256,357 Initial Unemployment Claimants In June, 2,519 Mass Layoff Events

The BLS has released the most recent mass layoff event and initial jobless claim data. The initial claimant data has dropped by about 34k month over month, and is 70.7% higher on a trailing twelve month basis. Comparable data for the initial jobless claims apps.

The Other Plunge Protection Team: 122,017 December SPY $95 Puts

Not much commentary needed. Last night open interest was 28,197. Volume so far: 122,017. 122,000 lots = 12,200,000 shares - at around $95 each - that is a $1,159,000,000 notional trade

229 Billion Reasons To Squeeze The Market

The bond vigilantes (and PIMCO which just loves the short end) will be happy to see this. And the equity market will need a higher point to drop from as $229 billion in capital is reallocated.

Lime Brokerage: "The Next 'Long Term Capital' Meltdown Will Happen In A Five-Minute Time Period."

"Lime's familiarity with high speed trading allows us to benchmark some of the fastest computer traders on the planet, and we have seen CDT (Computerized Day Trading) order placement rates easily exceed 1,000 orders per second. Should a CDT algorithm go awry, where a large amount of orders are placed erroneously or where the orders should not have passed order validation, the Sponsor will incur a substantial timelag in addressing the issue. From the moment the Sponsor’s representative detects the problem until the time the problematic orders can be addressed by the Sponsor, at least two mintues will have passed. The Sponsor’s only tools to control Sponsored Access flow are to log into the Trading Center’s website (if available), place a phone call to the Trading Center, or call the Sponsee to disable trading and cancel these erroneous orders – all sub-optimal processes which require human intervention. With a two minute delay to cancel these erroneous orders, 120,000 orders could have gone into the market and been executed, even though an order validation problem was detected previously. At 1,000 shares per order and an average price of $20 per share, $2.4 billion of improper trades could be executed in this short timeframe. The sheer volume of activity in a concentrated period of time is extremely disruptive to the process of maintaining a “fair and orderly” market. This shortcoming needs to be addressed if the practice of Naked Access is going to be permitted to continue; otherwise, the next “Long Term Capital” meltdown will happen in a five-minute time period."

Frontrunning: July 23

• US Initial Jobless Claims (Jul 18) W/W 554K vs. Exp. 557K (Prev. 522K, Rev. to 524K)
• "If there's a blue pill and a red pill, and the blue pill is half
  the price of the red pill and works just as well, why not pay half
  price for the thing that's going to make you well?"- Obama (Washington Examiner)
• Zero Intelligence trading closely mimics stock market (New Scientist)
• Jonathan Weil: Accountants gain courage to stand up to bankers (Bloomberg)
• Obama's Fed Risk Regulator plan fading as lawmakers back council (Bloomberg)

Porsche CEO Steps Down- VW Merger To Happen

Porsche and VW can not stop playing "Dynasty," finally "do the nasty" and merge.

Morgan Stanley's Stephen Roach: "A Rude Awakening"

The Vice Chairman of Morgan Stanley Asia destroys any last germinating green shoots.

"Green shoots are a very simplistic way to look at the world." Why is it no surprise that Fed Chairman Ben Bernanke came up with it.