S&P Futures Gap Up 0.5% -- That Is All

Tyler Durden's picture


Asia opens loud and proud and announces itself with a subtle 'buy-every-single-contract-in-the-stack-coz-I-am-desperate' algo grabbing 7000 contracts in S&P 500 e-mini futures (ES). Nothing else moved, just ES. Now a few things are reacting but the total lack of news and sheer ignorance of unloading that much into an illiquid thin market at this time of day suggests this market is more broken than we suspected. Also, since the move is identical to what a certain Bruno Iksil would have done back in March with IG9, when he would sell through all the bids, only this time in reverse with equities, we wonder if the "water walking" Frenchman may not have already found his next port of call.

Note the total lack of follow-through in any othe risk-asset...

as a 6-7000 car trade grabs everything in the stack and lifts us 6 points higher on a 'stop-run'...


Charts: Bloomberg

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Mon, 08/13/2012 - 21:21 | 2702681 baby_BLYTHE
baby_BLYTHE's picture

biggest bubble in the history of equities predicated on nothing other than hot air rhetoric from central economic planners.

Mon, 08/13/2012 - 21:45 | 2702769 slewie the pi-rat
slewie the pi-rat's picture

ahem... let me take a turn baby_B!


Mon, 08/13/2012 - 22:00 | 2702812 baby_BLYTHE
baby_BLYTHE's picture

relatively flat to declining. Nothing to brag about nor anything to justify current asset prices.

Mon, 08/13/2012 - 22:33 | 2702860 slewie the pi-rat
slewie the pi-rat's picture

should mean lotsa work fror their accountants

enjoy the convention!

or is that a ?

like anybody needs any more babyBlackHelicopters at this point?


Mon, 08/13/2012 - 23:24 | 2702950 ACP
ACP's picture

Just an intern at the Fed trying to impress his boss.

Son, keep it up and one day you'll be buying big S&Ps...

Mon, 08/13/2012 - 23:44 | 2702972 The Monkey
The Monkey's picture

Higher prices baby !  Yeah.

Tue, 08/14/2012 - 00:09 | 2703003 flacon
flacon's picture

Years of uncopulated QE promises makes a virgin in heat. 

Tue, 08/14/2012 - 01:05 | 2703065 Dr Benway
Dr Benway's picture

It's not price manipulation if it's upwards. It's not fraud if it's condoned by regulators. It's not wrong unless you get caught.

Mon, 08/13/2012 - 22:13 | 2702830 Everybodys All ...
Everybodys All American's picture

take out inflation and especially a large number of bank's mark to mythology accounting from those earnings and you have a train wreck don't ya think.

Tue, 08/14/2012 - 02:43 | 2703073 LibertarianX
LibertarianX's picture

btw...wait until someone takes a close look at the Mark IT circular marks for all the derivatives 'unobsevable parameter' marks used for implied correlations and vol.....

Libor will look saintly I suspect....

Mon, 08/13/2012 - 22:18 | 2702840 Eireann go Brach
Eireann go Brach's picture

I see Obama opened up a Scottrade account and is putting everything on the Presidential EBT Unlimited Food Stamp card!

Tue, 08/14/2012 - 00:51 | 2703052 ebworthen
ebworthen's picture

You took the words out of my mouth, and I'm happy for it.

Bubble, bubble; part deux (or is it tres?)

Tue, 08/14/2012 - 06:51 | 2703197 DeadFred
DeadFred's picture

They systematically tried to drive volume out of the market and succeeded. Now that they own the game they wonder "What can I do with this?" I think a lot of the wierd algo actions are really probes to test how their wholey-owned system reacts. Sooner or later they'll find the optimum way to extract the wealth out of everyone else still in the game. Those pension funds do look tasty, right?

Tue, 08/14/2012 - 11:57 | 2703945 ebworthen
ebworthen's picture


Mon, 08/13/2012 - 21:24 | 2702687 The Axe
The Axe's picture

i thought the NY Fed is out drinking this time of day...perhaps the cleaning lady sat on the keyboard...shit it only has buy keys.....

Mon, 08/13/2012 - 22:32 | 2702780 slewie the pi-rat
slewie the pi-rat's picture

 <--< DSK knows her

 <--< chaseMorgueCHINA

[choose one and vote:  coincidence?  or cause?  L0L!!!]

Mon, 08/13/2012 - 21:24 | 2702688 1fortheroad
1fortheroad's picture

Yea baby, Simon says jump motherfucker.

I did see the reaction on the dow mini, up 25 points in a split second. 

Just happen to be looking on my tick chart. 

Mon, 08/13/2012 - 21:25 | 2702693 francis_sawyer
francis_sawyer's picture

Prechter & Neely will be along any minute now to explain this...

Mon, 08/13/2012 - 22:00 | 2702811 slewie the pi-rat
slewie the pi-rat's picture

i wonder if tyler has banned robo again?

Mon, 08/13/2012 - 22:11 | 2702827 slewie the pi-rat
slewie the pi-rat's picture

here is the graphic representation, from slewienomics:

Elvira V. VWAP

Tue, 08/14/2012 - 11:59 | 2703953 ebworthen
ebworthen's picture

Tittie Talent - more impressive than any algo!

Mon, 08/13/2012 - 21:26 | 2702698 mammoth mo
mammoth mo's picture

Well - zombie banks never sleep.

Mon, 08/13/2012 - 21:26 | 2702700 goldencross10
goldencross10's picture

Yep anyone who had stops at 1,407 got screwed, more signs of broken market structure.

Mon, 08/13/2012 - 21:32 | 2702717 ghengis86
ghengis86's picture

1. Who is still using stops?
2. Who is still "in" this market?
3. Who's in the market for a slightly used bridge in Brooklyn?

Mon, 08/13/2012 - 21:38 | 2702744 Bear
Bear's picture

Who is using stops? Do you think that the market jumped on a long and considered evaluation of the fundamentals of the economy?

I am a Bear and I thought that SP was overvalued at 420 ... I am short when ES goes above 1400 and VXX about 11. I willl continue to be wrong until I am suddenly right.  P.S. I would love to own the Brooklyn Bridge, is it up for sale?

Mon, 08/13/2012 - 21:49 | 2702776 ghengis86
ghengis86's picture

Why yes it is! My broker is the Honorable John Corzine, so if he asks for the funds to be deposited with him for holding while the transaction closes, you can rest assured that your money is safe. The account is segregated!!

Tue, 08/14/2012 - 00:48 | 2703048 Mugatu
Mugatu's picture



You questions are easily answered:

1. Who is still using stops? - Computers
2. Who is still "in" this market? -  Lots of Computers
3. Who's in the market for a slightly used bridge in Brooklyn? -  The guys who own all these computers.

Now, does it all make sense now?  Now that you understand what is going on, you can be as fucking confused as everybody else.

Tue, 08/14/2012 - 03:52 | 2703131 trebuchet
trebuchet's picture

You're right, with low volume, illiquid markets, the stop hunters have a disproportionately larger role in price setting... 

.. the basic algo is sine wave, VWAP reverting with variance -volume triggers for turning points

so you want to be cash with ridiculous low limit buys and high sells and surf that wave baby!!!


e.g. ABG in UK, KMR  have the hallmarks of stop hunting algos driving daily price action

Mon, 08/13/2012 - 21:33 | 2702720 Bear
Bear's picture

1407.25 just what you want ... buy at the top of the six month market in the middle of the night

Mon, 08/13/2012 - 21:38 | 2702742 roadsnbridges
roadsnbridges's picture

With this moronic market, I suggest 1450.

Mon, 08/13/2012 - 21:27 | 2702702 DavidC
DavidC's picture

Broken doesn't even begin to describe this.


Tue, 08/14/2012 - 00:28 | 2703022 SheHunter
SheHunter's picture

Market's become a spectator event. Watch from afar with beverage in hand marveling at the HFT antics.

Mon, 08/13/2012 - 21:29 | 2702708 DavidC
DavidC's picture

...And I'm inclined to say that when this breaks properly, and it will, these bastards are going to deserve everything that's coming to them.


Mon, 08/13/2012 - 21:39 | 2702746 roadsnbridges
roadsnbridges's picture

Sure it will.  Now I;m looking at VXX at 5 to go all in.

Tue, 08/14/2012 - 00:13 | 2703009 flacon
flacon's picture

Aug 18 calls are torn to shreds. Go for September or October incase this insanity takes a while longer. 

Mon, 08/13/2012 - 21:45 | 2702767 mammoth mo
mammoth mo's picture

When it breaks those bastards will have the other side of the line.  Having beat it down to next to nothing - they will make a fortune as mom and pops retirement goes up in smoke.  They will cry they are poor now but it will be a lie all along.

Mon, 08/13/2012 - 21:49 | 2702778 DavidC
DavidC's picture

Unfortunately I think you're right mammoth mo.


Tue, 08/14/2012 - 00:12 | 2703007 flacon
flacon's picture

Mom and Pop need to get off their ass, turn off the TV and protect their birth-right before it gets legally stolen. Too bad they hired the thief to guard their hen house. Too bad... So sad... you snooze, you looze. 

Tue, 08/14/2012 - 06:55 | 2703199 CPL
CPL's picture

Their birth right was never a central banking system...ever.

Mon, 08/13/2012 - 21:53 | 2702795 Dr. Engali
Dr. Engali's picture

And they all will say .... "nobody could have seen this coming "

Mon, 08/13/2012 - 21:31 | 2702716 Bear
Bear's picture

I can't believe how 'valuable' those ES contracts are .... you'd think they were gold

Mon, 08/13/2012 - 21:35 | 2702718 russwinter
russwinter's picture

Open interest in VXX futures are near record highs, the inverse of stock index futures. If there is a wild assed whale (Moby Dick) or whales I suspect that is where he is lurking.


Mon, 08/13/2012 - 21:41 | 2702750 roadsnbridges
roadsnbridges's picture

He who buys first, loses most.

Mon, 08/13/2012 - 21:52 | 2702787 Sam Clemons
Sam Clemons's picture

He who buys on leverage, is TBTF, and has mark to myth accounting loses nothing.

Mon, 08/13/2012 - 21:44 | 2702759 aint no fortuna...
aint no fortunate son's picture

His name is ben. One more buy like this and they should open VIX tomorrow in the 12's

Mon, 08/13/2012 - 21:35 | 2702735 Xibalba
Xibalba's picture


Mon, 08/13/2012 - 21:35 | 2702736 roadsnbridges
roadsnbridges's picture

I am so sick of this CIT.

Might get some exits outta it.  Fing HL.

Mon, 08/13/2012 - 21:37 | 2702740 holdbuysell
holdbuysell's picture

Did someone start printing again? The last five or so days of a steady low volatility upward march looks an awful lot like previous print-fests' marches.

Are those reverse repos conducted by the Fed really only a few hundred million?

Mon, 08/13/2012 - 23:14 | 2702939 Dr. Engali
Dr. Engali's picture

It doesn't take much to levitate a market as illiquid as this is.

Mon, 08/13/2012 - 21:38 | 2702743 buzzsaw99
buzzsaw99's picture

yes we have no bananas

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