On Today's VWAP Distortion

Tyler Durden's picture

And so the computers are back to the oldest trick in the VWAP playbook: ramp stocks even as selling volume prevails, to create the perception that the mood has shifted to the optimistic. As the chart below shows, even as ES closed 4 points higher than yesterday's close, the actual Volume Weighted Average Price closed notable lower (light blue line). In other words, the institutional market today, for all those who trade blocks and need to use VWAP algos to process trades, was down, even as it closed magically up for everyone else. This is another gimmick used widely in last year's melt up, to cause people to part with their money and buy the most overvalued tech and solar companies (the latter of which have a negative EV when government subsidies are removed; if one wonders where funding for austerity will come from, there is a suggestion).

h/t Credit Trader

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ZeroPower's picture

Yesterday doesn't matter - close above VWAP makes the machines happy.

Cognitive Dissonance's picture

...to cause people to part with their money and buy the most overvalued tech and solar companies (the latter of which have a negative EV when government subsidies are removed; if one wonders where funding for austerity will come from, there is a suggestion).

Shh, don't tell Leo.

Nihilarian's picture

Silly rabbit, negative EV is rubbish. They'll make it up on volume (see: GM, BBI, CROX, etc).

plocequ1's picture

So let me get this straight. The 46 point gain on the Dow isnt really a 46 point gain? Its a mirage?

ZeroPower's picture

1-Fuck the dow

2-There was more vol trading at lower levels in the ES and hence the close is 'lower' than what it actually is.

I dont particularly subscribe to point 2, but thats what this post will have you believe.

GittyUP's picture

Doesn't this just mean retail is paying a slight premium?  Tha doesn't seem strange to me. 

Miramanee's picture

I teach 8th grade history. I have all but tabled my curriculum and now focus almost exclusively on the history of money, of debt, and of our current global economic condition. Today we discussed HFT and the history of the NASDAQ. I'm sick and phuquing tired of all of the hoopla over public education in this country, it's failures, blah blah blah. President Obama's most recent red herring, yammering on about how we need to increase the days in the school year, yada yada yada. The bottom line is this: if we teach our children about the history and contemporary world of global economics and finance, then when our kids become our new leaders, they can make decisions based upon an thorough understanding of the biggest of pictures. Now...they may still choose fraud over truth, greed over righteousness...but at least they'll be making such choices without the aid of governmentally and educationally sponsored delusion.

NotApplicable's picture

You're gonna get fired for teaching insurrection without a certificate!

Nihilarian's picture

I teach 8th grade history.

My condolences.

repete's picture

At least you don't have to teach high school physics.  Try explaining how the tops of the trade centers could fall through the 200,000 tons of steel and concrete AT FREE FALL SPEED!


New_Meat's picture

s=1/2 a*t**2

a=32.2 ft/sec**2

pretty easy to figure out.

I'd bet that Galileo could figure out that free fall speed for a feather would be different from that of a cannon ball ... oops, ... he did.

Great teaching point about balancing forces and "objects in motion tend to stay in motion" as well as introducing "accelerated frames of reference."

By Golly, you've got it!

I bet you think that fire can't melt steel too.

- Ned

Rick64's picture

  I read a book "Lies my teacher told me" and of course it dealt with all the misinformation in our history books, but at the end of the book he explains the way our textbooks are chosen and how biased it was. Also I have read that certain charitable foundations have gained control of our educational system. I know this sounds like another Conspiracy Theory, but look into the Reese Committee investigation ( Norman Dodd ) in the 1950's.

New_Meat's picture

Apollo Foundation, Tides Foundation, Bill Ayres, and the list goes on.

Chavez has been on this path.

Bill Bennet's books about U.S. History ("Last Best Hope") are unexpurgated and pretty straightforward history, accurate as far as I've been able to cross check (like a lot of years going into that check).

Yes, I'd guess it has been going on since the '50's (maybe the 1910's or earlier--see Rhode's "Dark Sun" that has much more on the Soviet side of the bomb project than "Making of the Atomic Bomb.")

Kinda' at a crossroads now.

- Ned

Rick64's picture

 Thanks, will check it out.

No Mas's picture

Gentlemen - If you were long on the index you made money.  If you were short, you lost money.

These posts remind me of games you play as a child.  "But, I would have won if....."

This is the real world here.  I doesn't matter a whit what volumes were sold vs. bought.

There is only one rule here - Buy low; Sell high.  Not required in that order.

Have a great evening.  Tomorrow is no POMO so who knows.

firstdivision's picture

and to continue with that logic, if you were long in April, you are down; if you were short in April,you are up.

homersimpson's picture

Ladies and Gentleman - presenting to you the Robert Kiyosaki of stock trading..

What_Me_Worry's picture

Your post reminds me of the conceited traders that will still be left standing when the music stops.

It isn't your money until it, or a tangible item of value, is in your hands.

There is only one rule left, in the end, buy gold; don't sell.  Also, not required in that order.

Miramanee's picture

And I'm a liberal! I voted for President Obama. I'm not advocating some anti-establishment proselytizing. Just an honest accounting of...well...accounting!!!

Chemba's picture

If you voted for ObaMao you are a moron

Miramanee's picture

Nah. I said, I am a liberal. I was naive however in assuming that Obama would do the right thing.

DoctoRx's picture

Obama has done the correct "liberal" thing, Miramanee.  He has achieved the Party's goal of complete control over medicine.  He has taken control over the means of automobile production and has greatly enhanced the State's control over the mother's milk of capitalism, i.e. finance.  He has placed the boot of the state on the throat of "British Petroleum".  He has demonized "the rich":  such as your doctor/lawyer/accountant neighbors who adjusted for work hours and years of training, and lack of pension etc benefits may make no more than you per hour but whose marginal tax rates are increasingly higher than yours.

Plus he has "surged" in a landlocked country where al-Qaeda is no longer present.

Your candidate did what you should have expected.  He kept his campaign promises.  All except that you didn't know he's not nearly as brilliant as the hype.  There perhaps you were naive, or should we say easily misled by marketers.

Miramanee's picture

We 're all angry. My liberalism is based upon a desire that the middle class not be exploited. it's that simple. Say what you will.

rocker's picture

Who controls our investments? How much we gain or loose and how long it takes, even if we just save our money.

Who controls how much we pay for food, gas, energy and the right to live?  In the land of the free.  

Who controls our minds as seen through the media we call the free press? Talking points today class. 


DrFever's picture

TD, I appreciate all your hard and exhaustive work.  The reality is that no matter what the underlying fundamentals say, ie: the economy is in the crapper, the end of the dollar is near and stocks are grossly overvalued, nothing is going to change the fact that the manipulation will not end because the Government needs to continuously paint the illusion that the economy is getting better.  The stimulus drugs will always be pushed into the IV drip so long as there is a pulse.  We all know that given today's fundamental news, and given the news of late, there is no way that this market should be treading higher ....but it is.  We all know why...but unfortunately, there's nothing we can do about it.  My bet....although I agree with everything you say and call bullshit to the market in general, I am compelled to play along and ride the trend.  There just isn't anything we or any other entity trying to uncover the bullshit can do to step in the FED's way.  They've got the power and the money.  We are but mere pawns in their game.   We are going to enter one of the worst depressions ever....if we aren't already in one.....but, the stock market and the rising values of people's 401K's will continue to keep the sheep optimistic because it all looks good on paper.  Sure, we'll all be paying $20 for a loaf of bread but the perception is that people will pay it because their paper profits look good.

If fundamentals mattered anymore we would be at Dow 6,000 or less but as has been obvious this last year, fundamentals have ben thrown out the window. It took me many losses on the short end to figure this out and finally capitulate to the long side......until we see a decisive breakdown....which might never happen.

Always appreciiate your efforts TD.  There's no harder worker in the biz.

RobotTrader's picture

HPQ going vertical after hours.

Fast Money ponytailers are pumping it.

Maybe Cramer will bandwagon it on Mad Money.

Tyler Durden's picture

Robo, check out GMCR. I believe you mentioned it earlier.

Id fight Gandhi's picture

Saw it, accounting fraud. Also way overpriced...hit its all time high today

What_Me_Worry's picture

Yes, I've read about that new product called "coffee".  Once everyone finds out about how great this stuff is, then that 70+ P/E ratio will be justified.  I wish I would have found out about coffee and got in on the ground floor.

firstdivision's picture

Say it ain't so Joe.  Also tell me again how they didn't overpay for DDRX?

AccreditedEYE's picture

SOX hasn't broken out yet either.. even with today's performance.

BKX looks like crap.

And Lockhart just said no consensus on QE2. The whole move up is predicated on it. The game ain't over kids.

(XAU looking to mount the attack on the old $210 high.)

reading's picture

Less than 1% on hpq is going vertical?  Wow, your bar is set kind of low.

TheMonetaryRed's picture

HFT price distortion: Coming Soon to a Gold Market Near You!


Gold to $1700 - au moins

TheMonetaryRed's picture

Yeah, the chances that HFT is so much as reigned in are clearly zero.

Sancho Ponzi's picture

DRYS got dry humped today - up 8.5%. If you want to know how broken this market has become, look no further than the maritime carriers. DRYS P/E is 25, while Excel Maritime's P/E is 1.6

Biggvs's picture

So it looks like bulls aren't the only ones who come up with stick saves. Who gets the credit for reversing the S&P exactly as it hit 1150.00?

BeerGoggles's picture

The short interest is high, isn;t it obvious all the shorts are going to get shat on and squeezed?

n2dark's picture

so how many of you have outmaneuvered the cartel today ?!



99er's picture

Chart: NQ

Weekly chart may provide more clarity of the road ahead. Good luck!


MrTrader's picture

Trade of the day : short ES 1142.00. Hedged via 1040 / 1050 call spread. Doldrums are telling me that GDP of Greece, Portugal, Spain, Ireland and other EU countries will take a beating in Q4.

fe09rt65's picture

any idea how to change one's name? i used my standard scramble for new logins when i created the login name and now would like to change it.

99er's picture

Know your frustration; I wasted hours trying too. Best solution: create a new account.

DavidC's picture

Just a thought,

I'm surprised that China (or A.N. Other anonymous country) isn't using the futures markets to 'correct' the stock markets if they are so out-of-kilter with reality...

(posted elsewhere)


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