ASX Stock Pairs Trade Journal

[SilverRanger]

Number of pairs... once it gets above 15 you get a smooth equity curve, offset by the fact that you can't optimise every trade anymore.

P.S. Just saw CHC equity raising. Why can't they do rights issue these days? These REITs are certainly raising as a cohort.

From what I recall ABP did go through a rights issue, while GPT & DXS is SPP, now CHC has similar timing as DXS, which is not good for me.

 

[VSntchr]

Managed to squeeze in one last FDC/NVN trade today. Nailed 0.65% less brokerage ...essentially it was a game of managing the execution to ensure the risk-free profit.

2.5% for me in the month of May, my best in a little while after a few bad periods. Good to get the equity curve heading north again. I need 3.3% next month to finish the year on a new equity high for this portfolio. I have 7 open trades, so that gives me some fuel to start

 

[skc]

Managed to squeeze in one last FDC/NVN trade today. Nailed 0.65% less brokerage ...essentially it was a game of managing the execution to ensure the risk-free profit.

End of month, MSCI rebalance + end of trading for NVN.

NVN matched way low and, based on FDC's close, should be around $2.50? And this after spending the majority of the month trading at a premium to the offer ratio. Definitely not something you see a lot of.

And just to end all this silliness...NVN made an announcement at 3:59pm so that no one could trade it on the closing match. I would have bought a few $B worth for a free 2.4%.

 

[VSntchr]

End of month, MSCI rebalance + end of trading for NVN.

NVN matched way low and, based on FDC's close, should be around $2.50? And this after spending the majority of the month trading at a premium to the offer ratio. Definitely not something you see a lot of.

And just to end all this silliness...NVN made an announcement at 3:59pm so that no one could trade it on the closing match. I would have bought a few $B worth for a free 2.4%.

I couldn't understand it either. My thinking was either MSCI related or some big holders who don't want to wait until the 11th June?

So I can get my head around this exactly, what occurs if your holding the pair into the deal? Your longs of NVN convert at a ratio of 0.8225 into FDCDA (or similar code), which net off against your shorts in FDC? And then any residual shares represent your profit - which you must close off immediately after conversion to eliminate market risk?
If this understanding is correct, then perhaps I should have held - it would have saved me brokerage on the closing! thats 0.16% on a big size :

 

[skyQuake]

End of month, MSCI rebalance + end of trading for NVN.

NVN matched way low and, based on FDC's close, should be around $2.50? And this after spending the majority of the month trading at a premium to the offer ratio. Definitely not something you see a lot of.

And just to end all this silliness...NVN made an announcement at 3:59pm so that no one could trade it on the closing match. I would have bought a few $B worth for a free 2.4%.

It did match at 4:12pm... lol

At first I thought it was PIR all over again!

Arbs can't play the close because there's too much risk. Its too easy to miss 1 leg of a trade and if ppl pull an order you can suddenly be set at a very bad price.

 

[skc]

It did match at 4:12pm... lol

At first I thought it was PIR all over again!

Arbs can't play the close because there's too much risk. Its too easy to miss 1 leg of a trade and if ppl pull an order you can suddenly be set at a very bad price.

Yes I saw that... I thought trading at the ASX is run by computers

Yes you can't really arb $1B at the close... but a smaller retail position would have done well.

So I can get my head around this exactly, what occurs if your holding the pair into the deal? Your longs of NVN convert at a ratio of 0.8225 into FDCDA (or similar code), which net off against your shorts in FDC? And then any residual shares represent your profit - which you must close off immediately after conversion to eliminate market risk?

If this understanding is correct, then perhaps I should have held - it would have saved me brokerage on the closing! thats 0.16% on a big size :

There shouldn't be any excess shares... say you long 10,000 NVN @ $2.44 and you should have shorted 8,225 FDC @ $3.04 on the close. You paid $24,400 for your long, and you received $25,004 for your short. You gained a net cash flow of $600 by entering the transaction.

When the scheme is implemeted, you receive 8,225 FDC for your NVN shares which nets off your FDC shorts. There are no further cashflows... so you pocket the $600.

 

[SilverRanger]

Taking another punt at AMM/VOC today after reading about AMM's substantial holder statements from BTT and WBC. Some they think the deal will go through, maybe it will

 

[skc]

Guess who was holding some QUB long overnight when the market depth showed this after a trading update this morning!!



No Bid! I don't think I've ever seen that in an ASX200 company. I read the announcement in the morning and thought it'd be a 3-5% hit...I never expected no bid!

Anyhow... managed to trade my way out of it. Still lost plenty of money, and missed heaps of opportunity to actually go long on that panic. It actually went all the way back to being just 2% down.

Still ended up being positive overall for the day... but this was a bit crazy.

P.S. Overall market is pulling back quite sharply so should be plenty of divergences.

 

[VSntchr]

Guess who was holding some QUB long overnight when the market depth showed this after a trading update this morning!!

View attachment 62869

No Bid! I don't think I've ever seen that in an ASX200 company. I read the announcement in the morning and thought it'd be a 3-5% hit...I never expected no bid!

Anyhow... managed to trade my way out of it. Still lost plenty of money, and missed heaps of opportunity to actually go long on that panic. It actually went all the way back to being just 2% down.

Still ended up being positive overall for the day... but this was a bit crazy.

P.S. Overall market is pulling back quite sharply so should be plenty of divergences.

Duuuuuuuuude!
I've been working hard on my directional stuff so I was super busy this morning looking at QUB, MTS and AGI.

Had a plan to short QUB if it opened >260 given that I previously tried to short it based on this information and it barely moved, but thought it was worth another go given the official catalyst for flat FY16 was here. Did not expect it to drop that far!!! Put in a bid but missed it and to be honest I freaked a little by how wild it was and just didn't act...big missed opportunity. I did manage to get some short at 265 which was nice for a calmer ride back down...

How did you actually manage to trade your way out of it?
Impressive effort to end the day in the black - I had a shocker today. The only saving grace was FDC/SCG which gave a nice intra-day pairs trade.
Financial sector is smoking me this week...AMP/IFL and CGF/CPU both way out.

 

[skc]

Had a plan to short QUB if it opened >260 given that I previously tried to short it based on this information and it barely moved, but thought it was worth another go given the official catalyst for flat FY16 was here. Did not expect it to drop that far!!! Put in a bid but missed it and to be honest I freaked a little by how wild it was and just didn't act...big missed opportunity. I did manage to get some short at 265 which was nice for a calmer ride back down...

How did you actually manage to trade your way out of it?

Yeah... would have been a great trade. It's funny how, holding a position makes you think differently if you were just a bystander. I tried so hard to tell myself not to panic, it will bounce... and I just flick out 5% of my holding every time it runs up another 4-5 ticks. Ended up average exit of $2.48 which is still 10c lower than the VWAP. But at least I didn't sell at $2.16. I did spend most of the first hour in the morning constantly swearing at the market.

Impressive effort to end the day in the black - I had a shocker today. The only saving grace was FDC/SCG which gave a nice intra-day pairs trade.
Financial sector is smoking me this week...AMP/IFL and CGF/CPU both way out.

Thankfully, the QUB/AIO pair was only opened yesterday and I have only readed about 40% of the full size. I had 20 pairs going into today so I made it up with gains in pairs like DUE/APA, SHL/CSL (sold the early SHL spike) and HVN/PMV.

I had CGF/IFL earlier in the week but closed it for a small loss yesterday. I thought CGF is giving an investor update today, but in fact I think it might be Monday according to UBS. I have AMP/PTM which is down a bit at the moment. But this is a re-entry of the same trade I closed profitably yesterday.

I am holding some SKE/PRG in hope of a takeover deal being announced. The old merger ratio was 0.5092PRG + 25c cash per SKE, valuing SKE @ $1.72 per share thanks to a strong PRG run post report. The renewed talk is supposed to be on improved terms but nothing is guaranteed yet. So only a smallish position.

 

[VSntchr]

Yeah... would have been a great trade. It's funny how, holding a position makes you think differently if you were just a bystander. I tried so hard to tell myself not to panic, it will bounce... and I just flick out 5% of my holding every time it runs up another 4-5 ticks. Ended up average exit of $2.48 which is still 10c lower than the VWAP. But at least I didn't sell at $2.16. I did spend most of the first hour in the morning constantly swearing at the market.

I think you did pretty good
One more question: did you wait for AIO to catch on a bit - or were you firing off 5% at the same times? Personally I think I'd be holding the AIO position and waiting for a bit of intra-day catchup - although once QUB started flying back up that may have been a bit too risky.

Thankfully, the QUB/AIO pair was only opened yesterday and I have only readed about 40% of the full size. I had 20 pairs going into today so I made it up with gains in pairs like DUE/APA, SHL/CSL (sold the early SHL spike) and HVN/PMV.

SHL was the one to take today for sure, I had it with PRY but PRY moved up 4 ticks quickly while I had a half fill - so I scratched the trade. Disapointing as it reverted intra-day..I did still get 1% although only on half size SHL and quarter size PRY...!

I had CGF/IFL earlier in the week but closed it for a small loss yesterday. I thought CGF is giving an investor update today, but in fact I think it might be Monday according to UBS. I have AMP/PTM which is down a bit at the moment. But this is a re-entry of the same trade I closed profitably yesterday.

Yes, I did think CGF was doing the update yesterday and got prepared to close it, then I saw UBS said Monday so I allowed myself a few more days to close...hopefully tomorrow gives reversion.
AMP backtests well with both PTM and IFL so I still have confidence for the both of us.

I am holding some SKE/PRG in hope of a takeover deal being announced. The old merger ratio was 0.5092PRG + 25c cash per SKE, valuing SKE @ $1.72 per share thanks to a strong PRG run post report. The renewed talk is supposed to be on improved terms but nothing is guaranteed yet. So only a smallish position.

I bought SKE in the investment portfolio at $1.30 a few weeks back so was luckily enough to have a bit of a read on the situation given my research. Added to the position with an equal sized trade when it opened the first morning below $1.38 which is what the deal was worth at the time when PRG previously tried. Ended up closing a bit early at $1.47 after a bit of a rush of blood due to reading PRG's report which showed that the divisions that SKE is exposed to performed horribly. I started to think that perhaps the negotiating power is heading further in the direction of PRG. Maybe we need craft for an insight here
I haven't considered pairing the two. Although may put a position on depending how coming events play out.


As an aside, have spent a few hours tonight reviewing this weeks trading and getting ready for tomorrow. Lots of opportunities at present - really want to make sure I convert a few more.

 

[skc]

I think you did pretty good
One more question: did you wait for AIO to catch on a bit - or were you firing off 5% at the same times? Personally I think I'd be holding the AIO position and waiting for a bit of intra-day catchup - although once QUB started flying back up that may have been a bit too risky.

No. I closed AIO in 2 clicks. I thought it'd rub off a bit from QUB's comment so a caught the 1% move down. But it didn't have much of my attention. One of the most precious and limited resource in trading is your eyeball/gaze/attention. QUB was the one to watch. It had a 20% range. AIO had 1.5%. Make sure you spend your limitied resource on something that's the best bang for buck. You can't always get it right but in this case it was a no brainer which one you should focus on.

This morning, MTS had big news today so deserved close watching... but it ended up with a pretty small range and was hard to trade. While something like GUD would have been much more fruitful.

Yes, I did think CGF was doing the update yesterday and got prepared to close it, then I saw UBS said Monday so I allowed myself a few more days to close...hopefully tomorrow gives reversion. AMP backtests well with both PTM and IFL so I still have confidence for the both of us.

Yes... although I feel that IFL still has a bit of aura from a good quarterly update, while PTM still has the stench from a very poor half year report.

I have so rarely made a profitable trade with CGF. I just don't feel that I have good grasp of its drivers. It's always half size when I trade it.

I bought SKE in the investment portfolio at $1.30 a few weeks back so was luckily enough to have a bit of a read on the situation given my research. Added to the position with an equal sized trade when it opened the first morning below $1.38 which is what the deal was worth at the time when PRG previously tried. Ended up closing a bit early at $1.47 after a bit of a rush of blood due to reading PRG's report which showed that the divisions that SKE is exposed to performed horribly. I started to think that perhaps the negotiating power is heading further in the direction of PRG. Maybe we need craft for an insight here
I haven't considered pairing the two. Although may put a position on depending how coming events play out.

Yes it's a bit of a gamble. Don't size it like a merger arb. Size it like it's a small cap explorer.

 

[VSntchr]

This morning, MTS had big news today so deserved close watching... but it ended up with a pretty small range and was hard to trade. While something like GUD would have been much more fruitful.

Yeah, I had no moves on MTS. I have been watching GUD ever since the t/o. However didn't see it yesterday until after close - as you say, eyeballs can only see so much. I do have it on my list for today though. Some interesting levels at 900 and 920 which might offer a good trade.

I have so rarely made a profitable trade with CGF. I just don't feel that I have good grasp of its drivers. It's always half size when I trade it.

We all have our tricky stocks. For me in the fin sector it seems to be ASX.

 

[VSntchr]

Anyone heard anything around FDC or SCP today? Both outperforming. CQR hasn't followed so not sure if it's retail related or not?!

 

[SilverRanger]

Anyone heard anything around FDC or SCP today? Both outperforming. CQR hasn't followed so not sure if it's retail related or not?!

Nope haven't heard anything either, but I doubt anything would have happened (especially FDC), so I put on shorts on SCP and closed my FDC.

Other than that didn't get much time for new trades, only put on NHF/HSO, and watched SIP coming back from 0.77 all the way back to 0.82!

 

[skc]

Guess who was holding some QUB long overnight

Guess who was holding some NEC long overnight?!?!

The good news is, the market depth stayed very tradable despite the sell off, and I think I really gained some good experience on the QUB situation last week. Again, it was only a smaller position (I could exit it in one click without destroying the bids).

Plus the fact that I had a short against SWM which got hammered as well (the natural hedge works!!!), plus that it was a no brainer to double up on the SWM short on open, plus there made some nice short and long trades in NEC ...I actually came out well ahead overall in these two names for the day

2 profit downgrades in 3 days.... haven't had that before!

P.S. Also caught a full size TAH short overnight. Bonus.

 

[VSntchr]

Guess who was holding some NEC long overnight?!?!

The good news is, the market depth stayed very tradable despite the sell off, and I think I really gained some good experience on the QUB situation last week. Again, it was only a smaller position (I could exit it in one click without destroying the bids).

Plus the fact that I had a short against SWM which got hammered as well (the natural hedge works!!!), plus that it was a no brainer to double up on the SWM short on open, plus there made some nice short and long trades in NEC ...I actually came out well ahead overall in these two names for the day

2 profit downgrades in 3 days.... haven't had that before!

P.S. Also caught a full size TAH short overnight. Bonus.

Yikes, you've copped a few lately - good to see your seeing the positive side of it and coming out of it even better.
By the sounds of it your on track for a VERY nice month - and you've held through 2 nasty downgrades...that's some serious alpha poking it's head out I think.

As for the no-brainer SWM on open. I am furious on that one. Iress was down so couldn't take it on my #1 broker - opened my secondary broker to take the trade and they didn't offer borrow...nothing worse than watching trades you had planned to hit hard work...without you..! By the time I came back online around 11am I as a bit flustered to go taking directional plays so I focused on the pairs portfolio. I opened quite a few and now have 13 open (new record for me).
I did take a tiny position on the SWM reaffirmation announcement, but closed for a small loss when it appeared that the words meant nothing!

 

[skc]

Yikes, you've copped a few lately - good to see your seeing the positive side of it and coming out of it even better.
By the sounds of it your on track for a VERY nice month - and you've held through 2 nasty downgrades...that's some serious alpha poking it's head out I think.

As for the no-brainer SWM on open. I am furious on that one. Iress was down so couldn't take it on my #1 broker - opened my secondary broker to take the trade and they didn't offer borrow...nothing worse than watching trades you had planned to hit hard work...without you..! By the time I came back online around 11am I as a bit flustered to go taking directional plays so I focused on the pairs portfolio. I opened quite a few and now have 13 open (new record for me).
I did take a tiny position on the SWM reaffirmation announcement, but closed for a small loss when it appeared that the words meant nothing!

Yes... the Iress problem was a terrible thing esp when I know there was potential carnage with one of my positions.

I was still short a small SWM when the annoucnement came out. So I covered shortly after but should have held till the close. But by then I feel I have already used up my luck for the day on these stocks.

As to a very nice month... early days yet. This month is moving at a good pace but things can easily go backwards and turn a great start into an average month. I have learned not to extrapolate...

 

[skyQuake]

Yes... the Iress problem was a terrible thing esp when I know there was potential carnage with one of my positions.

I was still short a small SWM when the annoucnement came out. So I covered shortly after but should have held till the close. But by then I feel I have already used up my luck for the day on these stocks.

As to a very nice month... early days yet. This month is moving at a good pace but things can easily go backwards and turn a great start into an average month. I have learned not to extrapolate...

More iress issues for me today

 

[skc]

More iress issues for me today

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