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Presenting The Overnight Futures Ramp Full 'Millisecond' Frontal

Tyler Durden's picture





 

We noted the debacle that occurred at midnight Eastern last night but the impact of this sudden and completely unfounded voluminous surge in buying activity (on no news or rumors) was much more widespread than just e-mini S&P 500 futures. The other equity indices also tagged along and we saw volumes and quote-rates jump in EURUSD futures, but more so in Crude futures and AUD futures. Thanks to NANEX, the charts below show the millisecond-by-millisecond reality of a broad and deep-pocketed algo liftathon as most of the East coast was tucked up in bed and Europe had still to wake. PPT - who knows? But it seems unusual at best or someone somewhere getting a rather large tap on the shoulder to shut their entire futures book?

More charts on Volume and quote-rate are available here.

All charts are centered on the 'event' with a 2 minutes span either side...

S&P 500 Futures

 

Nasdaq Futures

 

Dow Futures

 

Crude Oil Futures

 

EURUSD Futures

 

AUDUSD Futures

 

Source: Nanex

 


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Thu, 11/29/2012 - 14:29 | Link to Comment slaughterer
slaughterer's picture

What is to say this type of middle-of-the-night ramp won't keep on happening again and again?

Thu, 11/29/2012 - 14:30 | Link to Comment Silver Bug
Silver Bug's picture

The manipulation continues.

 

http://ericsprott.blogspot.ca/

Thu, 11/29/2012 - 14:43 | Link to Comment Manthong
Manthong's picture

That first chart kind of reminds of the AA fire being put up over Baghdad the first night of Shrub 41’s Shock and Awe.

Thu, 11/29/2012 - 14:47 | Link to Comment DeadFred
DeadFred's picture

The midnight plus seconds timing suggests funds that just settled. Maybe this was the twelve tons of gold sold the morning before.

Thu, 11/29/2012 - 14:37 | Link to Comment slaughterer
slaughterer's picture

Looks like algos fixated on ES 50 DMA at any cost.  

Thu, 11/29/2012 - 14:46 | Link to Comment CPL
CPL's picture

That's good though from a pm position.  Means they'll print faster with diminishing returns each time it's done. 

Tue, 12/04/2012 - 11:55 | Link to Comment TruthInSunshine
TruthInSunshine's picture

Everything is great. The economy is robustly growing, housing sales are flourishing, employment is soaring, and those retail sales...do any of you remember the "record sales" recorded during the Black Friday shoppping holiday? I mean, it was in print, verified, everywhere, right? Who'could've missed those SHOUTING, BLARING, SCREAMING headlines of fantastical retail figures, bitchez!

What's that? You don't believe me when I say it was in print, verified by MSM/Financial Sources everywhere? This is just one of thousands (literally) of headlines:

Black Friday: Spending and Number of Shoppers Hit Record Highs

money.cnn.com/2012/11/25/pf/black-friday-sales/index.html

 

(It's not a lie if you believe it, especially if they say it, even if they later retract it)

Oh well.

You're ready for the red pill? No? You're sticking with the blue one? Either way, it's okay. You are free to do things uncomfortably non-numb or comfortably numb, because freedom is good.

 

Sales at Nation's Retailers Fall Short

By Published: November 29, 2012

Sales at stores open at least a year declined in November at major American store chains, including Macy’s, Nordstrom, Kohl’s and Target, sending a shiver through the retail world Thursday.

 

***The reporting period included Thanksgiving and Black Friday***, the official kickoff of the critical holiday shopping season. Early reports regarding those days had been mixed, and the individual retailers’ dim results suggest a big challenge in the coming weeks for retailers.


Craig Johnson, a retail consultant and president of Customer Growth Partners, said that early November was weak across the board and not just in the Northeast, which was hit by Hurricane Sandy in late October.

 

“The traditional post-Black Friday lull, normally starting the following week, started on ...Black Friday,” Mr. Johnson wrote in an e-mail. Activity in shopping malls slowed down starting about noon that Friday, he said, “right about the time the early bird specials expired, and long after the Thanksgiving evening doorbuster items were all sold out — leaving financially stressed consumers with little reason to shop” so many weeks away from Christmas...

 

Short summary? BUY MOAR STOCKS, especially retailers because they're at really low valuations and we're at the end of a depressed period where their share prices have been monkey hammered to multi-decade lows and now the recovery is really going to set in.  /SARC

"The illusion of freedom [in America] will continue for as long as it's

profitable to continue the illusion. At the point where the

illusion becomes too expensive to maintain, they will take down

the scenery, move the tables and chairs out of the way, then they

will pull back the curtains and you will see the brick wall at

the back of the theater."

- Frank Zappa

 

Thu, 11/29/2012 - 15:38 | Link to Comment asteroids
asteroids's picture

It took a LOT of money to do this. I would really like to know who and why. Let's say it was the goverment and the market tanks in a week or so, the questions generated are endless. Where is financial journalism when you need it? And I don't mean CNBS.

Thu, 11/29/2012 - 15:44 | Link to Comment holgerdanske
holgerdanske's picture

They can continue to buy shares ad infinitum. After all they have access to freshly printed money, based on nothing. So it is a dilution of the values we have worked a lifetime to collect. The stockmarket is nothing more than an indicator of a smaller pizza, sliced into more pieces.

Compare it to the goldprice, and things look much clearer

 

Inflation.!

Thu, 11/29/2012 - 16:04 | Link to Comment venturen
venturen's picture

What do you mean...you can borrow unlimited money for ZERO!

Thu, 11/29/2012 - 14:45 | Link to Comment dcj98gst
dcj98gst's picture

Harkin... Tax the High Speed Traders HTF's

 

Sen. Tom Harkin wants lawmakers to consider his financial transaction tax bill as they work on ways to resolve their differences on spending and taxes and the impending “fiscal cliff.”

 

http://www.marketwatch.com/story/harkin-tax-high-speed-traders-to-fill-b...

Thu, 11/29/2012 - 14:32 | Link to Comment Dr. Engali
Dr. Engali's picture

Damn corrupted casinos at work where you can't be long or short overnight because  it takes almost no volume to trigger your stops.

Thu, 11/29/2012 - 14:32 | Link to Comment q99x2
q99x2's picture

Something doesn't look right.

Thu, 11/29/2012 - 14:33 | Link to Comment TheMayor
TheMayor's picture

Bernake couldn't sleep...

Thu, 11/29/2012 - 14:33 | Link to Comment mayhem_korner
mayhem_korner's picture

 

 

This is why one must possess physical assets.  When the algos get the penultimate 'bear' signal, it is a bear no one is fast enough to outrun.

Thu, 11/29/2012 - 14:33 | Link to Comment ThisIsBob
ThisIsBob's picture

Nice trade.

Thu, 11/29/2012 - 14:33 | Link to Comment FL_Conservative
FL_Conservative's picture

Must have been a leak of that "incredible" Q3 GDP revision.

Thu, 11/29/2012 - 14:35 | Link to Comment Cognitive Dissonance
Cognitive Dissonance's picture

Plausible deniability.

<"It wasn't me" said the manipulator. "It was those stupid rouge algos.">

Thu, 11/29/2012 - 14:50 | Link to Comment PlausibleDenial
PlausibleDenial's picture

Truly, it wasn't me...on the bathroom floor...

Thu, 11/29/2012 - 15:03 | Link to Comment Cognitive Dissonance
Cognitive Dissonance's picture

Is that you tapping your foot in the next bathroom stall or are you just (really) glad to see me?

Thu, 11/29/2012 - 17:33 | Link to Comment Liquid Courage
Liquid Courage's picture

Mais non, je pense qu'etais les algos vert, pas rouge.

<"Rouge" c'est un couleur, algos (and elephants) go "Rogue">

[Pardon me CD, I'm such a bitch, but I just can't help it!]

Thu, 11/29/2012 - 14:35 | Link to Comment tooriskytoinvest
tooriskytoinvest's picture

The Coming Hyperinflationary Economic Collapse: China Sees Gold Shortage While Aiming To Boost Gold Reserves, The Fed Is Running Out Of Short-Term Securities To Sell, QE4 Is Coming In December, And The Student Loan Bubble Is About To Pop, This Time The Fed Will Come To Rescue Instead of Taxpayers!

http://investmentwatchblog.com/the-coming-hyperinflationary-economic-collapse-china-sees-gold-shortage-while-aiming-to-boost-gold-reserves-qe4-is-coming-in-december-and-the-student-loan-bubble-is-about-to-pop-this-time-the-fed/
Thu, 11/29/2012 - 14:36 | Link to Comment Venerability
Venerability's picture

Tyler,

You need to keep on top of the Arafat exhumation and the Palestine vote tomorrow, which now even the Jerusalem Post says the Palestinians will win.

This is THE big story for Oil, Gold, and the Resource Currencies now, no matter how much The Script in the US and UK tries to camouflage it.

 

 

Thu, 11/29/2012 - 14:39 | Link to Comment slaughterer
slaughterer's picture

It is very certain that the Palestinians will "discover" poison in the Arafat corpse.  

Thu, 11/29/2012 - 17:23 | Link to Comment Venerability
Venerability's picture

They are not involved.

Three separate laboratories - respected international laboratories - in three separate neutral countries.

And giving me thumbs down for alerting people to what the Jerusalem Post itself is saying is a tad unfair, don't you think?

Thu, 11/29/2012 - 15:32 | Link to Comment NotApplicable
NotApplicable's picture

Camouflage??? Are you kidding? This shit IS the script.

Which part of "Let's you and him fight!" isn't clear to you?

Look at what you've just laid out. Casus belli for BOTH sides. Sides that are already re-engaged in a low-scale war. This is all about setting up the next act in the play. Full-scale, full-spectrum war to settle the issue once and for all.

My prediction? Both institutions will destroy themselves, and this place will become an "international zone" governed wholly by the UN.

Thu, 11/29/2012 - 14:37 | Link to Comment q99x2
q99x2's picture

I got it: that is Loyd Blankfein, Jamie Dimon, Ben Bernanke and Geithner looking out for the ethnically german middle class.

Thu, 11/29/2012 - 14:37 | Link to Comment Dollar Bill Hiccup
Dollar Bill Hiccup's picture

Nancy Pelosi is the new Etrade Babe ...

Thu, 11/29/2012 - 14:38 | Link to Comment Headbanger
Headbanger's picture

It was me.

 

It must have happened when I slammed my head into the keyboard again

Thu, 11/29/2012 - 14:39 | Link to Comment jubber
jubber's picture

You should add the DAX to that because I got killed on the move there

Thu, 11/29/2012 - 14:40 | Link to Comment TrustWho
TrustWho's picture

This is such a fucking comedy. Crimminal prosecution of inside traders while our NY Fed guns the market for wink wink liquidity purposes on behalf of all large banks. Our Federal Reserve is a cartel.

Thu, 11/29/2012 - 14:54 | Link to Comment CompassionateFascist
CompassionateFascist's picture

It is what it has always been: the American branch of the Rothschild International Bank. 

Thu, 11/29/2012 - 14:42 | Link to Comment Cursive
Cursive's picture

Visual desperation from TPTB.

Thu, 11/29/2012 - 14:43 | Link to Comment ekm
ekm's picture

Do you see now that market did not collapse when Boehner talked negatively.

 

As I've continuously said, any news is absolutely, totally and unimaginably irrelevant.

 

This casino has only two options:

- Creep up

- Crater

 

People are cashing all their chips because they have no money to gamble, not that they do not want to. They'd love to gamble, but have no money due to retirement.

 

Casino owners (Primary Dealers) are left with chips in their hands (stocks), but no money.

Thu, 11/29/2012 - 14:43 | Link to Comment slaughterer
slaughterer's picture

I hope the HYG-Tyler notices the sustained weirdness with the Russell 2K in tonight's post-mortem.

Thu, 11/29/2012 - 14:49 | Link to Comment NEOSERF
NEOSERF's picture

All of these flash crashes and liftathons are the governments way of setting the table so if a real crash of let's say 600 pts does occur, they can simply turn off the NYSE and Nasdaq under the guise of something is amiss.  This is the latest, "ensure confidence at any cost" plan from our geniuses in DC.

Thu, 11/29/2012 - 15:35 | Link to Comment TruthInSunshine
TruthInSunshine's picture

The New Normal you say? To condition us?

84-sigma events to happen each & every .008 milliseconds from henceforth onward, forever?

 Games ?
Thu, 11/29/2012 - 14:50 | Link to Comment Darkness
Darkness's picture

Tyler, how much money is it possible to have made off of this "lift"? 

Thu, 11/29/2012 - 14:51 | Link to Comment GoldbugVariation
GoldbugVariation's picture

These conspiracy theories are unhelpful. Most likely it was a large fund in Asia - maybe a hedge fund managed out of Singapore - which decided to buy a lump of US equity futures at the start of the morning their time.  The reasons could be a 'human triggered' stop loss on a short position (a machine stop loss would trigger automatically whenever the stop level is hit), or just exuberance based on the day's events in the US.  More likely it was part of a more complex transaction such as unwinding a derivatives position or swap.

US futures market trading volumes are extremely thin at that time of day, with zero volume on most ticks - I've moved the market one point myself by buying one contract.

Therefore, any sizeable transaction at that time of day is going to move the market price quite a lot.  Correlation will take care of the rest.

No conspiracy, no drama, nothing to see here.

Thu, 11/29/2012 - 15:12 | Link to Comment Village Smithy
Village Smithy's picture

No one who is entering or exiting a large position does it all at once. That just moves the market against their position. This is using low volume, low liquidity to move the market in the desired direction. "These conspiracy theories" are very helpful because they help to frame what may be new paradigms in the market. For example is this behaviour the CB's telegraphing that they will not tolerate falling equity prices? That would have some important consequences.

Sat, 12/01/2012 - 01:38 | Link to Comment overbet
overbet's picture

I agree with goldbug mostly but it could really be anything. It could be hacked accounts moving money from one account to another. Perfect spot, dark quiet corner where nobody is gonna get in your way.

Thu, 11/29/2012 - 14:55 | Link to Comment LongSoupLine
LongSoupLine's picture

fucking horseshit.  start chopping body parts off and lets see how fast we get back to a "market".

fucking assholes.

Thu, 11/29/2012 - 15:05 | Link to Comment Boilermaker
Boilermaker's picture

What about the blatant ramp going on right this minute?

What about that?

Thu, 11/29/2012 - 15:12 | Link to Comment ekm
ekm's picture

Read my post below, for the Nth time.

Thu, 11/29/2012 - 15:24 | Link to Comment Floodmaster
Floodmaster's picture

Housing is a weirder casino where Blackstone and the like buy billion worth of single family homes for rentals !? How do they will manage all those single units of trouble ? First time home buyers are the next victims of this big farce.

Thu, 11/29/2012 - 15:25 | Link to Comment Squid Vicious
Squid Vicious's picture

in other news, Facef*ck and Group-grope now 50% off the lows, move along shorts...

Thu, 11/29/2012 - 15:48 | Link to Comment gjp
gjp's picture

And AMZN rolls on oblivious to it all.  Nine straight up days for gains of 15%.  Within spitting distance of alltime highs in the face of three quarters in a row of disappointing earnings and revenue, raising debt (no tech cash cow this), the need to collect taxes from customers, increasing competition, worries about consumer staying power, and of course sky-high multiples, with price-sales above just about any other mass retailer, even ones that actually make money on their sales.  I swear this is instrument #1 for Bennie's Boys.

Thu, 11/29/2012 - 17:27 | Link to Comment Squid Vicious
Squid Vicious's picture

insane... not to mention they announced they're cutiing their cloud services pricing to compete with Google et. al.

Thu, 11/29/2012 - 22:48 | Link to Comment smiler03
smiler03's picture

You can keep Amazon thanks. A P/E of 3000x is clearly optimistic.

I'm all in on LinkedIn at a far more sensible P/E of 696x  Bargain of the year. 

Thu, 11/29/2012 - 15:32 | Link to Comment fuu
fuu's picture

Rock out with your Nanex out.

Great charts.

Thu, 11/29/2012 - 15:37 | Link to Comment Boilermaker
Boilermaker's picture

Yea, especially because nobody will do anything at all about it.

Thu, 11/29/2012 - 15:45 | Link to Comment fuu
fuu's picture

Well get in there son and show us how it's done.

Thu, 11/29/2012 - 16:39 | Link to Comment JudgeSmails
JudgeSmails's picture

This is ridiculous. There were stops above 10's and they rolled into each other. We used to see 10 handle stops all the time, 4 handles is nothing. Also, I don't see your point in the currencies...an uptick in volume now means 3 pips? Did a dentist in Lake Forest send in a buy order?

Thu, 11/29/2012 - 22:43 | Link to Comment Bansters-in-my-...
Bansters-in-my- feces's picture

This is probably the U.S.A Exchange Stabilization Fund.

Do NOT follow this link or you will be banned from the site!