Maandelijks archief: oktober 2010

Amerikaanse presidentsverkiezingen 2012: ROMNEY nadert OBAMA tot 1%.

 

De National Poll voorspelt een nek aan nek race bij de aankomende verkiezingen voor de Senaat: Democraten en Republikeinen scoren op het landelijk gemiddelde beiden 49%. De gouverneursverkiezingen lijken een prooi voor de Republikeinen. Met 29 – 20 staan ze voor op de Democraten.

Wat betreft de Amerikaanse presidentsverkiezingen 2012 hoeft Obama zich nog weinig zorgen te maken. Hij verslaat alle Republikeinse presidentskandidaten. Alleen Mitt Romney loopt vrijwel gelijk op met Obama, slechts 1% verschil. Als de poll vraagt om te kiezen tussen Obama en “other” kiest 54% liever voor iets anders als Obama (39%). Obama zou Hillary Clinton ruim verslaan als nu de democratiese primary zou worden gehouden.

Mitt Romney

Obama 41%
Romney 40%

Obama 48%
Palin 35%

Obama 43%
Huckabee 40%

Obama 45%
Jeb Bush 37%

Obama 42%
Christie 30%

Obama 43%
Tea Party 32%

Obama 30%
Palin 29%
Hillary 27%

Obama 40%
Palin 28%
Bloomberg 18%

Obama 39%
other 54%

Democratiese primary (hypothese)

Obama 52%
Hillary 37%

 Wel dient te worden opgemerkt dat mogelijke presidentskandidaten Jim DeMint, Newt Gingrich, Ron Paul en Bobby Jindal niet in de polls zijn opgenomen.

 

Plaats een reactie

TOM O’BRIEN over het SEC FLASH CRASH RAPPORT: het is ongelooflijk!

(advertentie)

Volgens Tom O’Brien is het onmogelijk dat één order kan leiden tot de Wall Street Flash Crash van 6 mei j.l.

 Gemist? Beleef de live gebeurtenis nogmaals in de Laurel & Hardy Cineac. Hoe de beurs ruim $800.000.000.000 verliest in slechts twintig minuten.

“it’s an absolutely joke”

bammbamm12, 4 oktober !0

Openingsgedeelte SEC Flash Crash Rapport:

On May 6, 2010, the prices of many U.S.-based equity products experienced an extraordinarily rapid decline and recovery. That afternoon, major equity indices in both the futures and securities markets, each already down over 4% from their prior-day close, suddenly plummeted a further 5-6% in a matter of minutes before rebounding almost as quickly.

WHAT HAPPENED?

 May 6 started as an unusually turbulent day for the markets. As discussed in more detail in the Preliminary Report, trading in the U.S opened to unsettling political and economic news from overseas concerning the European debt crisis. As a result, premiums rose for buying protection against default by the Greek government on their sovereign debt. At about 1 p.m., the Euro began a sharp decline against both the U.S Dollar and Japanese Yen.

3We use the term “liquidity” throughout this report generally to refer to buy-side and sell-side market depth, which is comprised of resting orders that market participants place to express their willingness to buy or sell at prices equal to, or outside of (either below or above), current market levels. Note that for SPY and other equity securities discussed in this report, unless otherwise stated, market depth calculations include only resting quotes within 500 basis points of the mid-quote. Additional liquidity would have been available beyond 500 basis points. See Section 1 for further details on how market depth and near-inside market depth are defined and calculated for the E-Mini, SPY, and other equity securities.

2 May 6, 2010 Market Event Findings and from the early-morning level of about $275 million to $220 million (a 20% decline) for SPY.4 Some individual stocks also suffered from a decline their liquidity.

4However, these erosions did not affect “near-inside” liquidity – resting orders within about 0.1% of the last transaction price or mid-market quote. 5We define fundamental sellers and fundamental buyers as market participants who are trading to accumulate or reduce a net long or short position. Reasons for fundamental buying and selling include gaining long-term exposure to a market as well as hedging already-existing exposures in related markets. 6 Subsequently, the large fundamental trader closed, in a single day, this short position.

 At 2:32 p.m., against this backdrop of unusually high volatility and thinning liquidity, a large fundamental5 trader (a mutual fund complex) initiated a sell program to sell a total of 75,000 E-Mini contracts (valued at approximately $4.1 billion) as a hedge to an existing equity position. Generally, a customer has a number of alternatives as to how to execute a large trade. First, a customer may choose to engage an intermediary, who would, in turn, execute a block trade or manage the position. Second, a customer may choose to manually enter orders into the market. Third, a customer can execute a trade via an automated execution algorithm, which can meet the customer’s needs by taking price, time or volume into consideration. Effectively, a customer must make a choice as to how much human judgment is involved while executing a trade.However, on May 6, when markets were already under stress, the Sell Algorithm chosen by the large trader to only target trading volume, and neither price nor time, executed the sell program extremely rapidly in just 20 minutes.

7 3 May 6, 2010 Market Event Findings

This sell pressure was initially absorbed by:• high frequency traders (“HFTs”) and other intermediaries8 in the futures market;

Many of the almost 8,000 individual equity securities and exchange traded funds (“ETFs”) traded that day suffered similar price declines and reversals within a short period of time, falling 5%, 10% or even 15% before recovering most, if not all, of their losses. However, some equities experienced even more severe price moves, both up and down. Over 20,000 trades across more than 300 securities were executed at prices more than 60% away from their values just moments before. Moreover, many of these trades were executed at prices of a penny or less, or as high as $100,000, before prices of those securities returned to their “pre-crash” levels.

By the end of the day, major futures and equities indices “recovered” to close at losses of about 3% from the prior day.

Around 1:00 p.m., broadly negative market sentiment was already affecting an increase in the price volatility of some individual securities. At that time, the number of volatility pauses, also known as Liquidity Replenishment Points (“LRPs”), triggered on the New York Stock Exchange (“NYSE”) in individual equities listed and traded on that exchange began to substantially increase above average levels.

By 2:30 p.m., the S&P 500 volatility index (“VIX”) was up 22.5 percent from the opening level, yields of ten-year Treasuries fell as investors engaged in a “flight to quality,” and selling pressure had pushed the Dow Jones Industrial Average (“DJIA”) down about 2.5%.

Furthermore, buy-side liquidity3 in the E-Mini S&P 500 futures contracts (the “E-Mini”), as well as the S&P 500 SPDR exchange traded fund (“SPY”), the two most active stock index instruments traded in electronic futures and equity markets, had fallen from the early-morning level of nearly $6 billion dollars to $2.65 billion (representing a 55% decline) for the E-Mini

7At a later date, the large fundamental trader executed trades over the course of more than 6 hours to offset the net short position accumulated on May 6.

This large fundamental trader chose to execute this sell program via an automated execution algorithm (“Sell Algorithm”) that was programmed to feed orders into the June 2010 E-Mini market to target an execution rate set to 9% of the trading volume calculated over the previous minute, but without regard to price or time.

The execution of this sell program resulted in the largest net change in daily position of any trader in the E-Mini since the beginning of the year (from January 1, 2010 through May 6, 2010). Only two single-day sell programs of equal or larger size – one of which was by the same large fundamental trader – were executed in the E-Mini in the 12 months prior to May 6. When executing the previous sell program, this large fundamental trader utilized a combination of manual trading entered over the course of a day and several automated execution algorithms which took into account price, time, and volume. On that occasion it took more than 5 hours for this large trader to execute the first 75,000 contracts of a large sell program.6

• fundamental buyers in the futures market; and

• cross-market arbitrageurs9 who transferred this sell pressure to the equities markets by opportunistically buying E-Mini contracts and simultaneously selling products like SPY, or selling individual equities in the S&P 500 Index.

8See Section 1 for the context in which high-frequency trading and market intermediaries are defined for the E-Mini. 9Cross-market arbitrageurs are opportunistic traders who capitalize on temporary, though often small, price differences between related products by purchasing the cheaper product and selling the more expensive product.

  HFTs and intermediaries were the likely buyers of the initial batch of orders submitted by the Sell Algorithm, and, as a result, these buyers built up temporary long positions. Specifically, HFTs accumulated a net long position of about 3,300 contracts. However, between 2:41 p.m. and 2:44 p.m., HFTs aggressively sold about 2,000 E-Mini contracts in order to reduce their temporary long positions. At the same time, HFTs traded nearly 140,000 E-Mini contracts or over 33% of the total trading volume. This is consistent with the HFTs’ typical practice of trading a very large number of contracts, but not accumulating an aggregate inventory beyond three to four thousand contracts in either direction.

LIQUIDITY CRISIS IN THE E-MINI

 The combined selling pressure from the Sell Algorithm, HFTs and other traders drove the price of the E-Mini down approximately 3% in just four minutes from the beginning of 2:41 p.m. through the end of 2:44 p.m. During this same time cross-market arbitrageurs who did buy the E-Mini, simultaneously sold equivalent amounts in the equities markets, driving the price of SPY also down approximately 3%.

LIQUIDITY CRISIS WITH RESPECT TO INDIVIDUAL STOCKS

 The second liquidity crisis occurred in the equities markets at about 2:45 p.m. Based on interviews with a variety of large market participants, automated trading systems used by many liquidity providers temporarily paused in reaction to the sudden price declines observed during the first liquidity crisis. These built-in pauses are designed to prevent automated systems from trading when prices move beyond pre-defined thresholds in order to allow traders and risk managers to fully assess market conditions before trading is resumed.

10Some additional factors that may have played a role in the events of May 6 and that are discussed more fully in Sections 2 and 3 include: the use of LRPs by the NYSE, in which trading is effectively banded on the NYSE in NYSE-listed stocks exhibiting rapid price moves; declarations of self-help by The Nasdaq Stock Market, LLC (“Nasdaq”) against NYSE Arca, Inc. (“NYSE Arca”) under which Nasdaq temporarily stopped routing orders to NYSE Arca; and delays in NYSE quote and trade data disseminated over the Consolidated Quotation System (“CQS”) and Consolidated Tape System (“CTS”) data feeds. Our findings indicate that none of these factors played a dominant role on May 6, but nonetheless they are important considerations in forming a complete picture of, and response to, that afternoon. 11Detailed reconstructions of order books for individual securities are presented at the end of this report, exploring the relationship between changes in immediately available liquidity and changes in stock prices. This rich data set highlights both the broad theme of liquidity withdrawal on May 6, as well as some of the nuanced differences between securities that may have dictated why some stocks fell only 10% while others collapsed to a penny or less.

 Based on their respective individual risk assessments, some market makers and other liquidity providers widened their quote spreads, others reduced offered liquidity, and a significant number withdrew completely from the markets. Some fell back to manual trading but had to limit their focus to only a subset of securities as they were not able to keep up with the nearly ten-fold increase in volume that occurred as prices in many securities rapidly declined.Even though after 2:45 p.m. prices in the E-Mini and SPY were recovering from their severe declines, sell orders placed for some individual securities and ETFs (including many retail stop-loss orders, triggered by declines in prices of those securities) found reduced buying interest, which led to further price declines in those securities.The severe dislocations observed in many securities were fleeting. As market participants had time to react and verify the integrity of their data and systems, buy-side and sell-side interest returned and an orderly price discovery process began to function. By approximately 3:00 p.m., most securities had reverted back to trading at prices reflecting true consensus values. Nevertheless, during the 20 minute period between 2:40 p.m. and 3:00 p.m., over 20,000 trades (many based on retail-customer orders) across more than 300 separate securities, including many ETFs,12 were executed at prices 60% or more away from their 2:40 p.m. prices. After the market closed, the exchanges and FINRA met and jointly agreed to cancel (or break) all such trades under their respective “clearly erroneous” trade rules. 12Section 2 discusses the disproportionate impact the market disruption of May 6 had on ETFs.

Plaats een reactie