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Another 100% Inversely Correlated Price-Volume Day
Capital Markets 101 - Futures surging as volume plummets. Computers subpennying any and every VWAP order far above fair execution price. Rinse repeat. Any questions?
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Maybe they realized it's Friday?
Let them have their little victories. There is no conviction on the upside. When the markets wake up to realty and volume hits on the downside, it's going to be a hammer.
Bango
Hate to admit it but with summer time rolling around and most traders beaching themselves in the sun, there will be many days to prop these markets up with little powder. Which is exactly what the Administration want, so as to depict an economic picture that looks perfectly fine. Just check out an penny stock with little volume, each trade that occurs will be a big percentage move, then the next time it trades, it goes down the same amount. This is how the current environment looks like and its obvious that there is NO liquidity out there, especially with all the outflows out of equity.
Actually it would be in the PTB's best interest to let it go down slowly now, then let it fall too far in late August. Then the market would recover to "fair value" so there would be a lot of green up days leading into the election. Never forget that the sheeple have very short memories, almost forget what happened yesterday.
Agreed firstdivsion,
Although IF it is being algoed up each day then the need for QE2 becomes less of a problem (because 'all's well').
London (FTSE) was very odd movement wise this afternoon, it's now after hours and the 'three pips up two pips down' has started.
I'm just wondering about profit taking today given the strength of this week's move though (apparently heading to be the best Dow and S&P week since July 2009).
DavidC
don'tcha know
Its unfucking beleivable. In the ES getting 1 pt. moves on less than 2000 contracts, its like after hrs. volume. Volume has been under 4000 contracts for about 2 hrs on a 1 min. chart. Protecting 1067 like its the last virgin on the planet.
After 10:45 there are a lot of sub 1000 volume minutes, many as low as 200-300 contracts. Looks like a rebellion - traders vs. HFT refusing to buy the rally.
+1
Bullshit. They got rid of all the sellers, futes went to 1003, I think we had 11 down days in a row, even during the collapse, I think we only had 8 down days in a row. They worked REALLY hard to get rid of all the sellers. Hence, there are only buyers left. I'm surprised that it didn't slingshot 100 points.
There just HAS to be buyer, at any price, right?
I see this as a sign of desperation, not just profit making. I love the smell of fear on a low volume Friday morning.
BTW Gold seems to understand what's going on.
Bongo, except gold still targeting 1110 perhaps with margin calls from impending doom...
if you got'em ... sell 'em.
Done
The disconnected EuroYen leader seems
to have reconnected today in a big down way...
this is a sellers market, banks offloaded their junk at discount window and bought stocks on margin for the proceeds. now they own everything and it is up to them for how much they sell it. i, for one, aint buying at any price.
+1 I agree. I am not giving a nickel to some corporation so they will have even more power to lobby and buy of our paid for politicians. Not to mention why let your money get skimmed by a bunch of HFT computers.I found a copy of a 1970 Value line survey in a used bookstore. Two things stood out glaringly. One dividend yields of 6 and 7 per cent were common then and corporations were taxed at a 50% rate then. My how far we have come since then. I am not paying for their Yachts, hookers, Monaco poker chips or their coke habit. Joe Smoe is in quiet revolt. STARVE THE BASTIGIGES
It only works if you believe it which nobody with a proper mind does.
It is no different than a con with 3 men standing in a circle bidding up a 20.00 necklace on the street to 45.00.
They are reliant upon passerbys to get excited and step up to check out the commotion and buy as many overpriced necklaces as possible.
Well retail ain't buying, mutual funds are not buying and really it is just a few day traders chasing momentum with their fingers crossed.
There will be no repeat of 2009 summer. We will retest March 2009 lows withing 12 months.
Would it not be interesting if public markets did not open some daze this summer due to lack of interest disguised as BP concerns?
are you saying if things get bad enough in the markets and BP continues it's path to bankruptcy that out of fear of "systemic risk" from a BP collapse they might just flat out close the markets? I suppose anything is possible in the "new normal".
Could be. I think hedge funds are salivating and smashing the big banks trading desks into oblivion and I am grateful they exist to aid in price discovery sans manipulation. Nobody likes being forced into one side of the trade and it has gone on long enough. No matter when it is and the money funnel is turned off the Fed has only multipled the pain.
What's new about it? Check your history Hoss. And it's not just equities. Ask Bunker Hunt what happens when you get those who control the market on the wrong side of the trade. There is nothing new under the sun. Hopefully you've assigned some sort of probability to that scenario, because the odds of it happening are somewhere north of zero.
If I'm an HFT-centered fund, why not take advantage of low liquidity to drive the market up?
Thats how we get flash crashes.
Doing the math:
$11 Trillion S&P Market cap times 5 Billion shares a day
a paltry $55,000,000,000,000,000,000,000 a day.
Chicken feed.
Oh, and then there are $615 Trillion in unmarked OTC derivatives, two thirds of them interest rate sensitive and most slated for the exchanges.
Piece of cake.
Does anyone else see a market meltdown here as an irresistible force meets an immovable object?
No wonder BRK debts, derivatives and portfolios were down-graded.
Earnings begone...
Yes, scenario planning:
http://en.wikipedia.org/wiki/Scenario_planning#Development_of_scenario_a...
Why many here are looking.
Range of possibilities.
- Ned
What happens when all of the computers squeeze out all the old fashioned "human" traders? Can they trade just against each other?
This market is a joke, its not worth it anymore. I am headed to the beach.....PEACE!
Look out for the toxic sludge there at the beach!
Yes, they could...and that's how you'd get higher volatility and more flash crashes. Think the market's broken now?
DavidC
Futures stopped being about the future, it is about now as the trading hours, in the in-between hours and on-hours too for good measure.
flash bulb doink, thanks
then again, I'm new meat to the slaughter.
- Ned
The Dow will bounce from 10200 and SP500 will close at max 1070. Bear market rally is over. Good shorting oportunity ahead.
Bingo
Don't forget to put your shorts in this weekend before you go see Predators.
1074.57 gap filled
Excellent observation.
Will also observe futures selling at a steep discount to cash.
So, if HFT is driving this market, and HFT is a high volume activity, then the volume must be really really low, if you could adjust for HFT volume amplification/distortion... if that makes any sense.
Or in other words, there's no volume.
Or in other words, bids bitches (sorry... couldn't resist).
It takes two to tango in the market, buyers and sellers. For the HFTs to make money they need a sucker to buy. No humans are buying, thus the market has hit a limit.
"Computers subpennying any and every VWAP order far above fair execution price."
Got that right. Sold some calls this AM and everyone was at or above bid or last.
Taxpayer dollars at work?
Looks like the computers are busy bidding everything higher during trading hours, nights and weekends theyre building T-1 terminators. Things are about to get crazy.
The T-1000 will definitely attempt to reacquire you there... I would"
Computers subpennying any and every VWAP order far above fair execution price.
Kiddies, if one of the Big Brains feels so inclined, and would be kind enough to explain the above in my native tongue of "Dum-Dum", it would be so much appreciated...
If not, no worries - happy trading... CB
Haha Unfortunately "Computers subpennying any and every VWAP order far above fair execution price." is an idea that Mr ATG is producing from the depths of his conspiracy-driven imagination.
I too would like to get a simple translation of how the above is done in practice. Maybe we can learn something from his vast experience in the automated trading industry.
From earlier this week...
http://www.youtube.com/watch?v=xOr5suFJ6-k
The activity Carl's video shows is called flashing and from what I saw, it wasn't just happening on the bid side. This activity aims to capture the spread (a quarter in this case which is a huge profit in hft terms). Unfortunately flashing does not move the market even if multiple players participate because there are hft players on the other side who use mean reversion strategies, calculating the velocity of every price move (this is how they know whether put on the directional trade or take the other side). If the price moves due to an absence of liquidity (no quotes on certain price levels) rather than large trades that execute all limit orders in their path, they quickly rush in to put their quotes on the other side to arb the move (the later is clearly evident in this video)
HFT need large institutional (broken down into many smaller trades) to dictate a direction for the price. They, themselves do not move the market in any direction without guidance...
any questions??
yes....
when the hell will this FAKE rally end....
The key to this market is the range formed by the AUD/JPY 2 nights ago. A break below 77 (76.85 precisely) will tip this market into the other direction. It was tested 4 times yesterday and the market staged a "last 30 min of the day" rally after it failed to break. Since last evening, it has started narrowing into a triangle formation - this market is screaming to go lower...
All three (ES, DX, and AUD/JPY) have been in this sort of range since Wed evening. I thought that I would be broken after DX broke 84.25 but it didn't get the needed push to trigger limit orders deeper in the book.
BTW does anybody how to put up a non-html image?
Yes. Also the Euro Yen pair...
Dude, what are you talking about? When was the last time you actually took a look at EUR/JPY. The correlation has been broken for the past 2 weeks. If anything it has lagged by 12 hours or more. It totally broke down this morning following ES and AUD/JPY; those two recovered this morning while it kept falling, recovering a bit 30 min ago...
You cannot do non-html pics, but upload your images to http://imageshack.us/ then post the link.
Thanks!
http://img138.imageshack.us/img138/7389/44392608.png
Notice the EUR/YEN in the right bottom corner. Unless this is a precursor to something, the correlation is broker.
From that pic you posted it looks as though the DX is almost inversely correlated to the EURJPY
The AUD/JPY triangle is conveniently narrowing - there should be fireworks during the last hour of the trading day!
Also gs has started to weaken...
http://img806.imageshack.us/img806/3617/54323380.png
until the blatant HFT injustices are fixed
until the banks can no longer trade for their own accounts
until the Fed is subject to real audit or just shut down
until the OTC derivatives go on exchanges with margin requirements
until Level 3 bullshit accounting is made honest
THE MARKETS ARE A CONFIDENCE TRICK
Yes. When can I have my pony?
Just saw the (GMAC) Ally Bank commercial on TV. Thanks to the bailouts, if you can get down there soon to open a new account they will give you one for free...Ice cream too!!!
Have you guys ever thought about the idea that 4 Wall Street desks, JPM, Goldman, C and BAC are selling their stock inventory between each other to create "volume" in charts ? Thus, it appears for the other algo players out there that there is demand ? What does it cost them ? Almost nothing ! But it rescues them from being slaughtered. You will always find a stupid mutual fund manager to jump into - hey, who cares about retirement accounts and pensions ?
You forgot a few small players (ms, barc etc..), not like they matter...
GetCo and Tradebot have to be in that list as well.
Not exactly - neither Getco nor Tradebot hold inventory. Getco is a relatively large Nyse MM and I'm not sure whether Tradebot participates in MM activity.
Not directly with those names, but BATS is where is was going with that. I was wrong by saying Getco. Yes I do agree that they are not MM's and yes they do not hold overnight, but I would say they can move markets.
What does BATS have to do with anything? Its an electronic exchange just like the Nasdaq.
what is that red indicator below the VWAP?
volume differential
Thanks. I don't have that. Is there any other indicators you would suggest that may give similar readings as the Vol Differential? I use think or swim so I have a lot of indicators, just not this one.
What's the red thing at the bottom? Delta to avg. volume?
I'm going to call 1081 by the end of close. 1080 was the magical dead cat bounce number before that last major leg down. Next stop 1110.
More rally next week ?
http://stockmarket618.wordpress.com
http://www.zerohedge.com/forum/latest-market-outlook-1
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