Sentieo offers several tools to help you monitor the market and individual stocks; specifically, we are introducing new features with Most Active Stocks (MOST) and World Equity Indices (WEI) which will bring new ways to analyze intraday price changes top-down and bottom-up, and spot trends and abnormal market activity as they happen.
Most Active Stocks (MOST) lets you combine tickers from multiple sources (individual Tickers, watchlists, ETF holdings, etc..) into an aggregate view which you can then filter in many useful ways. MOST incorporate many intraday market activity indicators such as price change, Volume of trading at different time horizons, Average Value At Time (AVAT), and Value traded.
MOST also offers a plot of the Normalized Total Return of any selection of items from the loaded aggregate watchlist and a historical log of the daily 52 week Highs and Lows.
It is the perfect go-to tool to monitor the market activity of a watchlist.
World Equity Indices (WEI) offers multiple pre-defined lists of indexes and ETFs, and helps build quickly a broad and high-level view of major markets and sectors.
Each list focuses on a specific region or gives insight into specific industries.
You can also dive into the constituents or holdings of a specific index or ETF, and identify what sector or individual member is driving the ETF move today.
WEI is also equipped with graphs for the Normalized Total Return, and cumulative average traded volumes at different time horizons, as well as z-score alerts to identify unusual volatility.
Please check the individual articles on MOST and WEI for further specific on the workflow of these tools.
Spot Abnormal Market Activity: AVAT and Z-Score
Two major features of MOST and WEI are crucial quantitative tools to identify abnormal market activity based only on the intraday market data: the AVAT and Z-score.
Z-Score, or when a stock move matters
Is a 5% intraday stock change as significant for Walmart (WMT) as it would be for Tesla (TSLA)? The answer is not really…
Tesla is a young company with a lot of uncertainty around the trajectory of its financials and a rather changing shareholder base; there is a clear opportunity for it to become the next General Motors, but also so many “ifs” along the journey which could turn it any time into a soon forgotten fade. As expectations and sentiment, and also fate in the story evolve quickly, the stock price changes every day by large amounts, often by even more than 6% one way or the other.
At the other end of the spectrum, Walmart is a very predictable company; Covid-19, Brexit, global trade tensions, and most other sources of market stress will not affect people’s need to shop for groceries, so while long term structural trends such as consumer preferences and move to online may drift the stock in a certain direction over time, the daily newsflow rarely causes sudden significant jumps or sinks and shares rarely trade up or down by more than 2%.
So 5% is therefore a “normal” — an even weak — daily move for TSLA, and it would be a rather large move for WMT.
The Z-score is a general measure of what is a good “normal” level. The z-score tells you by checking only one number if today’s move is abnormally big, even if you are not familiar with the stock.
- a z-score of 0 means the current stock move is roughly the same as the average daily %change of the same stock seen in the past 90 days.
- a z-score above 1 means the current stock move is bigger than 68% of the daily % changes of the same stock seen in the past 90 days,
- a z-score above 2 means the current stock move is bigger than 95% of the daily % changes of the same stock seen in the past 90 days,
- a z-score above 3 means the current stock move is bigger than 99.7% of the daily % changes of the same stock seen in the past 90 days.
Therefore, the higher the z-score, the more unusually big the stock move is; and since the z-score is a normalized metric, the threshold discussed above are the same for any stock, so it is easy to remember and interpret the data even if you are not familiar with the stock.
How is Z-score calculated?
Z-score compares today’s %change of the stock, to the average daily %change of the stock over the past 90 days;
%ch intraday – average daily %ch of the past 90 days
Standard deviation of the past 90 days %ch
Dividing by the standard deviation normalizes the difference from the mean to become a multiplier of the standard deviation of the sample.
Z-Score in WEI
Z-score drives visual alerts on WEI to attract your attention to unusual moves:
- When as stock is trading with a z-score above 1.5, the %change cell borders become highlighted in red.
- If the z-scores goes beyond 2, it first flashes in red to attract your attention, then it remains highlighted.
You can see the z-score by hovering over the %change cell.
Spotting big trading volumes with AVAT and %ch in AVAT (Average Volume At Time)
It is important to be aware when a stock starts to trade at abnormally high volumes; It could indicate many things, ranging from important information spreading on the market to simply the execution of a large order from a major investor or the execution of a stock buyback. In both cases, there could be considerable implications to your investments which is better to understand as early as possible to react in a timely manner.
What is a big trading volume?
Is 10,000,000 traded shares at one point of time in a day a lot? just like for Z-score, the right answer is … “it depends what stock…”
A stock like AAPL is held by thousands of funds and investors around the world, and the general money flows in and out of ETFs is enough to drive huge volumes of trading every day as fund units are created and retired. An average of over 130m shares of AAPL exchanged hands every day in the past 3 years, with some days peaking at over 400m.
Mastercard (MA) on the other hand, despite being part of major indices such as the S&P 500, is much less liquid, and only traded an average of 4m shares a day over the past 3 years.
This can also be seen by looking at the dollar volume liquidity of MA relative to AAPL; (DVL multiples the stock price by the volume so it levels out relatively high volumes due to a smaller stock price).
So how can you tell when a stock volume starts to trade at abnormal volumes?
AVAT, of Average Volume At Time, compares the volume of trading up to a point in time in a day to the average up to the same point in time in the past few days.
As it compares a stock to its own usual trading patterns, it’s the best way to quickly identify stocks with an abnormally high or low volume of trading.
%change in AVAT shows the relationship between the AVAT and a historical AVAT at a chosen time horizon.
- %change in AVAT of 10% means the current volume of trading is 10% higher than it usually is at this time of the day.
- %change in AVAT of 50% means the current volume of trading is 50% higher than it usually is at this time of the day.
AVAT is available in both MOST and WEI.
In WEI, Sentieo also offers a visualization of AVAT today and over different time horizons, so it is even easier to interpret and spot the exact time where AVAT started to diverge over the usual patterns.
AVAT in action – real-life example (WEI)
On Sept 24, 2020, several Fed officials at various press events and talks highlighted the need for Congress to deliver for fiscal stimulus to counter and rebuild the effects of Covid-19; the market was spoked by the unusually direct tone of the interventions, suggesting the outlook of the economy was on more shaky grounds that it appears;
(1) the moment Fed officials started to talk can be seen could be spotted on the traded volumes of SPY; the AVAT was clearly taking an usual turn compared to the average volume at time of the past few days and months.
(2) Such high volumes beat by far any of the rolling AVAT averages of the past 3 months, suggesting Sept 23 2020’s events were dramatically more impactful on the outlook of the stock market than most announcements of the past 3 months.
As the AVAT trace of the day is built on the go, it is easy to stop these trends as they happen and think of ways to react to the events unfolding (review your holdings, take advantage of the opportunity to lock in some trade, etc..)
Visual Aid: Boxed number for outliers
A percentage value is boxed in red or green if the z-score (90-day) is either above or below 1.5, i.e. 1.5 standard deviation away from the mean change of the past 3 months.
Mouse over provide some context around the visual alert, including the value of the Z-score. (See above for more detail on Z-score and AVAT).
ETF and Mutual Fund Holdings
To assist you with quickly scanning the market, we include now in Sentieo a vast library of portfolio holdings to choose from and load into WEI, MOST, and Price Monitor;
- US ETFs and Mutual Funds: a total of over 25k holdings portfolios to choose from.
- US Institutional Investor: the latest known portfolios of 13F Filers
- Exchange listings: all known listings of a given exchange
- you own watchlists
Please note our dataset is based on available public filings, which means data is only updated once a quarter in some cases;
We are adding further data sources over the coming months so most of these will gradually become updated on a daily basis
Performance by Segment in WEI: We have the portfolio holdings for most of the ETFs included in WEI. The bottom right panel of WEI (below) shows a breakdown of the performance by GICS segment.
You can drill further into sectors industry and sub-industries, then to each individual stock’s performance contribution to the full intraday performance of the ETF/Index. The panel also offers the top movers.