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It's That Decoupling Time Of Day Again
Every day at 3 PM the correlations just break. With someone gunning stocks to the moon, the EURJPY-ES disconnect is one again here as the FX corr desks just can't keep up with Goldman's bulk buying of ES bigs. Can we make it 5 out of 5 in 5? Stay tuned for imminent spread convergence.
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Tyler, this is like shooting fish in the BP barrel and it's getting too easy.
Could you please switch to a kiddie pool. Gotta give those fish a sporting chance.
GS gunning indicies so no one notices the breakdown in GS stock itself
Fantastic low volume up-day today. HFT circle jerk.
on spy between 12.35 and 12.45 a huge ~ 2.5 mil shares execution just dissapeared. for a split second that execution moved the spy down to 106
is that the equivalent of the lights momentarily going out in the casino?
n2dark: you mean like whats common in afterhours with weird fills? Eg: SPY at 16:08 has low print of 107.78.
Its just delayed orders given to the MM which were unaccounted for earlier. Might be different on the NYSE, but thats how it was in Toronto..
in the after hours I can see at least 3 x 1M executions @ 106.0426 (between 4.50 and 4.52 pm) which btw was the low of the regular hours.
actualy that ~ 2.5M execution happened around 2.25 pm and between 2.35 and 2.45 pm just disappeared. (initially i said 12 pm but it was actually 2 pm. my mistake). it was in the logs and on the intraday chart...not there anymore
Yup 2x big blocks at 4.48 and 4.49 at that price, and then 2x even bigger 8MM ones at 4.42 and 4.43, again at the 106.04 level.
No idea about the supposedly missing execution, wonder how you can erase such a fill.
Bad data?
well, this would not be the 1st time when that happens...and every time you can see that huge order (usually over 1.5 mil) and a big drop in stock for a split second and a few minutes later it's gone...maybe it's one of their way to probe the buy/sell orders
I think that's exactly what that is. An "algo" phenomena.
It often pushes the bid for a split second back over (or under) the 20 or 50 day aves as GS manipulates the SPY in real time. Assumption is that their algo is basically designed to randomly move back and forth between these averages (while fucking the most traders possible) until the last 10 minutes of the day, and sometimes it wants to make those moves faster than other times.
The market usually moves in the opposite direction a few minutes after the apparent "spike."
I feel great knowing that, as GS does god's work, all the S&P contracts they bought-just this morning!- are doing so well. A-nother profitable day, how many more left to go in the quarter??
Screw 'em... I made my 1/2 SPY point.
According to Dow Jones News Wires there Might be a few other reasons...
US JOBLESS CLAIMS FALL, TRADE DEFICIT WIDENS
Jobless claims lasting more than one week drop 255,000 to about 4.5 million, the lowest since December 2008, while the wider US trade deficit is becoming a drag on the economic recovery as imports outpace exports.
EUROPEAN GOVERNMENT BONDS FIND DEMAND
A series of European government bond auctions this week drew better-than-expected demand, driving the euro sharply higher. Edgy investors are demanding sharply higher yields than just a few months ago.
GERMAN GOVERNOR SAYS WILLING TO AID OPEL
Four German states home to Opel factories are prepared to follow through on agreements to give loan guarantees to General Motors as it revamps the ailing car maker, the governor of Rhineland-Palatinate state said.
US HOUSEHOLD NET WORTH UP 2% TO $54.57T IN 1Q
U.S. household debt falls for the seventh straight quarter in the first three months of 2010 as Americans continue to respond to the recession's fallout.
my question is who is buying this Eurotrash debt?
Pssst. I'll put $5 down on the Fed. They can just print more when the suitcase runs dry.
Malakies.
Having Swept the technical traders 61.8% stops first....
not just yet, usually 61.8% overshoots or undershoots
nothing more American than free money baby! lovin this trade
I haven't seen much talk about fundamentals, from some recent headlines:
Trade deficit widens (dollar)
Unemployment claims exceed estimates (remember last week's huge miss)
"Liquidity siezure" in Europe predicted by Nomura
Home seizures by lenders up 40% YOY in May.
nothing to see here, please disperse folks ..... they won't let the facts get in the way of a good old fashioned rally.
that was a quick ramp up for the eurjpy
http://www.youtube.com/watch?v=x2CZbTUUScY
Catching decouplings is becoming a new sport...
5 for 5. lulz.
Not going to happen today
You're all funny..Dow is up almost 3% and you think it's just HFT? Whatever makes you feel better.
Don't fall in love with your own opinion. And don't beg for ridicule.
Got Volume?
Only of his own voice...
Biggest myth: during extended rallies volume stays low. Check it out.
An 'extended' rally Leo?
A 1 day trend reversal is by no way extended.
And of course there was some buying - the boys wanted to ram it above 1080 (success) to scare out all the weak shorts. Up until noon it was looking like the exact same pattern as yesterday - rise on low volume til Eu mkts close, then reverse that shit. Except today there seemed to be a higher extension for technical reasons. If ES_F rises again overnight and by market close tomorrow, then ill take back my words, but i feel like this is a bull trap which has been made many many times before.
Leo, Ive worn out my Dow 10,000 Hat - But I got to say Its 10 years old now and is gone out of style.
Oh well, 'll wash it- Again
Great shorting opportunity with the bet of continuing volataility events between now and next week. We're overdue, its been 2 days. War, oil spills, defaults, flying piigs etc...
Yup.
How many times was Spain or Greece or Usa-jobs mentioned today by anyone?
ZERO
I guess problem solved:)
It just increases the probability that something will happen soon; with recent past being prelude of late.
I've got a question for all of you seasoned veterans.
Back in the "old days", was /ES so volatile? I have no experience back in those days. I'm wondering if it will always be this volatile (fundamentally true on low volume); or after a crash or slow grind to the bottom, will we see a more steady /ES ever again?
I've been watching and thinking about this, and if the craziness does not end, how will companies ever attract capital from the retail investor population? The end of retail capital leaves us doomed.
Hey there Crosey,
Well, I can only speak of 'old days' back to about 1999, but in 2000-01 there were plenty of days when ES would hit limit down (and sometimes SECOND limit down), but finish in the green - and NQ was even more volatile.
They have widened the limits now, so the comparison is somewhat flawed. But it used to be a great trade to wait for the re-open (ES futures would lock after limit down) - and try to buy a point or so below the limit point for a scalp. Same with second limit... I can not recall a single time prior to Sept11 when 2nd limit down was hit, where the market continued to decline after the lock was taken off.
And remember - VIX got to, what, 70 or 80? a year or so ago.
Cheerio
GT
Crossey & GT
I wasn't trading the ES that long ago, but as you state the limits are higher now. In 1999-2001 I think they were about half of what they are today. Now they are 5% for overnight and 10% , 20%, and 30%. In 2008 it hit in the overnight session.
I can say that the volitility in 08 was incredible, and many traders said they had been trading for 30 yrs.(not just the ES) and had never seen anything like it. I personally experienced it and had my ass handed to me several times before I learned to wait for it to pass. If you were using a 6 tick stop you would get stopped out sometimes in a few seconds, before you could even evaluate anything.
The volatility you see now is nothing in comparison to that time. It is tradeable volatility, and I don't think it is scaring any traders off, in fact they like it and its great for day trading. OTH the investors are probably scared for different reasons, but remember its summer time and the volume always tends to be lower.
Thanks Rick. I guess that this game is here to stay. I can't imagine it getting any more tame with the lunacy leadership we have in place.
Thanks GT. I've been pretty successful with small gains daily, but it sure wears you out.
World Cup starts. Anyone remember the behaviour 4 years ago? I think a lot of traders in Europe went into "slow mode"
Sure, it was in Germany, remember it well. Frankfurt basically moved to stop mode. And with the timezone being the same this time too, you can be sure that they'll do it again. No reason to put risk on.
let's see what happens today...