Top 100 Most Active Cash Bonds
With volume in equities on collision course with singularity, courtesy of HFT's vol lim->0 series, Zero Hedge is launching a new daily segment which will indicate the volume and number of trades per any given issue according to TRACE. As we believe the vast majority of human traders have largely shunned equities, the impact of credit trading will only get larger and larger. And while CDS has yet to get the "TRACE" treatment, the availability of this data in cash bonds is the main reason why we will bring it to public scrutiny. Furthermore, we will commence correlating this data with which desk has the most active axes in any given name, and implicitly determining whose Fixed Income division is making the most money on the bid/ask spreads and on traded cash volumes.
Our first report demonstrates the top 5 bonds traded, with volume and trade count data courtesy of TRACE:
- NRG: 51.1 million, 24 trades
- BONT: 40.3 million, 29 trades
- LVLT: 39.8 million, 15 trades
- AES: 38.7 million, 9 trades
- AMD: 36.5 million, 42 trades
| Attachment | Size |
|---|---|
| TRACE 11.20.09 top 100.pdf | 495 KB |
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on Sun, 11/22/2009 - 19:34
#138879
HFT is and will be in any truly liquid market--bigger and faster growth in options and futures--bonds outside of the absolute most liquid will lag--too many transactional costs/ friction. Fact of life.
on Sun, 11/22/2009 - 20:05
#138886
Thanks for this!
on Sun, 11/22/2009 - 20:49
#138900
Agreed Thanks Tyler to you and your fellow bloogers for bringing this stuff to light. I read your blog everyday, all day!!
on Sun, 11/22/2009 - 21:51
#138938
Me too...
on Sun, 11/22/2009 - 21:53
#138943
+1 Ditto that!!
on Sun, 11/22/2009 - 20:42
#138895
Hello Tyler. I read your posting everyday ,all day long. I appreciate all the digging you do for all of us in this shame of a financial world. HFTing is a major kink in the "normal" flow of the markets,what ever normal is anymore. I have a lil spot on the net I post all my digging on the high frequency trading Scam , word i use for lack of better!!
Thanks for all you and your fellow bloggers contribute to all of this.
Captnemo
on Sun, 11/22/2009 - 21:45
#138930
I thought TRACE didn't properly track large trades. For trades larger than $5mm it just says "5mm+" when I have looked at Bloomberg in the past. How does ZeroHedge hope to correct for this?
on Sun, 11/22/2009 - 23:13
#139030
The obvious problems w/trace is it's a 15 minute window so you can't follow it second to second like equities, etc... then when bids dwindle on Corporate credits the prices fall precipitously and quickly.
I suppose some people might want continually updated bond quotes but I'm really interested as to when the big boys will be dumping their junk. Soon I think.
on Sun, 11/22/2009 - 21:51
#138937
Zero Hedge is a live plant.
It is the crest of the wave out in front of the managed market. Its reactions are correct. This used to be a world of daily newspapers where the world would wait ‘til next day to find out what happened.
The world doesn’t wait any longer. Zero Hedge has it. Zero Hedge IS the news.
on Sun, 11/22/2009 - 23:10
#139013
"News is history" -Zero Hedge TV?
http://www.youtube.com/watch?v=6J_xKebCT20
on Sun, 11/22/2009 - 22:03
#138952
Ok... that's a pretty neat idea... once again, you've convinced me to keep reading right as I was going to quit...
on Sun, 11/22/2009 - 22:32
#138996
Great stuff... good to correlate to trading in equity.
on Mon, 11/23/2009 - 00:38
#139090
OK seriously now, how can the individual retail investor simply buy a corporate bond in order to take physical delivery and hold to maturity?
It's the only remaining rational investment, other than gold and hard assets and cash, but I don't think it's legal, or maybe just not offered.
Why not just buy a bunch of 5-8% commercial paper and hang on to it?
on Mon, 11/23/2009 - 01:18
#139106
Jim in MN,
For my bond and commercial paper exposure I buy JNK.
But my time horizon on this investment is 29 years, so the day to day fluctuations on price dont bother me. The only thing I am looking at for this investment slice is the MONTHLY dividend stream. Last month it was ~$0.38 per share and the share price was $38.00 so it is yielding roughly 12% per year.
Now for real fun and games, assuming you are playing inside of a tax protected IRA, JNK has an ex-date of the 1st, meanwhile PGF has an ex-date of the 15th. So assuming you have enough to invest, roughtly $10,000.00, and you are using a standard Scottrade account or better ($7.00 per trade), you can bounce your money between these two funds and gain about a 20% yield per year. Of course this only works in a flat or advancing market.
on Mon, 11/23/2009 - 07:05
#139192
Good idea, but you want to get real time data, not delayed, because the actual top of the list was FCX 8.25 '15 with more than twice the estimated trading volume of NRG. The, largest, most liquid Freeport - McMoRan Copper & Gold public issue in it's cap structure, tightened 22bps with it's stock up nicely and the whole complex getting play. Makes sense.