Daily Highlights: 7.31.09
Submitted by Tyler Durden on 07/31/2009 - 07:19- Initial jobless claims in US increase; total rolls unexpectedly decline.
- US Treasuries fell, heading for a 4th monthly loss on speculation GDP improving.
- Japan's unemployment rate rises to a 6-yr high in June; Consumer prices fell at a record pace.
- Asian stocks rise on profit reports; MSCI Index set for fifth monthly gain.
- AK Steel announces price increase of $40/tonne for its carbon steel products.
Cash for Clunkers Part II- It’s All Clunked-Up
Submitted by Travis on 07/30/2009 - 21:21The seemingly wildly popular program that gives an instant rebate for your old hunk of crap car, just may get crapped-out itself… Much sooner than planned.
Daily Credit Summary: July 30 - Whither The Facts
Submitted by Tyler Durden on 07/30/2009 - 19:09Spreads were tighter in the US as all the indices improved (though leaking wider most of the day from a gap tight open, albeit with HY closing below 800bps). Indices typically underperformed single-names with skews mostly narrower (and this is becoming critical as IG is in mid single-digits and HY skew is very tight - perhaps signaling some room for HY-IG decompression or just single-name protection buying hedged via the index) as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY's skew widened as it underperformed.
SIGMA X Rarely If Ever Discloses VWAP "Child" Orders To The Market
Submitted by Tyler Durden on 07/30/2009 - 17:46"Enhanced VWAP algorithm places child orders in SIGMA X without displaying them to the market. If the child order executes within SIGMA X then it is never displayed to the market ahead of the trade. If the order does not execute within SIGMA X, the algorithm routes it to the public market where it is displayed." - Goldman Sachs
From A Former Goldman Managing Director: How You Finance Goldman Sachs’ Profits
Submitted by Tyler Durden on 07/30/2009 - 17:10"This is perhaps the most important thing I learned over my years working on Wall Street, including as a managing director at Goldman Sachs: Numbers lie."
Whoa, A Glitch In The HFT
Submitted by Tyler Durden on 07/30/2009 - 15:59
From the creator of Citadel's HFT desk for options: "You have multiple HFT trading firms and sometimes their agendas are complementary and sometimes they’re not. There could be a time where these HFT programs unintentionally collaborate and you have a two- or three-minute period where the markets are going crazy. Then other traders respond to it and it simply gets out of control."
SEC Begins Probe Of Flash Trading
Submitted by Tyler Durden on 07/30/2009 - 14:30The SEC (the C stands for Competence right?) is miles ahead of the curve on this one. Miles.
Instinet On Flash, HFT, Co-Location And Other Potential Revenue-Loss Sources
Submitted by Tyler Durden on 07/30/2009 - 13:42"This is not to say that we are always willing to trade against HFT, but our job as an agency broker is to determine the right price and liquidity opportunities with which to interact in executing trades onbehalf of our clients."
Guest Post: 30 Year Review Ahead Of Short Term Auctions
Submitted by Tyler Durden on 07/30/2009 - 13:29A brief review is in order of the long term chart before heading to the short term daily charts. Since 1984, the 30 year has been hammering out intermediate term bottoms at key 50% retracements. See the examples from the Oct 1987 low, the Sept 1990 low, the Nov 1994 low, and the May 2004 to June 2007 lows.
$28 Billion 7 Year Auction Hail Mary From Indirects
Submitted by Tyler Durden on 07/30/2009 - 13:15
Nothing like scaring the indirects shitless after the collapse in interest in yesterday's 5 Year auction. The Fed's yo yo game with the capital markets continues.
Barney Frank Recommends Only Dealers Trade CDS
Submitted by Tyler Durden on 07/30/2009 - 13:05The Committee on Agriculture set to nuke CDS trading, compliments of GE reincarnator Barney Frank
CNBC Viewership Down 28%
Submitted by Tyler Durden on 07/30/2009 - 12:24
For all who were wondering why CNBC is advertising products treating female pattern baldness, here is your answer.
All The Juicy Bank Bonus Details Compliments Of Cuomo
Submitted by Tyler Durden on 07/30/2009 - 11:37With a title like "The 'Heads I win, Tails you lose' bank bonus culture", what's there not to like about Cuomo's latest. Also, sheds some light on why perpetuating a grossly inflated Ponzi market is where it's at come December.
CNBC Is Now Flagrantly Misrepresenting Reality
Submitted by Tyler Durden on 07/30/2009 - 10:52
As of 10 minutes ago, Larry Kudlow would like you to believe that Q2 earnings are so much better than Q1. That is a flat out lie. The chart below, straight out of Bloomberg which we demand all readers with a BBERG terminal replicate using SPX Index EA <go>, demonstrates that Q2 earnings are now in fact worse than Q1. While in Q1 the YoY EPS drop was -31.49%, as of right now the drop is -32.41%. And the drop in revenues is much worse.
With VIX Failing To Respond, Investors Getting Long Correlations
Submitted by Tyler Durden on 07/30/2009 - 10:37
With the VIX - S&P intraday correlations now broken on a daily basis, investors are now going long equity option implied correlation (factor linking individual member vols to index vols). With the VIX openly gamed, is the ICJ now the relevant indicator for portfolio insurance?
