The New York Times Unleashed On High Frequency Trading
Submitted by Tyler Durden on 07/23/2009 - 21:22Better late than never.
Daily Credit Summary: July 23 - Up But Not Out
Submitted by Tyler Durden on 07/23/2009 - 18:07Spreads were tighter in the US as all the indices improved (as HY outperformed IG with the latter making all of its moves by 11amET and flatlining the rest of the day at 2009 tights - pulling modestly wider into the close). Indices typically underperformed single-names (thanks to some tail risk compression in CIT, ILFC, and TXTFI) with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew. The IG curve steepened (in the face of TSY steepening) but remains significantly steeper than intrinsics as the steepening was more in the longer-end than we had seen in the short-end recently.
We Are Not Ungrateful...
Submitted by Tyler Durden on 07/23/2009 - 17:04
We would be remiss if we did not acknowledge that the recent free ad campaign on behalf of Zero Hedge by General Electric has been much appreciated. We thought it is only fair to return the favor with some advertising of our own.
Whitney Tilson Probes Deeper Into High Frequency Trading
Submitted by Tyler Durden on 07/23/2009 - 16:25"Lots of feedback on the high frequency trading issue"
"This Call Is Being Recorded For Quality Service"
Submitted by Marla Singer on 07/23/2009 - 15:31You would think that, having run an investment firm of his own, the likes of Steve Rattner would realize that many hedge funds, particularly trader-centric firms (and which aren't?) record their calls. Apparently, that detail escaped him during the Chrysler bankruptcy fiasco.
More Child Abuse Heaped On Zero Intelligence
Submitted by Tyler Durden on 07/23/2009 - 14:19I was interrupted from peacefully watching a financial news station (Bloomberg TV lest there be some confusion) when I got this email: "the sweaty, drunk guy on CNBC is bashing you again." Curious, I decided to investigate. Not surprisingly some more ad pseudonymem amusement ensued
256,357 Initial Unemployment Claimants In June, 2,519 Mass Layoff Events
Submitted by Tyler Durden on 07/23/2009 - 13:39
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
Submitted by Tyler Durden on 07/23/2009 - 12:45
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
A Plea For Your "Made In China" Garbage
Submitted by Tyler Durden on 07/23/2009 - 12:26Zero Hedge is currently in secret negotiations (see GE subsidiaries, we can leak market moving, secret stuff too) with Walstreetpro, finalizing the terms of his contributor status to our little (but growing) community.
229 Billion Reasons To Squeeze The Market
Submitted by Tyler Durden on 07/23/2009 - 11:58
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.
The Market X-Files: July 23 Edition
Submitted by Tyler Durden on 07/23/2009 - 11:19
The curveball: Now VIX is directly correlating with stocks. Last time that made sense was, well, never, even though it happened just over a week ago. The Black Swan reverse migration is the market melt up this time around.
Lime Brokerage: "The Next 'Long Term Capital' Meltdown Will Happen In A Five-Minute Time Period."
Submitted by Tyler Durden on 07/23/2009 - 10:21"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."
Barack Morpheus Preaching To Americans To Believe Whatever They Want To Believe
Submitted by Tyler Durden on 07/23/2009 - 08:17Zero Hedge presents Obama's take on healthcare reform as represented by popular movie culture. Mr. President, just as an FYI, the blue pill was (is) the wrong choice.
Morhpeus: This is your last chance. After this, there is no turning back. You
take the blue pill - the story ends, you wake up in your bed and
believe whatever you want to believe. You take the red pill - you stay
in Wonderland and I show you how deep the rabbit-hole goes.
As an aside: is America doomed to promote policy and relate to a mass audience only by anchoring to widely symbolic film narrative such as "The Matrix", "The Big Lebowski", and "Fight Club"
Frontrunning: July 23
Submitted by Tyler Durden on 07/23/2009 - 07:54- 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)
