Aussie Stocks Suffer HFT Stop-Run Glitch At Open

Tyler Durden's picture

We are now entirely used to the daily mini-flashes in US equities as algos lose their stabilizer and run one way or another. Recently we noted the same algos-gone-wild had hit the India stock exchange. Tonight, the HFT-bug has moved to Australia, where the open - which just happens to be option expiration - saws a number of major equities (including several of the banks - e.g. ANZ and CBA) get smashed instantaneously higher (by 5-7%) at the open - only to plummet back to normalcy soon after. The cuplrit - it would appear to us - is a market-clearing wipe-out of all resting stops above the multi-year highs that the stocks were at the edge of. Regulatoirs are 'investigating' though their first comment was "it is certainly nothing to do with the trading system." As the Sydney Morning Herald notes a market participant: "Either that or an algorithm has gone haywire, a mistake has been made, or these trades are deliberate.' Either way, do we have an orderly market?"


An example of the algo in ANZ:


Perhaps this explains it - resting orders just above the multi-year highs (red dotted line) all wiped out...




Via SMH:

Traders suspect that the share prices of a number of major ASX200 stocks - including ANZ Bank - were manipulated when trade opened this morning.


Mystery trades in ANZ pushed the share price of ANZ up $1.67, or 6.5 per cent, when trading began at 10am.


ANZ, which closed at $25.79 yesterday, soared to $27.63 per share on the opening bell, before the stock collapsed to $26.16.


In the first few minutes of trading about a third of the average daily number shares in ANZ changed hands. Large fluctuations hit the share prices of Ansell, Aristocrat and AGL, while Commonwealth Bank and Bank of Queensland also spiked when the ASX opened.


"I've had five of my brokers contact the ASX and they are clueless as to what has gone on," said one of Australia's leading stockbrokers.


"They are saying the trades fall within a reasonable range, but if a broker pushed a stock up five per cent we'd cop a $25,000 fine. Right now, I'd say this is in the 'too hard' basket for market control at the ASX."


Watchdogs alerted


A spokesman for the body in charge of monitoring real-time trading — the Australian Securities Investment Commission — said it was ‘‘aware of a surge in ANZ share prices and was looking into the matter.’’


‘‘This is not a formal investigation,’’ he said.


ASX spokesman Matthew Gibbs said the price jumps were a result of buying orders, and nothing to do with the trading system itself.


‘‘There were a number of large buying orders at the market’s open, and the price of a number of stocks went up,’’ he said.


‘‘Most of them appear to have come down now and are trading at a normal price band. Naturally ASX is monitoring the situation.’’


Mr Gibbs said the ASX was so far aware of a price jump in AMP, ANZ, AGL, Aristocrat and Brambles stocks.


‘‘It’s certainly nothing to do with trading system,’’ he said.


Options affected

The trades were large enough to affect the price of options traded on the S&P/ASX 200 Index - commonly referred to in the investment world as XJO Index Options. The index tracks shares that form the S&P/ASX 200. The XJO Index rose to 4606 on the back of the moves, before settling back to 4575.


A number of brokers noted that those options expire at the close of trade today. The settlement price for those options will be calculated using today's 4606 opening price of the XJO index.


"I hope ASIC and the ASX investigate the ANZ open at $27.63 this morning," posted one reader on the BusinessDay markets blog. "It might just be a coincidence that index options expire today."


Brokers have called for the trades to be investigated immediately because they caused volatility on markets and could cause substantial losses.


"Someone has made big money on the Index trades this morning," said one major broker.


"Either that or an algorithm has gone haywire, a mistake has been made, or these trades are deliberate.' Either way, do we have an orderly market?"


Brokers have complained that the shift in responsibility for control of the market from the ASX to ASIC meant that nothing was done when trades of this nature caused alarm bells to ring.


"We rang the ASX, they said 'Ring ASIC'. We rang ASIC, they said 'Ring the ASX'," said one Melbourne-based broker.

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Neethgie's picture


Or kills mom and pop, day traders ect, so that the volume becomes anemic as we see daily in the us...

SMG's picture

It's almost like the markets are controled or something.  Hmmm....


Aussie, Aussie, Aussie.  Get in on the glitchez bitchez.

Dr Benway's picture

Nothing new here, share ramping runs rampant on the ASX.


Unusual movements, lol? Like BKW spiking 12% to coincide with employee share plans.


Check out my slideshow on systematic Australian securities fraud:

ActionFive's picture

There must have been money to steal.

Spitzer's picture

Makes a guy wonder....

If Paulson and co. made billions shorting the US real esate bubble, how come we don't see hedge funds setting up to short Australain and Canadian real estate bubbles ?

Or is the Aussy and Canuck real estate market diffrent this time ?

Dr Benway's picture

They have been working on a way to create an instrument tracking Aussie real estate. They have only got as far as creating a hedonic index, as yet no tradable instrument.


Plenty of people around the world would be languishing to short that one, lol

Papasmurf's picture

You need complicity from the squid to put those instruments together.

One World Mafia's picture

That is a vote you're doing right?   Then needs arrows.

Jim in MN's picture

Maybe, just maybe, there are still a few human traders left in Australia.  You have our deepest condolences.


chump666's picture

HFTs are long killers.  These brokers are getting sucked into 20/50/100ma kill zones.  I feel sorry for their clients.  Look at the ASX200, it's a deathtrap.


Yen Cross's picture

I was thinking about you Chump, when Tyler posted this thread. The ASX200 is insanely ramped up! Who ever is buying the aussie$ isn't buying bonds, as they are up over 20 points in the last 2 days! All these fucking markets are so screwed up!

  This Print/ZIRP policy is going to come back in such a violent way!

chump666's picture

cooked up rally dying to sell/go short.   brokers are jumping all in as HFTs are now ready to sell this thing.

it is going to be absolutely hilarious if this thing crashes before elections

chump666's picture

...and profitable.

i mean i am on cans of beans and tequila here.

Dr Benway's picture

Desperate ramps to  try and lure people into a ridiculously inflated stock and property market.

I like how even multibillion dollar companies now have wild daily ramps on the caprices of manipulators. PPT, NHC, BKW, SOL, MOC, DJW.

LikeClockwork's picture

AUD soars and Au falls it's as if all the world's problems have been solved... ASX at 14 month highs, come on in the water's fine...

Spitzer's picture

Fuck, I hope Medusa Mines isn't effected..

ghostfaceinvestah's picture

Who needs real people trading anymore?

Oct. 17 (Bloomberg) -- ThinkEquity LLC, the San Francisco- based investment bank, is closing its stock-trading unit today amid a slump in transaction volumes, Chief Executive Officer Greg Wright said.

q99x2's picture

Oops there goes another water bug.

Munkey's picture

Forget it Marge, it's Chinatown.

brucyy's picture

Only way is to go much longer term , under exposed , and expect insane short term drawdown

Sadly , such is business ... adapt or die