Archive - Aug 2009

ABC Weekly Consumer Confidence has flatlined, and not only is it down to -49 from last month's reading of -47, it is at exactly the same place it was two months ago.

Spreads were broadly wider in the US as all the indices deteriorated (with HY underperforming IG and wider for the first time in over a week) as IG closed at its wides in direct opposition to the S&P closing at its highs. Indices typically underperformed single-names (with the IG skew now the tightest during this contract but intrinsics holding at the 118bps support level) with skews widening in general as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL's skew widened as it underperformed, XO underperformed but compressed the skew, and HY's skew widened as it underperformed.

Profiling a great economist and human being whose honesty has driven him from politics and to the People.

Oddly enough, Jefferson county which got into a dash of trouble buying some interest rate swap or another without reading the prospectus which despite guaranteeing perpetual appreciation distinctly said in the invisible print that total loss of principal is another side effect of transacting with Wall Street, has apparently been unable to participate in today's 175/75 L/S unwind which blew the REITs into the stratosphere and got Bob Pisani's panties in a bunch.

"Trepp will focus solely on CMBS. PIMCO will perform a broader role which encompasses the entire TALF portfolio, including both mortgage-backed and non-mortgage-backed ABS. The collateral monitors will not establish policies or make decisions for the New York Fed, including decisions whether to reject a CMBS as collateral for a TALF loan or exclude loans from mortgage pools."

"We of course expect the SEC to follow its procedures for the implementation of this new rule, but there is every expectation the Commission will vote for it. The bottom line is, this practice will be eliminated."

-- Charles Schumer

Zero Hedge recently discussed Implementation Shortfall (slippage) costs courtesy of empirical data made available by ITG. We are happy to share with our readers some of ITG's perspectives on the topic of Flash orders and Dark Pools.

Wow, what a day in the casino. Frantic traders trying to "make their year" are becoming even more keen on identifying where the fast action is.

"While [your] scare tactic may work in Chicago, it will not work to intimidate me or other Members of the United States Congress."

- Darrell Issa to Rahm Emanuel

I am broadcasting on all IP frequencies. I will be at 85 Broad everyday at midday, when the sun is highest in the sky. If you are out there—if anyone is out there—I can provide charts, I can provide
data, I can provide flagrant breaches of market integrity. If there's anybody out there in the SEC's enforcement division—anybody—please, you are not alone.

If you want to ramp the market, do so on low volume days when your strategy is the dominant marginal price maker. Enter Exhibit A.

One wonders what Linear Algebra and its Applications would have to say about this.

In another case of the Feds proping up zombie banks, sources have reported that an SEC memo has stated that the FDIC will seize Guaranty Bank and it will not be sold as previously rumored.

Ignore the retracement, it is just the 19 year old momo quants "with no financial or business background" who are about to get a rude awakening in what happens when non-linear equations diverge from the stock market.

Next up: SIGMA X and Dark Pools

Poll of the day: Where does Medallion close 2009?