Posts Tagged ‘market volume’

Why Nobody Trades During Regular Hours Any More (And How Prop Funds Just Stop Trading When Volatility Spikes)

Why Nobody Trades During Regular Hours Any More (And How Prop Funds Just Stop Trading When Volatility Spikes)

HFTCourtesy of Tyler Durden at Zero Hedge 

For those who follow our periodic updates on intraday stock volume, today’s article by the Wall Street Journal which focuses on the dramatic decline in activity during regular working hours will come as no surprise. In a piece looking at prop trading shop Briargate (oh so witty anagram of arbitrage), founded by several former NYSE specialists, we learn that at least one firm (and likely many more) now no longer does any trading during the hours of 11 to 2. As this creates a feedback loop of inactivity, pretty soon the core of daily stock market activity will merely be the half an hour of action at the open, and the dark pool-ETF-open exchange rebalance at the very close, with everything inbetween deemed obsolete.

Of course, what this will do, is create even more volatility in trading, force an even greater decline in stock trading volumes (and pain for Wall Street firms), and a further divergence between stocks and fundamentals, as momentum trading gains an even more prominent role in determine "price discovery."

From the WSJ:

On the day the "flash crash" bludgeoned the stock market and chaos swept over the floor of the New York Stock Exchange, the founders of Briargate Trading were at the movies.

Rick Oscher and Steven Rubinstein weren’t playing hooky. Briargate, a proprietary-trading firm that the two former NYSE floor "specialist" traders started in 2008, is mostly active at the stock market’s open and close.

In between, when market activity typically drops, the Wall Street veterans play tennis in Central Park, take leisurely lunches, visit their children’s schools and work out at the gym. Dress shoes have been replaced with flip-flops, slacks with cargo shorts. Once during market hours, they walked about five miles and crossed the Brooklyn Bridge to try Grimaldi’s pizza.

"We actually planned on working a full day," says Mr. Oscher, wearing a white polo shirt and blue-plaid shorts. "But from 11 to 2, the markets are pretty quiet—what’s the point? As a specialist, you have to stand in your spot all day and we did that for 20 years."

Briargate—an anagram of "arbitrage"—isn’t the only firm taking an extended recess during the 6½-hour U.S. trading day. Trading has become increasingly concentrated in the


continue reading


Tags: , , , , , , , , , ,




The Eerie Implications of Market Volume and Mutual Fund Flows

The Eerie Implications of Market Volume and Mutual Fund Flows 

Courtesy of Doug Short 

Once upon a time, market volume, in combination with price, was a useful indicator. Or make that indicators (plural), including Rate of Change, Volume Oscillator, On Balance Volume, Price and Volume Trend, Accumulation Distribution, Chaikin Oscillator, Money Flow Indicator, etc.

Even so, S&P 500 volume has been falling since early May with no sign yet of a post-summer seasonal increase. Of course, we’re still in the holiday shortened week following Labor Day. But look at the 2009 volume pattern on the chart. Where was the volume to confirm the market advance after a choppy October?

A recent WSJ article, SEC Is Looking at ‘Quote Stuffing’, mentioned in passing that high-frequency trading (HFT) accounts for about two-thirds of the market’s volume. 

I don’t know of a single comprehensive guide to what the retail investor is really up to, but the impression I get is that the equities are not high on the list of where to park money. The next two charts, covering the same timeframe, are based on data in a PDF file I downloaded from the Investment Company Institute. Since the chart above is a broad U.S. Index, the first chart below only measures fund flows for domestic equities. 

Naturally these charts are open to various interpretations. Bond Bubble Cassandras will see the last chart as a confirmation of their prophecy. Cheerleaders of ETFs and other alternatives to mutual funds may be inclined to disregard both fund-flow charts as largely irrelevant.

I used the wood "eerie" in the title to this piece primarily to convey my impression of a vague sense of disquiet about markets and the economy. Are retail investors sitting on the sidelines or scurrying to bonds because of anxiety about the market? If so, should we take this as a contrary indicator?

Here’s a more compelling question: If two-thirds or more of daily volume is a function of high-frequency trading, what are the implications for index prices over the long haul?

A year has passed since I posted some charts illustrating the incredible ratio of S&P 500 volume devoted to five financial stocks (see Gaming the Market). Today’s game is no doubt different…
continue reading


Tags: , , , ,




The Other 44 Percent Is Really Bernanke’s Jerk Off Hand

Why is market volume so low? Jr. Dep. has an interesting analogy. In theory, 56% of the volume is controlled by Bots, and the other 44% is Bernanke alone (but read the CNBC article for a contrary view). – Ilene  

The Other 44 Percent Is Really Bernanke’s Jerk Off Hand

Courtesy of Jr. Deputy Accountant 

As I already clearly stated, there are no investors left, just HFT robots getting jerked off by the Fed. If I wanted to see that I’d cash my paycheck in dollar bills and head to the Lusty Lady.

CNBC, however, needs to point out that volume is light. Don’t worry, that recovery should be here any day now, just keep jerking…

CNBC:

Volume was lighter than normal for August, and so far it is also lighter than normal for September. How much lighter? In the first 5 trading days, September consolidated trading volume at the NYSE was down 31 percent compared to the same period last year. August volume was also 31 percent below the same period last year.

Why? Look at who does the trading:

1 ) High frequency traders are 56 percent of all trades. This includes proprietary trading shops, market makers, and high-frequency trading hedge funds, according to Tabb Group. But as volume and volatility drops, this group gets less opportunity to profit from the statistical arbitrage trades most of them do.

You can almost hear the fapfapfap every time you look at a damn chart, careful not to get any in your eye. 


Tags: , , ,




S&P VOLUME IS RISING – WHAT IS THIS TELLING US?

S&P VOLUME IS RISING – WHAT IS THIS TELLING US?

Courtesy of The Pragmatic Capitalist

By Data Diary:

It’s been notable that volume has been stepping higher on the S&P500:

SnP500 price and volume 400x252 S&P VOLUME IS RISING   WHAT IS THIS TELLING US?

Volume peaks tend to be associated with short to medium bottoms in the index.  Similarly, troughs in volume often signal some kind of top.  Or course this relationship doesn’t always hold – a wicked example being that 2008 price avalanche where volume peaked around 8bn shares per day and then thrashed around below that level until the March 2009 floor was eventually reached.

Still is there some significance to the recent rise in activity?  Some thoughts for your consideration…

1) It’s a ‘reversion to mean’ volume – While it’s incredible (and clearly unsustainable) that volume increased over 20% per annum since the beginning of 2004, the question remains what is the underlying trend in daily volume.  On a trend basis we may still be south of that level.

2) Buy the dip – the risk compression trade is alive and well and about to enter it’s next phase.  This would have more credibility in my book if risk appetite had also blown out already.  It hasn’t.

VIX Credit spreads1 400x247 S&P VOLUME IS RISING   WHAT IS THIS TELLING US?

Credit spreads in Europe may have dissolved in a gelatinous mess, but the US credit markets remain blase about this state of affairs.  Similarly, the VIX has sprung to life but not nearly enough to signal that we are in a renewed bout of risk aversion. The relative calm can be seen a little more clearly via our risk appetite index:

Risk appetite index1 400x246 S&P VOLUME IS RISING   WHAT IS THIS TELLING US?

As an indicator, we would normally expect the index to have dipped towards -2% before the ‘panic’ volume spike was upon us.

3) Risk aversion is on the rise  - My best guess is that the rising volume is part of a change in trend – that’s it’s more likely to represent distribution than accumulation.  Witness the Merrill Lynch hedge fund position report (via Market Folly) suggesting that funds have been reducing their equity exposure. If this is the case, then it’s likely that there are a few even higher volume days in the wings. 

 


Tags: , , , , ,




S&P 500 Rebound Continues to Defy Trends

S&P 500 Rebound Continues to Defy Trends

Courtesy of Trader Mark at Fund My Mutual Fund 

There used to be a saying that markets fall much faster than they rise. Like many things the past year, historical trends such as that truism have been blown out of the water.

The S&P 500 is now up 7% in 3 weeks (the Russell 2000 is doing even better) and continues to steamroll anyone who stands in its way. The 8% correction in late January to mid February? Similary, it took 3 weeks. (Click to enlarge)

Our "ups" now happen as quickly as our "downs"… and yet again (a broken record) with little volume to show for it on the upswing. You can see that on the bars at the bottom of the chart, the only days the liquidity flood can be contained (selloffs) are on heavy volume days. Almost all lighter volume days mean sideways or upside action.

The beat goes on; another V-shaped, light volume rally to mimic those of 2009. Anyone using traditional technical analysis (use of volume) continues to look the fool. 


Tags: , , ,




Google – There And Back Again… In Half The Time

Google – There And Back Again… In Half The Time

Courtesy of Tyler Durden at Zero Hedge

A peculiar side-effect of the current low-volume rise market dynamic can be seen by the curious price (and volume) action in investing public darling Google. When the market was climbing in the low volume days since November, the stock grew from $531 to a peak of $626 in 42 days, on average volume of 2.02 million shares per day. Then, when the selling started, the volume picked up by more than 100%, with daily average volume of 4.7 million shares, while the decline in the stock to the onset price of $531 took less than half the time, or 19 days. Such are the vagaries of the VWAP unwind, as algorithms seek to reverse to a longer and longer mean. Google demonstrates very accurately what would happen to the stock market should there be a real, exogenous selling catalyst. Now consider that the S&P’s VWAP since the March lows is around the 950 level. If the market is unable to sustain the most recent relief rally, and if this is coupled with geopolitical news or a default the PIIGS or some other unpredictable event, expect a very prompt but highly doable correction. If the market volume doubled and the time of decline was cut in half relative to the rise, consider what would happen if all mutual funds suddenly switched from a buying to a selling posture… And what this would mean for the final closing level on the S&P of that particular D-Day.

 

 


Tags: ,




 
 
 

ValueWalk

Fixing A Bankrupt Banking Culture By Hiring More Bankers?

By Clayton Browne. Originally published at ValueWalk.

The Group of 30 published a report titled BANKING CONDUCT and CULTURE: A Call for Sustained and Comprehensive Reform last month (July 2015). This report, co-written by both academics and senior financial industry regulators and banking executives, pulls no punches in its critique of the morally bankrupt global banking industry and the pressing need for across-the-board reforms in the sector in order to restore public trust.

The foreword of the report notes: "Banks and banking today stand in disrepute. Poor cultural foundations and significant cultural failures were major drivers of the recent financial crisis, and continue to be factors in th...



more from ValueWalk

Zero Hedge

"Everyday Americans" Hillary And Bill Clinton Report $140 Million In Taxable Income Since 2007

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

Clinton told ABC’s Diane Sawyer in a June interview, “We came out of the White House not only dead broke, but in debt."

Ever since Mitt Romney's tax disclosure fiasco in which allegations of tax avoidance and usage of offshore tax shelters played a major part in the democrat counter campaign, there has been great interest in the Adjusted Gross Income reported by presidential candidates. Which is why to avoid any surprises on the primary circuit, Hillary Clinton released the full data of her and Bill's tax income going back to 2007.

S...



more from Tyler

Phil's Favorites

Bad Deal Math: I have a Product, But Please Don't Buy It

Courtesy of Mish.

How often do you hear a car manufacturer (or any other manufacturer) tell people to "not" buy their product because they lose money if you do?

I highly suspect this is nothing more than a purposely calculated publicity stunt, but please consider California Has a Plan to End the Auto Industry as We Know It.
Sergio Marchionne had a funny thing to say about the $32,500 battery-powered Fiat 500e that his company markets in California as “eco-chic.” “I hope you don’t buy it,” he told his audience at a think tank in Washington in May 2014. He said he loses $14,000 on every 500e he sells and only produces the cars because state rules re­quire it.

So who’s fo...



more from Ilene

All About Trends

Mid-Day Update

Reminder: David is available to chat with Members, comments are found below each post.

Click here for the full report.




To learn more, sign up for David's free newsletter and receive the free report from All About Trends - "How To Outperform 90% Of Wall Street With Just $500 A Week." Tell David PSW sent you. - Ilene...

more from David

Chart School

Three RTT Indicators

Courtesy of Read the Ticker.

readtheticker.com is primarily a Richard Wyckoff logic site, however through our research into Wyckoff logic the three indicators below make us very lazy in applying Richard Wyckoff logic.Why? Because if these indicators look handsome together then it most likely the Wyckoff logic is working very well.

These three indicators are NOT a trading system, but they do help with finding excellent well support accumulated stocks that show Mr Market is supporting them. Of course when indicators look ugly they will show stocks in a breakdown, thus less support by Mr Market.

RTT Steps

If the large market plays are accumulating the stock then they will control the range of BID and ASK and not let th...

more from Chart School

Insider Scoop

Benzinga's Weekend M&A Chatter

Courtesy of Benzinga.

Benzinga's M&A Chatter for Friday July 31 through Sunday Aug 2, 2015

The following are the M&A deals, rumors and chatter circulating on Wall Street for Friday July 27, 2015:

Yahoo to Acquire Polyvore

The Deal:
Yahoo!, Inc. (NASDAQ: YHOO) announced Friday that it has reached an agreement to acquire social shopping site Polyvore. Terms were not disclosed.

Yahoo closed at $36.67 on Friday, a loss of 2%.

Hearing Unconfirmed Market Chatter of Potential Costco Bid for Whole Foods

The Rumor:
Shares of Whole Foods Market, Inc. (NYSE: WFM) were boosted Friday, on unconfirmed market chatter of a potential offer from Costco Wholesa...



http://www.insidercow.com/ more from Insider

Kimble Charting Solutions

Commodities – 20-Year bear market in play?

Courtesy of Chris Kimble.

CLICK ON CHART TO ENLARGE

This chart looks at the Thompson/Reuters Commodity Index on a monthly basis for the past 50 years

The index took off in the early 1970’s and rallied over 200% in a little over a decade at (1). Then it created a potential double top. What followed at (2)? An unwinding of the rally that lasted nearly 20-years, taking it to the bottom of its rising channel.

In the early 2000’s, the index took off again, gaining over 250% in a decades time at (3) and the rallied looks to have ended in 2011, as it was hitting the top of this long-term rising channel.

Since hitting the top of the channel the index has been pretty soft,...



more from Kimble C.S.

Market News

News You Can Use From Phil's Stock World

 

Financial Markets and Economy

Hedge Funds Boost Bullish Treasury Futures Bets to Two-Year High (Bloomberg)

As oil prices tanked, hedge-fund managers and other large speculators increased bullish bets on Treasury securities to the most in two years, even as the Federal Reserve moves closer to raising interest rates.

Crude Tumbles Near $46 Handle As US Oil Rig Count Rises For 2nd Week (Zero Hedge)

After last week's surge in total rig count, this week saw a modest 2 rig drop to 874 total rigs. However, oil rigs rose...



more from Paul

Sabrient

Sector Detector: Lackluster earnings reports put eager bulls back into waiting mode

Reminder: Sabrient is available to chat with Members, comments are found below each post.

Courtesy of Sabrient Systems and Gradient Analytics

In this weekly update, I give my view of the current market environment, offer a technical analysis of the S&P 500 chart, review our weekly fundamentals-based SectorCast rankings of the ten U.S. business sectors, and then offer up some actionable trading ideas, including a sector rotation strategy using ETFs and an enhanced version using top-ranked stocks from the top-ranked sectors.

Corporate earnings reports have been mixed at best, interspersed with the occasional spectacular report -- primarily from mega-caps like Google (GOOGL), Facebook (FB), or Amazon (AMZN). Some of the bul...



more from Sabrient

OpTrader

Swing trading portfolio

Reminder: OpTrader is available to chat with Members, comments are found below each post.

 

This post is for all our live virtual trade ideas and daily comments. Please click on "comments" below to follow our live discussion. All of our current  trades are listed in the spreadsheet below, with entry price (1/2 in and All in), and exit prices (1/3 out, 2/3 out, and All out).

We also indicate our stop, which is most of the time the "5 day moving average". All trades, unless indicated, are front-month ATM options. 

Please feel free to participate in the discussion and ask any questions you might have about this virtual portfolio, by clicking on the "comments" link right below.

To learn more about the swing trading virtual portfolio (strategy, performance, FAQ, etc.), please click here ...



more from OpTrader

Digital Currencies

Gold Spikes Back Above $1100, Bitcoin Jumps

Courtesy of ZeroHedge. View original post here.

Gold is jumping after the overnight double flash-crash...testing back towards $1100...

Bitcoin is back up to pre-"Greece is Fixed" levels...

Charts: Bloomberg and Bitcoinwisdom

...

more from Bitcoin

Pharmboy

Baxter's Spinoff

Reminder: Pharmboy and Ilene are available to chat with Members, comments are found below each post.

Baxter Int. (BAX) is splitting off its BioSciences division into a new company called Baxalta. Shares of Baxalta will be given as a tax-free dividend, in the ratio of one to one, to BAX holders on record on June 17, 2015. That means, if you want to receive the Baxalta dividend, you need to buy the stock this week (on or before June 12).

The Baxalta Spinoff

By Ilene with Trevor of Lowenthal Capital Partners and Paul Price

In its recent filing with the SEC, Baxter provides:

“This information statement is being ...



more from Pharmboy

Mapping The Market

An update on oil proxies

Courtesy of Jean-Luc Saillard

Back in December, I wrote a post on my blog where I compared the performances of various ETFs related to the oil industry. I was looking for the best possible proxy to match the moves of oil prices if you didn't want to play with futures. At the time, I concluded that for medium term trades, USO and the leveraged ETFs UCO and SCO were the most promising. Longer term, broader ETFs like OIH and XLE might make better investment if oil prices do recover to more profitable prices since ETF linked to futures like USO, UCO and SCO do suffer from decay. It also seemed that DIG and DUG could be promising if OIH could recover as it should with the price of oil, but that they don't make a good proxy for the price of oil itself. 

Since...



more from M.T.M.

Promotions

Watch the Phil Davis Special on Money Talk on BNN TV!

Kim Parlee interviews Phil on Money Talk. Be sure to watch the replays if you missed the show live on Wednesday night (it was recorded on Monday). As usual, Phil provides an excellent program packed with macro analysis, important lessons and trading ideas. ~ Ilene

 

The replay is now available on BNN's website. For the three part series, click on the links below. 

Part 1 is here (discussing the macro outlook for the markets) Part 2 is here. (discussing our main trading strategies) Part 3 is here. (reviewing our pick of th...

more from Promotions

Help One Of Our Own PSW Members

"Hello PSW Members –

This is a non-trading topic, but I wanted to post it during trading hours so as many eyes can see it as possible.  Feel free to contact me directly at jennifersurovy@yahoo.com with any questions.

Last fall there was some discussion on the PSW board regarding setting up a YouCaring donation page for a PSW member, Shadowfax. Since then, we have been looking into ways to help get him additional medical services and to pay down his medical debts.  After following those leads, we are ready to move ahead with the YouCaring site. (Link is posted below.)  Any help you can give will be greatly appreciated; not only to help aid in his medical bill debt, but to also show what a great community this group is.

http://www.youcaring.com/medical-fundraiser/help-get-shadowfax-out-from-the-darkness-of-medical-bills-/126743

Thank you for you time!




FeedTheBull - Top Stock market and Finance Sites



About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

Learn more About Phil >>


As Seen On:




About Ilene:

Ilene is editor and affiliate program coordinator for PSW. She manages the site market shadows, archives, more. Contact Ilene to learn about our affiliate and content sharing programs.

Market Shadows >>