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Some Observations On SPY VWAP And Block Manipulation As FSA Launches Probe On Front-Running Of Block Trades
Across the pond, the FSA has just announced that it is launching a probe to focus on the front-running of block trades. Without doubt this is dictated by the recent bust including Moore's
block execution trader, who likely was involved in just this (note:
this is purely speculation absent further data). Images of Flash Trading, HFT, algos gone wild, and all sorts of other computerized frontrunning come to mind. When are the useless excuses for human detritus over at the SEC going to do a comparable probe? Oh wait, they are watching kiddy and tranny porn as we speak, and counting their Wall Street salaries once they leave their cushy taxpayer subsidized offices. Sorry, go back to demanding an increase in your budget you worthless examples of reverse evolution. In the meantime, we present some obvious block manipulation data in the SPY which if we had anything remotely resembling a market regulator would be immediately probed. Maybe the FSA can LBO the SEC? Surely Goldman can provide financing.
Analyzing the VWAP data for the SPY since the market lows yields some rather interesting observations. First, we are currently trading nearly two full standard deviations above the SPY VWAP from the low. VWAP is 112.1104, the SPY is 117.6, one standard deviation is 3.53, meaning that algos have now gone totally nuts when it comes to mean reversion, and that someone is pushing against the natural flow, with a virtually unlimited cash supply. Then again, this could be merely a function of the Fed's decision to destroy America's few prudent savers with infinite ZIRP. What is far more obvious, are the flagrant SPY block trades that have served no other purposes than to soak up (or release) excess liquidity in the market. In the table below, which represents the trades with largest VWAP calculation impact, two of the top trades (and potentially the 5mm and 2.5mm blocks as well), were transacted for no purpose whatsoever than merely to mask activity. The transacting party would throw in $700 and $300 million respectively (and possible $500 and $250 million) to stir activity the SPY, and to churn liquidity, only to withdraw the entire block within minutes at no or marginal profit. We are trying to track down the definition of churn, coupled with flash trading-based block frontrunning. We are confident that the SEC will help out in that particular effort... or maybe not.
And just in case you were wondering, here is the SEC guy who, as Gawker puts it, was surfing for porn as your 401(k) vanished, and will soon vanish all over again.
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Tranny p0rn? snort!!! :-)
"Well, in our country," said Alice, still panting a little, "you'd generally get to somewhere else — if you front-run very fast for a long time, as we've been doing."
"A slow sort of country!" said the Queen. "Now, here, you see, it takes all the front-running you can do, to keep in the same place. If you want to get somewhere else, you must front-run at least twice as fast as that!"
Well this will be a very important story for the MSM to ignore, at least until Ms. Schapiro gets her script from the White House.
Story? What story? The playaz are doing 'God's work' and the market keeps melting up. Nothing to see here - keep moving along - the employment line is around the corner btw...
FSA's Probe On Front-Running Of Block Trades will be watched very closely by the SEC and the Squid... and may require a satement to the press.
Lucas von Praag will surely have something squishy to say, but TD, how do you really feel about our public servants at the Security Ex-changed Commission who quite possibly are looking out for their buds in the LGBT crowd? They don't want to be flash- or High-frequency traded without generous lubrication in front or behind unless there is some glory involved in the electric stalls co-located at 20 Broad. The squids can do their bidness and be done before you can say G-
"....which if we had anything remotely resembling a market regulator would be immediately probed."
Tyler, the lack of commas in this sentence is confusing. What, or who, do you want probed? :>)
That's a very penetrating question.
Giggity
I don't think they're going to put down trannyjuice.com to help dude. Sorry.
Haha, from Jesse,
"We do not know if the SEC is on board with this yet. Perhaps someone can post the FSA's notice of investigation on PornHub."
http://jessescrossroadscafe.blogspot.com/2010/03/sp-daily-chart-backing-...
HAHAhahahaHAHahaahAHAhaAha
Can someone provide a translation for those not as financial jargon literate?
I am assuming your saying massive blocks come in when the computers are in a selling trend to spur them in the opposite direction at inflection points?
HEH!
So the taxpayers are paying ($200,000 yr.) for this guy to watch porn and he keeps his job. What do you have to do to get demoted or fired? Oh yea you're job e.g. Gary Aguirre.
Believe me, the Fundamentally Supine Authority is not held in high standing on this side of the pond. Under their watch, London became the go-to destination for anyone with a dodgy scheme that their own regulators would have blocked. Think AIG SP, Repo 105 etc etc. Needless to say they did not notice any of this until it all blew up. The SEC may be conflicted and compromised, but the FSA is just incompetent.
I will save you clicking on the link and searching for the best comment:
BettyCrocker 01:46 PM
An SEC honcho named Ito
Looked at porn and thought it was neat-o
He jerked and he wanked
Our economy tanked
'Cause his dick's the size of a mosquito.
Damnit! I knew I should have went to a better school! I to could spend my days getting 200k a year to look at tranny porn! It's not my thing, but I could learn to like it for that kind of money.
The SEC is a total joke. It's only there to mess with the little guys and give a pass to the big boys...but tranny porn? Can't they even pretend to be paying attention? What's the new funding for? So they can buy and run chickswithdicks.com?!?!? Oh I'm sorry it will probably be www.chickswithdicks.gov!
The SEC is a total - nay ABYSMAL - disgrace! President Obama should listen to David Einhorn's criticism. And for pete's sakes, put someone competent in charge of this organization (HINT: Harry Markopolos). Enough bullshit already, we all know the "genius" quants and their algos are having a field day front-running big blocks, but can we get back to good old capitalism when you actually had to fucking earn your money!!!
WAD
"Working as designed"
Incompetence can carry you far but we are through the looking glass into criminal acts, past just run of the mill incompetence. Amazing that these guys are so smart in the private sector and so stupid when they are in the public sector, then back to geniuses when they jump to private again...amazing. With Wall Street running Washington there is about 0% chance of this getting fixed any time soon.
+1
But its not to their advantage so they will never do it.
sorry Leo, i have a feeling we're not in Kansas anymore...
Come on Tyler , tell us how you really feel about the SEC.
Benny is committed to not letting the big banks fail. We'll give you money! You can't lend...no sweat...hold onto that cash and crank up your prop desks; we'll let you make more money. Mary S., tell your team that we cannot let the banks fail, no matter what! Even if it's illegal....the ends justify the means! I don't care if they're so bored that they're watching porn.
We cannot let the banks fail, no matter what....
We cannot let the banks fail, no matter what....
Awaiting Geithner's
'The USA does not support this investigation into a vital and indeed, patriotic financial activity'
I am sorry, but your conclusions seem totally unfounded. How can you possibly decide which trades are transacted with "purpose " and which are not ? You are really reaching here.
are the prices in the image supposed to be actually where the trades occurred? If so, a lot are far away from the market according to 2 different charts I checked. regardelss, only 2 of the trades appear to be "of no purpose" other than to scratch a trade, which I do all the time to AVOID A LOSER. That seems legit to me. More useless crap from ZH
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