstanding. Such a huge stock is not going to top in one month, it needs more time. It's a big project, which strives to get the best result! There is good reason on how it goes as it does. For example, AAPL went up 50% in the first three months of 2012, the only reason must be that there are people who buy at those price levels. And when there are buyers, major holders can hold up to sell at better price levels.It needs big players such as MSFT/INTC/CSCO/GOOG to cooperate to fire up a bullish sentment. AAPL may make new all time high a few months later. Shorting AAPL on the second top or the second inverse V of M head may be a good source of making money starting at sometime in 2012.
Usually for a middle cap such as 200M shares outstanding, the first 1/3 price downtrending after topping takes 2/3 of the time and the rest 2/3 price downtrending takes 1/3 of the time which means it falls much faster after decent distribution. It may make a well all time new high after the first massive dumping. For example, take a look at RIMM 5 year weekly charting, think about RIMM price range of above 80 (till 06/2009), 40-80(06/2009-02/2011), and 70 below starting 02/2011. RIMM made a new high six months later after the first massive distribution in 11/2007.
On April 30th, 2012, YTD dollar amount of AAPL is 40-45% of that of all NDX 100. While the reasonable cap of AAPL shall be 1/5 of MSFT when it finally goes where it should be, ie, about $50 per share without split (OS:15% vs 85%, both will lose to GOOG with smart device computing becoming more and more popular and hence MSFT will lose market share gradually):
1, the fact that DAs of GOOG/MSFT/INTC/CSCO/QCOM etc. have almost been always among top 10, confirms that they are major index manipulators. It also suggests that in general, dollar amount analysis is not a good idea to analyze the general market.
2, however, it's a good idea to find exceptions. BIDU/AAPL are very special exceptions and hence dollar amount distribution becomes important. In BIDU's case, its cap stabilizes around $40B, about 1/3 of INTC, which means that it's very overvalued. But it's hard to tell so when it's in the early or middle uptrending because its price was relatively low (it also means dollar amount is not a good way to pick good stocks for buying and holding long). In AAPL's case, it's easier because anyway it has alway been in top 10. In the conculsion of both cases, it implies that dollar amount is a way to predict distribution, ie, the early stage of big downtrending (it implies it might be a good way to pick selling shorts). So is the PCLN case.
Given the examples of BIDU and AAPL, price above $500 is some sort of sign for topping. The fact that GOOG didn't make all time new high in the bull trending of 01-04/2012 confirms so. BIDU, which used to be a 35M small outstanding shares stock before 10:1 split, doubled its price after split at $700. The dollar amount of BIDU ranked #1 in NDX 100 in 2007 and 2008, especially noting that its market cap was not that big and it had a strong uptrend after 2009. AAPL/GOOG, which are already big outstanding shares stocks, shall be different, ie, GOOG will stay as-is with new non-voting shares issuing while AAPL may go free fall as RIMM did (RIMM made a pre-split all time high of $280 in 2008, if general market had been good it could have made $500).
In a bull market, the dollar amount usually goes up. However, starting 2009, this kind of trend has not happened. In 2012, although stocks are moving up a lot, the dollar amount number didn't increase. The reason could be that huge dollar amount and dollar amount percentage of AAPL implies it's the biggest project that matters for big boys at the current market, in addition to:
1, less stock tickers. For example, in 2005, there were 3100 stocks on Nasdaq, and now 2700.
2, less frequently traded. For example, Lehman Brothers and Bear Stern disappeared, BAC consolidated its trading department with acquired MER, JPM laid off traders as publicly reported. In addition, hedge fund business has shrank a lot since 2008. Due to economy setback, monthly cash flow to 401K and mutual funds becomes less etc.
In fact, the uptrending since Mar 2009 has been lack of volume support. So this is nothing new. The explanation could be that big boys have become more controlling over the market. To illustrate, think about 1000 shares of something evenly held by 10 holders each of which holds 100 shares. In another scenario, 900 shares is held by somebody and the other 9 guys hold in total 100 shares. Apparently, in the first case hands-change rate must be much higher because nobody has the dominant controlling power.
由此可見，對於大股票，由於占據相對整個市場總成交額很大的比例，利潤率就不是重要的考核指標了，取代的是總利潤，因為這種股票的成交(Transaction)占據了顯著的Prey資金資源。
比如，GOOG的股價與AAPL相仿，流通盤在同一個數量級265M vs 940M，三個月內的日均成交量2.8M vs 18.6M，吸引的總資金量比為18.6M / 2.8M = 6.6倍，由此可見，這兩隻股票相對於市場總成交額的影響相差很大；AAPL的換手率是GOOG換手率的(18.6/940)/(2.8/265) = 1.9倍，即個股成交活躍度也顯著不一樣。
考慮到GOOG是周期性股票，而AAPL是超大行情的吸籌-出貨性股票。以GOOG的平均出貨高點為$550，平均吸籌點為$400，平均成交量淨出貨率為20%計算（參看上麵Effective Selling概念），每單位換手率利潤為($550-$400)*20% = $30。而對於行情性股票AAPL，以平均出貨高點為$500，平均吸籌點為$100，平均成交量淨出貨率為30%計算（行情性股票出貨率肯定大於周期性股票，因為沒有護盤壓力），每單位換手率利潤為($500-$100)*30% = $120。兩個項目的估算總淨利潤對比為($120*980*1.9) /($30*265) = 28倍。
所以，當個股市值很大時，市值和成交金額是很重要的概念，因為這意味著對該股運作行情時的巨大成本。
另一個例子，比如FB IPO。FB was ever marketed $150B for Saudi Arabia to buy, which implied that FB's best cap target was $150B. With IPO debut of $104B, there should be no good 3R chance. Given the debut trading volume of 580M with total shares outstanding 2.7B, its going down was not surpring at all.
In order for IPOs to go up, there must be a time-consuming process of accumulation which needs to perform shakeout. Internet companies IPOs in 1999 were exceptions because of the market sentiment and the in general huge money in-flow.
At the same time, IPOs are different nowadays, such as LNKD/GRPN, before they IPOed, they were traded in massive size by big private equity players. Take a look at LNKD, it went straight down after IPO and so far has barely gone beyond its IPO price after recovery. Also take a look at GRPN, it went straight down right after IPO. So these days IPO has become a perfect deliberate way for big Pre-IPO holders to unload. For small companies, such as BIDU/OPEN, before they had a significant uptrending, there were accumulating processes that last a long time with BIDU for years and OPEN for about a year. Unlike LNKD/GRPN, FB is a stock with huge outstanding shares of 2.7B which means it doesn't have the potential of split. So LNKD/GRPN may have a good uptrending when conditions fit, but FB may be different.
請閱讀更多我的博客文章>>>
