International markets traders banter

[Trembling Hand]

Best lolchart of the day:

Volatility sellers anonymous.

Yeah thats a good one. I reckon the pre-market limit down rules added to the panic.

 

[sinner]

I can't go into details on the exact formula used in this graph, because I am actually using this one. But let's just say it compares a few different assets on their short term pairwise covariance and averages them.

Now normally I don't look at this graph, it's actually just a single component in part of a larger model and I basically only care about whether it is above or below a particular number. But I thought I'd whip it out since it is fun to look at during market crashes.

But as you can see, the so called carnage so far barely registers as a blip. Personally I'm a little surprised and would expect a this thing to spike on a VIX of 50 but the chart does not lie so I would argue based on this chart that there is likely to be a small retracement followed by some more pain.

 

[Trembling Hand]

But as you can see, the so called carnage so far barely registers as a blip. Personally I'm a little surprised and would expect a this thing to spike on a VIX of 50 but the chart does not lie so I would argue based on this chart that there is likely to be a small retracement followed by some more pain.

Actually it was a wild ride but it was a long way away from a disorderly market. Have all the bots finally learnt how to behave?

 

[Joules MM1]

Actually it was a wild ride but it was a long way away from a disorderly market. Have all the bots finally learnt how to behave?

View attachment 64007

i was surprised by how orderly both sides are/have been ......which is nice

 

[Joules MM1]

passengers in the :22_yikes: short vix x3 fund

 

[notting]

i was surprised by how orderly both sides are/have been ......which is nice

Bots are losing on gaps between sessions.

 

[sinner]

Actually it was a wild ride but it was a long way away from a disorderly market. Have all the bots finally learnt how to behave?

Nope, they just couldn't trade...

Peak liquidity in ES yesterday was the same as the lowest liquidity in ES in 2010 flash crash.

http://www.zerohedge.com/news/2015-...een-flash-crash-august-24-2015-and-may-6-2010

From the snippet quoting CNN (other awesome snippets, tweets, pics in the link above)

The circuit breakers were implemented more than 600 times on ETFs, the increasingly-popular securities that trade like stocks. ETFs hold a basket of stocks, removing the risk of betting on a single company. ETF.com examined the pricing action and discovered at least eight ETFs that showed "flash-crash" style drops at the opening of trading.

ETFs that experienced panic selling are far larger and wouldn't be expected to have that kind of turbulence. For example, the iShares Select Dividend ETF (DVY) plummeted as much as 35% at its lows.

That's a stunning move considering this BlackRock (BLK)-backed ETF is worth over $13 billion and is focused on stable American stocks that have a long history of paying dividends.

None of this ETF's top holdings -- like Lockheed Martin (LMT), Philip Morris Internationa (PM)l and McDonald's (MCD) -- suffered losses north of 11%. It was even worse for the Guggenheim S&P 500 equal weight ETF (RSP). The $10 billion fund, which holds some well-known stocks like Chipotle (CMG) and ConAgra (CAG), plummeted nearly 43% at one point on Monday.

Another popular ETF that seeks to capitalize on the booming cybersecurity business plummeted as much as 32%. The ETF, PureFunds ISE Cyber Security ETF (HACK), has a market value of more than $1.2 billion.

I remember us arguing in past years about HFT and its impact on the market microstructure. Here is a post I made on ASF over 1 year ago:

https://www.aussiestockforums.com/forums/showthread.php?t=28334

If the microstructure of markets are broken, the pricing mechanism for capital assets is broken, which means information that the price imparts to the market is that much more noise and that much less signal.

...

In complex systems consequences are almost always unintended, largely "unexpected" and failure modes therefore spread across the entire system instead of only affecting the perpetrators of any given action to which meaningful consequences can be ascribed.

 

[Trembling Hand]

Sinner its a shame you got cooked on trading short term because I think you cannot look at this topic objectively. To suggest because the order book spreads out over 50 levels when they would normally be compacted into 10 during a fast market is proof that bots were not present is just wrong. They spread their quotes out further to compensate for the extra risk. That is just trading 101. I was casing them all night on the dax trying to get a fill and I can tell you it was not prop that produced the extra volume.

 

[sinner]

Sinner its a shame you got cooked on trading short term because I think you cannot look at this topic objectively. To suggest because the order book spreads out over 50 levels when they would normally be compacted into 10 during a fast market is proof that bots were not present is just wrong. They spread their quotes out further to compensate for the extra risk. That is just trading 101. I was casing them all night on the dax trying to get a fill and I can tell you it was not prop that produced the extra volume.

Apologies if I miscommunicated, I was not attempting to state the bots were not present, just that liquidity was much much lower (and hence the bots unable to transact as they normally do).

It's hardly a controversial statement anymore! There is even recent academic research covering the recent reduction in liquidity across asset classes. Not to mention public statements about the huge drop in credit market liquidity have been made by BIS Shrapnel, BlackRock and various large fund managers. Equity market turnover in the US is down hugely from 2010 levels, basically back to 2000s level. In other countries it is actually lower. Don't even get me started on the growing relationship between corporate yield spreads, share buybacks and equity breadth. You don't have to agree or can interpret differently but those observations are all factual and objective.

It's obvious to see that if there was enough liquidity for bots to transact normally, the spread on liquid ETFs and their underlying would not have exploded to the extent that it did.

Nor was I attempting to suggest the auction depth should be narrower than it was during rough sessions, I was merely sharing a chart comparing last nights auction depth with the auction depth of a (IMHO) much crazier market event (May 6 2010). As noted, there are other pics linked in the original link which provide other interesting examples of low liquidity trading in the NYSE pre-open auction.

 

[Trembling Hand]

. As noted, there are other pics linked in the original link which provide other interesting examples of low liquidity trading in the NYSE pre-open auction.

Yeah that was what my post earlier about the pre-market limit down adding to the panic. I reckon if we weren't limit down on the futs what bot were running would have had a better idea of true prices.

You cannot blame them for pulling orders for the first 15 min because the regulations had taken away their pricing and input levels.

 

[sinner]

Yeah that was what my post earlier about the pre-market limit down adding to the panic. I reckon if we weren't limit down on the futs what bot were running would have had a better idea of true prices.

You cannot blame them for pulling orders for the first 15 min because the regulations had taken away their pricing and input levels.

Don't get me wrong TH. I don't like HFT, but it isn't personal. It doesn't stop me from transacting in the market when I want/need to, and I am not afraid of it.

I am making a "macro" statement: HFT is here and now the microstructure is f****d. It impacts me in that I am part of the whole. That's why I care.

Take a closer look at the snippet from CNN I quoted earlier. RSP moved 43%. This is a fund that holds nothing but S&P 500 component stocks. Not mentioned is SPLV, an ETF that holds the 100 lowest volatility S&P 500 component stocks. The previous closing price was $36.9 and it moved to a low of $20 in the first 15 minutes of trading. How's that for an unleveraged large cap low vol fund!

It's not about "blame" per se. At least, if anyone/thing is to blame, it is us, for letting this happen.

 

[Trembling Hand]

Yeah but how can all that be sole fault of bots. The regulations ensured that they couldn't participate in the open so humans panicked and hit what little was there. If it wasn't that it would of been something else. Just another day in paradise.

 

[cynic]

A certain FX provider that I, despite my past reservations, made the grievous error of giving another chance, somehow managed to delay the crediting of my account with a deposit by over four hours yesterday!!

By the time the money finally appeared in my account (early hours this morning), my positions had, of course, been long since toasted!

My Germany30 long positons were autoclosed at the delightful price of 9347!

 

[notting]

Astoundingly most of the market safety triggers on the US exchange where hit as the market bolted up! The 5% moves in 5mins kept the circuits breaking as massive short covering hit the boards. During this green event -



One Insurance stock went from around the 40 to 5 to 35!!!
If only I'd seen that live!!!

 

[avion]

I feel like part of history now, witnessing all this. One day i will be telling my grandchildren... 'errr, i was there that day...' and survived to tell... ld:

 

[Trembling Hand]

I feel like part of history now, witnessing all this. One day i will be telling my grandchildren... 'errr, i was there that day...' and survived to tell... ld:

How do you know that tomorrow won't be worse........

 

[avion]

How do you know that tomorrow won't be worse........

Sure, all part of it..., the key is to survive. This could last for a while.

Good times really, such volatility is welcome, shame i do not have experience to fully take advantage of it. Tell us TH how did you fare... you must of had a fabulous time?

 

[Trembling Hand]

This could last for a while.

Hope so!

Good times really, such volatility is welcome, shame i do not have experience to fully take advantage of it. Tell us TH how did you fare... you must of had a fabulous time?

Very welcome moves. I've done all right but I'm not trading well. Reading it well just haven't been trading that well. Started a new gig and a little more worried about not making a fool of myself rather than hitting out large. And the DAX is getting big as far as AUD daily risk amounts.

 

[shouldaindex]

Shanghai -7.5%
Dow Jones -3.5%
Nikkei -4%
Hang Seng +0.5
All Ords +2.5
DAX + 3

That's a busy 24 hours, and I'm still yet to figure out what it was all about.

 

[CanOz]

Here's an article i wrote for a website on the Eurostoxx50 after yesterdays sell off.