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S&P Futures Volume Spike Raises Questions: Market Internals Provide Answers
S&P Futures Volume Spike Raises Questions: Market Internals Provide Answers
Yesterday's (1.13.10) extraordinarily out-sized one minute volume spike on the ESH10 (S&P 500 Futures / E-mini, current basis March) has raised many questions from who and how to where and what the hell.
... but virtually no one has explained, welp, the only thing that actually matters: the technical posture of key market internal readings.
The five charts below highlight the respective technical postures of the:
- ES (S&P 500 Futures Continuous Contract, current basis March) on the 1-minute;
- TICK (NYSE Cumulative TICK) on the 1-minute;
- VOLD (NYSE Up / Down Volume Difference) on the 1-minute;
- VIX (CBOE Volatility Index) on the 1-minute;
- ADD (NYSE Advance / Decline Issues Differential) on the 1-minute.
Disclosure: during any given session, we may trade any of these instruments bi-directionally. We are currently flat at the time of publishing.
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Well, all I can say is that the EUR/JPY (best risk averse indicator out there) isn't buying it a day later...their powder is all wet and we won't climb out of this wretched range; I only expect the frequency of the range to increase from here...it'll kinda be like riding the old Blue Streak at Cedar Point after going down the first hill - it's amazing the thing didn't jump the tracks and end up in Sandusky Bay.
A truly great read. Thanks Fib/Chop and commentors.
OT, yet a simple observation I have made is that the last 3 INTC reports have all started a new leg up for the market.
Get ready for another starting @ 4:02 EST
It wasn't in 1 minute, it was in 1 second. Go through the ticks and you'll see that all trades happened in a second, just about 3000 of them. There's no way the market can absorb that much activity in one second.
This was my comment in an earlier article:
It seems like all the trades occured at 12:03:37 in the span of 1 second.
So, this tells us a lot, because it's not the case where a trader started an algo, and then realized somethign was wrong and stopped it. It happened literally in the blink of an eye.
1 second isn't enough time for someone to react that quickly. This leads me to believe that whatever the intent of the algo was, it finished to completion.
The other thing to consider is that this didn't move the markets at all, maybe 1 tick. Since this streamed onto the markets, it should have cleared out all existing trades at those levels, but that's not what you see, even amongst these trades of 200-2000 contracts you can still see small trades of 1-2 contracts in that second. Each bid this algo sent out was matched for each ask and vice versa, which is the only way that it wouldn't move the markets.
What kind of algo is set up to do something like that? What sort of algo is set up to exactly match bids and act like a big vacuum cleaner like that?
I'm of half a mind to put on my conspiracy nerd hat and suggest that it could have been an inadvertent test of a PPT-like algo that ensures an orderly matching of all bids coming in, to stop the markets from plummeting too quickly.
I'm not a super-conspiracy nerd but it's simply wrong that the markets didn't move with that level of volume. Someone showed their hand yesterday, I'm curious to know who that was.
WHO indeed?
More from the Karl @ market ticker;
"Who has the margin capacity?
$5,625 per contract required for initial margin. Or -
$562,500,000, yes, $562.5 million on each side of the trade."
Now I wonder who has pockets that deep? Could it be somone's Uncle?
it must be god's work ...
perfectly said! thank you, jedwards!
didn't wanna go there formally and could never say it so well / succinctly; can't speak for Fib but I am of the exact same EO 12631 mindset.
just way too fishy a flash. doesn't make much other (possible) sense to my limited mind unless someone like GSCO, JPM, CS, GETCO, ken griffin himself, simply pulled a "FlashForward" type 'science experiment' with the tiniest bit of collateral damage / faintest paper trail.
When is walks, talks and acts like a duck but the powers that be are saying it's a frog, you would be silly NOT to put on your conspiracy hat, which simply means you're considering all explanations, not just the official variety.
What bothers me is that something like this screams for a comprehensive and detailed explanation. A frigging nuclear bomb just went off and they claim it was a left over M-80 from July 4th.
The fact that this comprehensive explanation it's not forthcoming speaks louder than words.
Best thought on the spike I have read so far.
+1
These were novel events...ala, Terence McKenna's definition. Whever they were from maybe Mars, doesn't matter. The impact is felt and makes the observer feel a bit of vertigo. As time goes forward, there will be more and more and....
My point, eventually this market, Mr Market, will be shortable and for good measure, those who catch that will clean up. Stay tuned. The revolution will be televised.
...rumor about a mistrade that is currently investigated.
one CP bought and sold simultanously...
Karl Denninger opines that the spike may have been an intentional effort to scare the pants off anyone thinking about shorting the breakout:
http://market-ticker.denninger.net/archives/1855-Oh-SEC!-What-Sort-Of-BS-Game-Was-This.html
If I had that kind of "firepower", I would encourage shorting...
In fact, I would get as many people to sell as possible, and then "make an example" out of them.
I require a much more detailed analysis to understand this.
please tell me what is impt about times, are thse all charts of same day?
each chart is from yesterday, 1.13.10, and without amendment or change.
Since when are dark pool transactions eventually settled on an exchange? Weather it was a dark pool arrangement or not, the timing and nature of this wash trade were made to manipulate volume readings and to lift the offer.
"the timing and nature of this wash trade were made to manipulate volume readings and to lift the offer."
- why? 1.25 whole points on the ES ... that was what all those bricks were doing? if someone put that order through naturally we would've gunned up 8 pts on the ES within 8 milliseconds. the size of the order notwithstanding, this was anything but an actual attempt to gun us higher. no one with the ability to do so would be so moronic to not iceberg 1200 nonstop across innumerable futures instruments.
there was exceptionally large SPY volume, which was likely basketed or simply followed on automatically as per algo threshold elsewhere ... but who cares, honestly.
i know its fun to point fingers and play "who's behind the curtain" but seriously, this was clearly not an intentional order bc if so then we would've been gunned up so fast that we'd all have gotten motion sickness.
any way you slice it, while everyone rips their hair out about 'what happened' i / we could not care less .. our screens clued us in ahead of time and whatever 'actually' happened is simply irrelevant since that trade is already booked. on to the next set-up.
Amateur !!!!
No, it was to add volume to the slightly upward price action; thereby enticing more buyers or signaling to sellers that they should not sell against that surge of volume.
Being a wash trade, the orders offset each other. There was no price risk to the counterparty because it was trading with itself; just use of capital through margin (if this counterparty was required to post margin). Why didn't the counterparty price these wash trades at 1200? Well, good manipulation is done subtly, so the price was kept around market. Please note that the audacity of the volume of contract did attract plenty of attention.