This page has been archived and commenting is disabled.

Why Does Someone Keep Losing Money On AAPL In The Last Second Of Trading?

Tyler Durden's picture




 

Via Nanex,

In the last second of trading on January 2, 2013, trades executed more than $3 above existing market prices in Apple Computer Corp (symbol AAPL). These trades were marked ISO, which means the trader submitting the orders wanted to execute at these higher prices. Why? Good question. This has happened before (as Nanex are so excellent at uncovering): see Apple and Google's Last Second.

1. AAPL - 1 second interval chart showing trades color coded by exchange.
Several ISO trades with much higher prices appear from BATS (pink) and NSX (gold) in the last second of trading.



2. AAPL - 50 millisecond interval chart showing trades color coded by exchange. Zooming in from Chart 1.

 



3. AAPL - 50 millisecond interval chart showing bids, asks and trades color coded by exchange.
The trades execute against existing offers. Coupled with the ISO condition indicates these were intentionally executed at prices significantly above market price.



4. AAPL - 5 millisecond interval chart showing trades color coded by exchange. Zooming in further.

 



Nanex Research

 

- advertisements -

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Wed, 01/02/2013 - 22:57 | 3117420 GMadScientist
GMadScientist's picture

Well how do YOU paint the tape?

Wed, 01/02/2013 - 23:03 | 3117433 Freddie
Freddie's picture

"Painting the tape" was supposed to be illegal.  This is stock market where John Corzine steals $1.5 billion and no one says a word.

Wed, 01/02/2013 - 23:10 | 3117453 ghengis86
ghengis86's picture

Free Corzine!!!

Wed, 01/02/2013 - 23:13 | 3117459 BlueCheeseBandit
BlueCheeseBandit's picture

In some contexts a rallying cry, in this context an accurate description.

Thu, 01/03/2013 - 00:12 | 3117642 Manthong
Manthong's picture

“An apple trade a day keeps Doctor Ben away."

-Kevin

Thu, 01/03/2013 - 01:15 | 3117765 SnobGobbler
SnobGobbler's picture

you have the chart, replicate the trade and shut down the algo....noob

Thu, 01/03/2013 - 02:35 | 3117868 Sylvia Plath
Sylvia Plath's picture

Algo's probing algo's, nothing to see here... move along~!

Thu, 01/03/2013 - 02:57 | 3117887 A L I E N
A L I E N's picture

Probably some average joe's retirement account broker giving them the "best" buy price..

Thu, 01/03/2013 - 03:31 | 3117914 Dr Benway
Dr Benway's picture

Well at least you have someone looking. In Australia, a whole sector has completely gone over to price manipulation, where every trade sometimes is done at bid during a day yet the share price increases.

 

Also, major pension fund management companies use funds entrusted to them to ramp their own share prices. Nothing being done about it.

 

Check out my presentation on fraud in the Australian listed investment company sector:

http://s1144.photobucket.com/albums/o489/_DrBenway/The%20Great%20Austral...

 

Thu, 01/03/2013 - 07:58 | 3118038 GetZeeGold
GetZeeGold's picture

 

 

Snatch the pebble from my hand grasshopper.

 

OK....now try again.

Wed, 01/02/2013 - 23:22 | 3117484 Freddie
Freddie's picture

http://www.investopedia.com/terms/p/paintingthetape.asp

http://financial-dictionary.thefreedictionary.com/Painting+the+Tape

The definitions talk about creating fake volume but this was a bogus buy at a high price to try to drive Apple higher and also show up as the high price of the day.  The avg Joe who might own 100 shares would check and see Apple's high price today as this fake buy.   They are really trying to pump and prop up Apple.  Apple IS the market now.

Corzined!

It is total manipulation and the software is supposed to catch these BS trade orders to insure it does not happen.  This is total  manipulation.  It is so blatant because it was done within milliseconds of the close.

Wed, 01/02/2013 - 23:25 | 3117494 DoChenRollingBearing
DoChenRollingBearing's picture

Nanex and Zero Hedge are all that we have left now that the SEC has decided to sleep through all of this or just let the Corzines get away with this.

Bravo Zero Hedge!

Wed, 01/02/2013 - 23:34 | 3117524 Freddie
Freddie's picture

Tyler(s) nailed it. I looked at a few charting programs for today and the end of day price for Apple is $555.  One trade $6 higher than the real high for the day?

Now here is the question - with milliseconds left - did the HFT or Algo programs see that fake $555 trade as a real trade and kick in to drive up the SPY, QQQ and any other index Apple is in at the close? 

This is so corrupt.

Thu, 01/03/2013 - 00:44 | 3117712 Sabibaby
Sabibaby's picture

Can we get the name and address of the person responsible for this?

Thu, 01/03/2013 - 03:39 | 3117926 DeadFred
DeadFred's picture

We could give you that info but I doubt that you speak Binary.

Thu, 01/03/2013 - 03:41 | 3117927 DeadFred
DeadFred's picture

We could give you that info but I doubt that you speak Binary.

It seems that I can post Binary

Thu, 01/03/2013 - 07:47 | 3118081 saturn
saturn's picture

It's the Bernank address.

Thu, 01/03/2013 - 00:57 | 3117736 Navymugsy
Navymugsy's picture

I wondered why AAPL had popped so suddenly at the end. I trade iron condors on AAPL but I never look at the stock action at this depth. Glad you guys are watching my back!

Thu, 01/03/2013 - 02:16 | 3117855 ACP
ACP's picture

Anyone try putting in short sale order 5 mins before the close several dollars above current price and then buying the shares back in AH?

I'm fairly 'plain vanilla' with my trading, so I don't know if there are any retail platforms that will allow this.

Thu, 01/03/2013 - 03:29 | 3117913 WTFUD
WTFUD's picture

Hands Up been caught with my fingers in the till; banged to rights! my brief says your up before Judge " Did not go to Cambridge the Right Dis Dishonorable send him down " Cuntis Amoris. Plead guilty and throw yourself at the mercy of the court and you'll get 3-5 or bung me $100k plead a Corzined and you might be lucky get a suspended sentence, recover your costs and an OBE.

Wed, 01/02/2013 - 23:22 | 3117490 kliguy38
kliguy38's picture

Agree.....anyone that can buy that kind of ass just to walk on the beach is my kind of guy..........of course he's using my money but WTF he's got more free time than I do.......

Thu, 01/03/2013 - 09:04 | 3118177 ptoemmes
ptoemmes's picture

He is free.

How about this (work with me).

Corzine for USDOJ AG

Oh the irony,

Wed, 01/02/2013 - 23:08 | 3117447 ball-and-chain
ball-and-chain's picture

The whole market is nothing but fraud.

What you need to make money is insider information.

If you don't have it, you'll get fleeced.

http://www.angrysinner.blogspot.kr/2013/01/yesterday-dragon-lady-served-hormel.html

Wed, 01/02/2013 - 22:59 | 3117426 LongBalls
LongBalls's picture

Maybe the sheep do like the sheer?

Wed, 01/02/2013 - 23:08 | 3117427 ZFiNX
ZFiNX's picture

Probably some kind of dumbass trading strategy. Ignore.

 

Only a whale of a retard would think they could paint the tape of f***in AAPL.

Wed, 01/02/2013 - 23:02 | 3117430 zorba THE GREEK
zorba THE GREEK's picture

Just more proof of a rigged market

Wed, 01/02/2013 - 23:02 | 3117431 The Master
The Master's picture

Joe Terranova you sonofabitch

Wed, 01/02/2013 - 23:09 | 3117448 buzzsaw99
buzzsaw99's picture

Ma nipple ation

Thu, 01/03/2013 - 00:58 | 3117739 VATICANT
VATICANT's picture

See you at the party Richter!

Wed, 01/02/2013 - 23:09 | 3117449 Just Ice
Just Ice's picture

Specific order routing for reason other than most competetive bid/offer?

Wed, 01/02/2013 - 23:14 | 3117463 FinalCollapse
FinalCollapse's picture

Someone is trying to pull Carly Fiorina trick? She had a habit of painting the HP tape just before her stock based compensation was calculated. Can someone check when AAPL calculates the stock based options for their execs? 

Thu, 01/03/2013 - 03:52 | 3117937 Dr Benway
Dr Benway's picture

Yeah that is standard procedure in Australia too. Executive share plans can be constructed so that the shares to be awarded are bought on-market PLUS no shares need actually be awarded but the ramped price just used for the calculation of cash compensation. The more illiquid share the better.

There is even a euphemism for share price self manipulation, they call it 'capital management' lol

Wed, 01/02/2013 - 23:15 | 3117467 W74
W74's picture

BIGGER PICTURES!!!

Wed, 01/02/2013 - 23:18 | 3117475 DJ Happy Ending
DJ Happy Ending's picture
Wed, 01/02/2013 - 23:19 | 3117481 devo
devo's picture

Maybe someone entered the wrong amount.

Wed, 01/02/2013 - 23:26 | 3117504 Freddie
Freddie's picture

I doubt it.  The software on most trading platforms should catch it.  I think the software will look at the current market and if the market price is lower then you get the lower price. 

Wed, 01/02/2013 - 23:37 | 3117521 devo
devo's picture

Yeah true, but I think with some brokers/software you can skip trade confirmation, so maybe this trader was set up that way and placed a limit order, and the seller/algo raised the ask within nanoseconds to meet it?

Or Bernake is in there jacking up prices (i.e. Occam's Razor).

Wed, 01/02/2013 - 23:40 | 3117544 Freddie
Freddie's picture

I hear you but the mistake happens at the very last second of the day?  Joe six pack and millions of chartists will look at Apple and think today's high was $555 when it was really closer to $549 or so.  

Thu, 01/03/2013 - 01:32 | 3117566 Freddie
Freddie's picture

I cannot see Tyler's charts too well but it looks like volume surged too.  My guess is alogos/HFT/program trading programs kicked it in.  They probably kick in when volume spikes or a stick moves up a little bit.   This was an almost exactly 1% "move."   Only one trade but those programs are probably watching for this.  They probably all bought but they got the market (lower) price.

Mission accoplished by the scum who did this.  They create a fake $555 close when it was really about $549.   The second objective was probably to create a volume spike at the close.  Whomever did this deserves what Mussolini got.

Wed, 01/02/2013 - 23:49 | 3117581 devo
devo's picture

Yeah, definitely bizarre.

I'd love to hear theories as to who is doing this (unless we all assume it's that fuckhead Bernake).

Thu, 01/03/2013 - 00:07 | 3117626 GMadScientist
GMadScientist's picture

More likely that fuckhead, Tim (Cook, not that elf motherfucker).

Thu, 01/03/2013 - 08:23 | 3118113 Acet
Acet's picture

In a normal trade, if the exchange can match you to a better price (lower buy price or higher sell price), then the trade will be done at that price.

These trades went in with a special code marking them to be executed at the specified price even if in the market there were open sell orders at a better (lower) price. I very much doubt that any mainstream trading platform would even allow you to set any such codes, since there is no reason (other than market manipulation) to purposefully execute a trade at a price worse than the best market price.

Somebody went our of their way to make sure that these buy trades were executed at a price 1% above the market.

Wed, 01/02/2013 - 23:23 | 3117493 Insideher Trading
Insideher Trading's picture

Braeburn.

Thu, 01/03/2013 - 03:46 | 3117934 Wakanda
Wakanda's picture

Dats a rotten apple.

Wed, 01/02/2013 - 23:24 | 3117496 tom a taxpayer
tom a taxpayer's picture

Why Does Someone Keep Losing Money On AAPL In The Last Second Of Trading?

Why do fools fall in love?

http://www.youtube.com/watch?v=q96ylFiQK_I

Wed, 01/02/2013 - 23:26 | 3117498 FischerBlack
FischerBlack's picture

Rogue algo.

Wed, 01/02/2013 - 23:27 | 3117506 ekm
ekm's picture

Easiest answer in the world: MENTALLY ILL BY CHOICE.

What is the % of americans taking legal and illegal antidepressants?

Thu, 01/03/2013 - 00:05 | 3117622 GMadScientist
GMadScientist's picture

Counting biosynthesized oxytocin?

 

Wed, 01/02/2013 - 23:33 | 3117528 Godisanhftbot
Godisanhftbot's picture

 This crap has been going on for years, and if its a mistake, its a mistake oft repeated.

 Hard to say who , and why, but I would not assume idiocy as the first explanation.

 

Wed, 01/02/2013 - 23:38 | 3117539 Dre4dwolf
Dre4dwolf's picture

Well if they can make money wasting gas driving a train back and forth over the boarder for no reason, maybe the EPA has some kinda gift for influentially losing money on Apple Shares too?

Wed, 01/02/2013 - 23:53 | 3117594 Compwiz4u
Compwiz4u's picture

I've tried to do something similar to create a technical breakout, but they would not let me pay more than the going offer price.

Thu, 01/03/2013 - 00:04 | 3117618 Al Huxley
Al Huxley's picture

That is because you're not part of the club.  Two sets of rules, one for the insiders and one for the hoi-poloi.  Now you know which group you're in.

Wed, 01/02/2013 - 23:57 | 3117598 icanhasbailout
icanhasbailout's picture

Free Kevin Henry!

Thu, 01/03/2013 - 00:07 | 3117624 BaggerDon
BaggerDon's picture

Plunge Protection Team trying and trying to instill confidence, the harder they try the worse it gets....

Thu, 01/03/2013 - 01:21 | 3117772 Freddie
Freddie's picture

Ding! Ding!

(Most likely) Winner Winner Chicken Dinner!  ;-)

Thu, 01/03/2013 - 00:12 | 3117639 M4570D0N
M4570D0N's picture

I know its more common in commodities, but could it be something as simple as a broker or some other similar market participant that is intentionally taking a loss to provide the party on the other end of this trade with a better than market value on the trade in order to gain their business in furture trades?

Thu, 01/03/2013 - 04:13 | 3117959 Catequil
Catequil's picture

Yes, it reminds me of the so-called AA (against actuals) transaction in commodities, which is normally executed within the day's range, but there is no problem for it to be agreed outside of it (sometimes significantly) and has to be agreed upon by both parties. When it is significantly outside of the day's it is normal the exchange to start asking questions and demand proof of legitimacy from both parties involved.

"market participant that is intentionally taking a loss to provide the party on the other end of this trade with a better than market value on the trade" - the party seemingly intentionally taking a loss, is not really taking a loss cause I am sure it has some OTC arrangments in the background it is supposed to recover the loss through .

It is just a gimmick used by someone low on collateral to reduce losses (or boost profits) artifitially by transferring the loss from his trading account to another somewhat not so visible (or with delayed visibility) account of his of course with the allowance of the counterparty.

Thu, 01/03/2013 - 00:15 | 3117650 knukles
knukles's picture

Someone wanted a trade at a price higher than the market for purposes of inflating a mark on an AAPL position.

Thu, 01/03/2013 - 02:42 | 3117878 Manipuflation
Manipuflation's picture

Someone

Thu, 01/03/2013 - 00:18 | 3117659 ebworthen
ebworthen's picture

Tax deduction, gaming the system, probably CONgressional idiots or CALPERS or other pension funds.

Thu, 01/03/2013 - 00:24 | 3117670 netshort33
netshort33's picture

FINRA, they're the problem in my opinion. 

Thu, 01/03/2013 - 02:04 | 3117842 superuser
superuser's picture

Just looking at the equity action may not tell the whole story--as you suggest, a stock like AAPL clearly impacts SPX, et al. But what about the action in its options at the same time? I'm no markets expert by any means...

Thu, 01/03/2013 - 02:31 | 3117863 Ham-bone
Ham-bone's picture

This is the fraud you hope it isn't...this is the farce the you feared it is...this is...well, American propaganda promoting socialist ideology by demonizing the faux enemies of the government (Wall Street, bankers, elite) while simultaneously paying all benefits of the state to this elitist group at the expense of the national interest.

Thu, 01/03/2013 - 02:39 | 3117872 Manipuflation
Manipuflation's picture
"Why Does Someone Keep Losing Money On AAPL In The Last Second Of Trading?"

Because it was legislated in the fiscal cliff bill somewhere?

Thu, 01/03/2013 - 02:49 | 3117882 ebworthen
ebworthen's picture

Ponzi!  Ponzi!  Ponzi!

(have I said that yet today?  Oh well)

Thu, 01/03/2013 - 03:27 | 3117909 GNWT
GNWT's picture

As a 25 year vet of trading who made the 5th trade on the NQ first day, 

June 1, 1999 - duh, easy one...in fact you can see it if you are an astute

tape reader - intraday..

 

the algos are set to a level above or below the "fair" value...

when you print AAPL outside the spread, algos jump...you can see

it cleary when AAPL is moving and the NQ is reacting tick 

by tick...

 

so, when they print outside a real edge...

 

the prints outside at the close would cause the end of day push higher and the 

"real order" executed at a higher price in volume...

 

proof of the hypothesis is the volume, not the print, correct Tyler?

 

G

 

Stay liquid my friends

Thu, 01/03/2013 - 04:27 | 3117966 the_market
the_market's picture

Maybe they tried to knock out short mini futures on apple...

Thu, 01/03/2013 - 06:40 | 3118031 d_taco
d_taco's picture

Oil jumped more than 2% in a couple of seconds on second christmas day just out of the blue when 70% of the traders where at home.

There was only a strange news item from the UEA about terorists. The same UEA that profit the most of the high oil price.

Imagine which parties make a lot of money by dumping a litle money in the oil paper market.  

 

 

 

Thu, 01/03/2013 - 06:49 | 3118035 Benjamin Glutton
Benjamin Glutton's picture
What Actually Happened During the Flash Crash By David Waggoner Jun 30, 2010 8:10 am A deep analysis of the May 6 flash crash, key players including Apple and the NYSE, and the many questions that followed.

What is interesting is that busts occurred in Apple at all given the size of its market cap. It's also interesting that the busts occurred at NYSE-ARCA.

The SEC-CFTC report highlighted ETFs as an area for further study because more ETFs had busted trades than other stocks during the flash crash. All ETFs trade on NYSE-ARCA.

Perhaps more ETFs were broken because they trade on NYSE-ARCA and not because they were ETFs.

Inter-Market Sweep Orders (ISO) were created as an exemption to the order protection rule of Regulation NMS. An ISO is a limit order that

1. is identified as an ISO when routed to a trading center and

2. simultaneously with the routing of the limit order, one or more additional limit orders are routed to execute against all better-priced protected quotations displayed by other trading centers up to their displayed size.

All orders must be identified as ISO orders available for immediate execution. The ISO exemption was adopted to allow institutional traders to forgo the best-price requirement in order to fill large orders. In practice there's no difference in the size of orders executed using ISO and non-ISO and use of the exemption has proliferated to be the primary order-flow method for market makers and many large trading institutions. In truth, it's a loophole that allows traders to use ISO to preference their order flow as a precision instrument allowing them to limit execution to a specified market center regardless of the National Best Bid Offer. In the fragmented market structure of today it's used by market makers for bid/ask spread arbitrage, precision order placement, and directing trades to exchanges where they're reimbursed for limit orders. But ISO trades can also be used for more nefarious predatory trading tactics such as combining ISO with short selling to suck liquidity out of an illiquid/troubled market or security, or fine-tuning an attack on a known weak hand or anticipated liquidation.

Both the NASDAQ and NASDAQ-BATS declared self-help against NYSE-ARCA in the minutes preceding the flash crash. Was that the equivalent of “blood in the water” alerting predators of weakness?
NYSE-ARCA held the National Best Bid Offer for Apple for 25% of all trades during the 10-minute period of the flash crash but was the source for 52% of crossed trades. 100% of Apple crossed trades executed on NYSE-ARCA were ISO-exempt trades. Actually, in minute 2:46, 100% of all Apple trades executed on NYSE-ARCA were ISO-exempt trades. Were they weak-seeking guided missiles or reimbursement-seeking liquidity providers?

Read more: http://www.minyanville.com/businessmarkets/articles/flash-crash-apple-cause-reasoning-wonderland/6/30/2010/id/28982#ixzz2GuLCtuT1
Thu, 01/03/2013 - 07:33 | 3118071 Racer
Racer's picture

Keep uncovering the fraud, ZH and Nanex,  we need you!

Thu, 01/03/2013 - 09:50 | 3118279 Downtoolong
Downtoolong's picture

It could be tied into the daily settlement price of an OTC option or derivative which no one else sees. Take a modest loss on the stock and make a fortune on the derivative.

Any way you look at it, it's illegal. So the question shouldn't be why but how? Of course, to get an answer, the SEC must look, and that just ain't happening unless you or I did it.

 

 

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