Stop-Hunting Algotron In Charge As Equities End Small Green

Tyler Durden's picture


What a ridonculous day. We nearly dragged the deer out - or even Donkey Kong - but the epic awesomeness of the swings in stocks today (most notably the S&P 500 - since AAPL/NASDAQ tracked lower and more consistently all day) was simply remarkable. AAPL broke all kinds of records today (losing more market cap today than 80% of the S&P 500 companies in total h/t Peter Tchir). Despite the rapid collapse on the S&P 500 into the close (as HYG pulled off its lows in a failed convergence trade) amid heavy volume, saw the S&P manage a gain on the day but down on the month (while the Dow Industrials and Transports are basically unchanged since 11/30). Rates fell and stayed near their lows for the day; commodities chopped around (as usual) but ended marginally lower from yesterday's day-session close; financials were the winners on the day but led by just great companies as BofA and Citi which staged a tick-for-tick algo liftathon odyssey of idiocy (now up around 6% on the month!!). All-in-all, the S&P remains rich to risk assets but the overflow from AAPL's collapse has likely not played out yet as taps-on-the-shoulder will be everywhere tonight.


Today's awesomeness... sell down (run stops), ramp linealry vertical off Europe close thanks to JPY (run stops for week), everyday on strike..., then dump to VWAP close...


While the Nasdaq dropped along with AAPL... We suspect some of the rally in ES today was unwinds of the 'hedged' AAPL trade - i.e. traders isolating AAPL's 'alpha' (actually high beta) from the market by buying AAPL and selling ES - as the magnitude of the downshock far outweighed the shift in ES.


The S&P was in a world of its own for much of the day - and collapsed metronome-like back to risk-assets by the close...


led by financials...(and lagged by Materials)


as Citi and BofA were just idiotic...


and the market tried its best to recouple into the close as HYG and SPY were compressed... and AAPL lost it...


and FX markets were extremely volatile with some decent trend changes - JPY weakness (back to unch on the week) and even EUR started to bleed into tomorrow's ECB meeting (though up on week)...


Gold and Silver slid modestly, Oil dropped further and recoupled with Gold on the week - copper rose...


Charts: Bloomberg and Capital Context

Bonus Chart: AAPL broke all kinds of records today... AAPL at 300DMA, 50DMA crossing 200DMA, biggest single day absolute $ drop, biggest
%age drop since Dec2008, biggest 3 day swing since May2010 - and of course biggest market cap loss in history...


Bonus Bonus Chart: VIX (green) and Europe's VIX (Red) recoupled for the first time since August 2011 with the latter having collapsed from over 10 vols above VIX in the last month!


Bonus Bonus Bonus Chart: AAPL's implied vol (black) vs stock price (orange) relationship appears to have seen a regime change of sorts - unlike in previous moves, this down move (and the recent bounce) have seen a higher and higher demand for protection as implied vol moves to near year highs - even as the stock remains well up for the year. We can only imagine that at some point the owners of the underlying will need to unwind (rather than carry the exposure and hedge) and over-paying for vol will be the signal for when that is happening...


Charts: Bloomberg

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Wed, 12/05/2012 - 17:46 | 3037274 ebworthen
ebworthen's picture

"...financials were the winners on the day but led by just great companies as BofA and Citi which staged a tick-for-tick algo liftathon odyssey of idiocy..."


That's right folks!  11,000 people losing their jobs is good for the economy!

Less expenditure for Citi, but J.P. Morgan Chase will pick up the EBT and Unemployment accounts and WalMart the Food Stamp revenue!

"Wee!  I love the rollie coaster!"


Wed, 12/05/2012 - 17:48 | 3037290 Mr Lennon Hendrix
Mr Lennon Hendrix's picture

Which economy?  The one for the corporations or the one for the people?

Wed, 12/05/2012 - 18:16 | 3037384 ebworthen
ebworthen's picture

Good question.

Corporations are people.

Humans are nominal debit units.


Wed, 12/05/2012 - 18:22 | 3037406 The trend is yo...
The trend is your friend's picture

"Margin calls know the rules of the exchange"

Wed, 12/05/2012 - 19:23 | 3037549 French Frog
French Frog's picture

Everyone ready for the overnight ramp?

Wed, 12/05/2012 - 17:42 | 3037276 Confundido
Confundido's picture

We forgot to include the stop hunting chart on gold....

Wed, 12/05/2012 - 17:44 | 3037280 Hedgetard55
Hedgetard55's picture

Maybe Choomboy B can bail out Crapple holding hedgies along with providing some bacon for the brothas and sistas in Detroit.

Wed, 12/05/2012 - 18:14 | 3037374 adr
adr's picture

Bacon? They've moved on from bacon. Only fresh lobster and porterhouse delivered straight from Air Force One will do.

Wed, 12/05/2012 - 17:45 | 3037282 FoeHammer
FoeHammer's picture

Margin, Bitchez.

Wed, 12/05/2012 - 17:46 | 3037284 Mr Lennon Hendrix
Mr Lennon Hendrix's picture

Finance is in shambles.  How much longer will the PhD led Central Banks be able to hold the dam together with duct tape and glue?

Wed, 12/05/2012 - 17:59 | 3037326 ZerOhead
ZerOhead's picture

One... perhaps two bonus seasons...

Wed, 12/05/2012 - 18:06 | 3037337 Mr Lennon Hendrix
Mr Lennon Hendrix's picture


How many days is that?  I would like to schedule a tee time so that while everyone else is running around half cocked I can have the course to myself.  I usually forget to yell "fore!" after the first couple drinks from my flask and I would be saved the embarressment.

Wed, 12/05/2012 - 18:12 | 3037359 ZerOhead
ZerOhead's picture

If you live in Arizona or SoCal you may have to move quickly after the 'main event'. I suspect that when the power and water grids go down you'll have a week or so of good golf left before it all reverts back to a giant sand trap.

Wed, 12/05/2012 - 19:32 | 3037299 TruthInSunshine
TruthInSunshine's picture

<---   Bernankfubar'd Markets

<---   Bernankadonk Markets


Please vote, bitchez.


Update: It appears that ZH's love them some badonkadonk.

Wed, 12/05/2012 - 23:04 | 3038079 The Gooch
The Gooch's picture

Word of the week.

Wed, 12/05/2012 - 18:04 | 3037343 Glass Seagull
Glass Seagull's picture

Did EssaySee do a portfolio trade with Jhee-Ess today? 


Let's ask the magic 8 ball....

Wed, 12/05/2012 - 18:08 | 3037354 SmoothCoolSmoke
SmoothCoolSmoke's picture

Cuck Fomputers!

Wed, 12/05/2012 - 18:11 | 3037360 adr
adr's picture

Hi, my name is Market and I'm a Bernankaholic.

Wed, 12/05/2012 - 18:14 | 3037371 asteroids
asteroids's picture

If you knew Greece was going to be downgraded, wouldn't you want to ramp the market and sell to stupid fish at the close?

Wed, 12/05/2012 - 18:17 | 3037392 adr
adr's picture

I picture the fish like the ones from the cartoons after the dynamite is thrown in the water. Laying on thier side with a tongue sticking out and Xs for eyes.

Wed, 12/05/2012 - 18:21 | 3037404 Quinvarius
Quinvarius's picture

If you look at the COT you will notice the only people still short are the public.  If you shorted because GS and Kaminsky told you too, going into QE3+4, you are about to get your head handed to you.

Wed, 12/05/2012 - 18:23 | 3037409 slaughterer
slaughterer's picture

I am OUT.  Today defied every expectation within sanity.  The market is now for me completely insane.  

Wed, 12/05/2012 - 18:34 | 3037436 chump666
chump666's picture

EUR selling got Europe frisky, but Mario must have hit the ECB's HFTs to support those ranges.  Europe equities then snapped back.  NASDAQ blowup should have freaked out the Dow, thus freaking up the S&P, but alas HFTs again.  But...DXY is bid throughout the whole session, if we get major dumps into safe havens with Asian, then maybe, maybe a correction is due.

Poor old Marketwatch's antiquated open out cry momentum calls are dead as dead

Wed, 12/05/2012 - 18:51 | 3037474 ekm
ekm's picture


Seth Klarman calls it: INSECT TRAP. You can get in, you can't get out.

Wed, 12/05/2012 - 23:10 | 3038097 The Gooch
The Gooch's picture

I'm sure the deer will appear by weeks end.
The frequency and intensity of insanity are going

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