Archive - Jul 2009

First Goldman, now High Frequency Trading... The media onslaught is converging.

Here is your chance to possess a very limited edition of Zero Intelligence. Only 200 of these will be made. All the proceeds will go to fund the CNBC Talking Head Education Infrastructure Fund, L.P. (i.e., our servers) which, even though being 3 and 30 is very rapidly depleting.

"If you're an E*TRADE customer who lives in California, Florida, Maryland, Massachusetts, Nevada, New Hampshire, Pennsylvania, or Washington, you may be eligible for a class action settlement regarding the undisclosed recording of phone calls without your consent."

Better late than never.

Raspberries as an LEI? What's Lord Maynard Keynes got to do with this? Illegal workers don't count? We have how much effective unemployment?

Spreads 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 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.

"Lots of feedback on the high frequency trading issue"

You 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.

I 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

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.

More To Come

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

Zero 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.

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.