Posts Tagged ‘POMO Submitted-To-Accepted Ratio’

The POMO Submitted-To-Accepted Ratio: A Tell On How To Frontrun The Frontrunning Primary Dealers

The POMO Submitted-To-Accepted Ratio: A Tell On How To Frontrun The Frontrunning Primary Dealers

Courtesy of Tyler Durden

To those who look to Fed POMO days as a guaranteed panacea to underperformance and an even more guaranteed green close, you are right (at least, so far). But that is only half the story. It turns out that combing through POMO data yields a very surprising set of outcomes, namely, that the ultimate return on any given POMO day is almost exclusively a function of the Submitted-to-Accepted ratio. As John Lohman highlights, "the generic market effect on POMO days (i.e. stocks and yields up relative to non-POMO days) should be pronounced when the submitted-to-accepted ratio is relatively low (“meets expectations”) and muted when the ratio is high (“a negative surprise”, particularly if said Dealers had already positioned themselves in pre-POMO trading, based on a set of expectations regarding the outcome)." Indeed, the empirical result is precisely that. Which is why in addition to keeping track of POMO days, a far more critical piece of information is tracking the S/A ratio disclosed every day at 11am. If low, and if market performance is below a specific bucket’s average, it may be a green light for a stratospheric ramp into market close, and a signal to frontrun the market alongside the Primary Dealers.

Without further ado, here is the statistical data compiled and associated narrative by John Lohman that predicts not only market performance, but Primary Dealer frontrunning via Fed monetization generosity.

POMO Submitted to Accepted ratio

In a prior Zero Hedge post (here), it was clearly demonstrated (to all save a few unnamed asshats who believe in coincidences against all statistical probability) that equities and interest rates tend to rally on POMO days relative to non-POMO days.  Here, using the Fed’s Total Par ‘Accepted’ and ‘Submitted’ data, we can show that, not only is this effect not a coincidence, but that the magnitude of the market’s reaction to POMO on any given day is positively correlated with the outcome of that day’s operation.

The POMO ‘Submitted-to-Accepted’ ratio can be thought of as being similar to a reverse bid-to-cover ratio in Treasury auctions.  Primary Dealers submit a certain volume of paper and the Fed accepts a portion of it.  If POMO is indeed having a direct impact on the markets, there should be a relationship between the submitted-to-accepted ratio and…
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Chart School

Moving Averages: May Month-End Update

Courtesy of Doug Short's Advisor Perspectives.

Valid until the market close on June 30, 2016

The S&P 500 closed May with a monthly gain of 1.53% which follows a gain of 0.27% last month. All three S&P 500 MAs are signaling "invested" and all five Ivy Portfolio ETF MAs are signaling "invested". In the table, monthly closes that are within 2% of a signal are highlighted in yellow.

The Ivy Portfolio

The above table shows the current 10-month simple moving average (SMA) signal for each of the five ETFs featured in The Ivy Portfolio. We've also included a table of 12-month SMAs for the same ETFs for this popular alternative strat...



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Zero Hedge

Alan Greenspan: "We're Running To A State Of Disaster"

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

Back in March, the former Fed chairman said that we're in trouble because "productivity is dead in the water, and real capital investment is way below average because business people are very uncertain about the future." Greenspan went on to add that entitlement programs are crowding out capital investment, and thus crowding out productivity."

...



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Phil's Favorites

Banks Should Get Down on Their Knees and Pray for Regulation

 

Banks Should Get Down on Their Knees and Pray for Regulation

Courtesy of Joshua M. Brown, The Reformed Broker

Everyone’s talking about this Wall Street Journal article that covers the regulatory flood. The banks brought it on themselves because of their actions before and after the Great Financial Crisis. And now they’ve got to live in the world they’ve created…

The 2010 Dodd-Frank law … is one of the mo...



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Market News

News You Can Use From Phil's Stock World

 

Financial Markets and Economy

U.S. oil prices rise on start of summer driving season (Business Insider)

U.S. oil prices were lifted early on Tuesday by the start of the peak demand summer driving season, although international fuel markets were weighed down by rising output in the Middle East, which mostly serves Asian customers.

Three reasons why the S&P 500 is primed and ready for big gains (Market Watch)

Get ready for “flaming June.”

...



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ValueWalk

Jim Collins Interviews Jorge Paulo Lemann of 3G Capital (And Gisele Bundchen)

By Jacob Wolinsky. Originally published at ValueWalk.

Jim Collins Interviews Jorge Paulo Lemann of 3G Capital  (And Gisele Bundchen) but for only about two minutes

Big H/T Value Investing World

Also see ...



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OpTrader

Swing trading portfolio - week of May 30th, 2016

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 ...



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Kimble Charting Solutions

Gold Mining Stocks- Most dangerous time to own them in years?

Courtesy of Chris Kimble.

CLICK ON CHART TO ENLARGE

The rally in mining stocks since the first of the year has been very impressive.

The rally has taken Gold Miners ETF GDX up to test the 23% retracement of the collapse over the past 5-years. At the same time it is hitting the 23% level, two other resistance lines are being put to a test, with momentum at the highest levels in the past 5-years.

Joe Friday Just The Facts...



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Digital Currencies

The Biggest Bitcoin Arbitrage Ever?

Courtesy of Chris at CapitalistExploits

Do you remember when you were growing up and all your friends were allowed Atari game consoles but you weren’t?

Well, I do and the things seemed as foreign to me as Venus. Mostly because the little time I managed to spend on the gaming consoles when my friends weren’t hogging them I found it all a bit silly. I never “got” computer games, and to this day still have poor comprehension of things like Angry Birds.

I suspect that many people around the world view Bitcoin in the same way as I view Angry Birds: with mild amusement and a general lack of understanding as to what the hell all the fuss is about.

I was thinking of this since a buddy of mine recently started ...



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All About Trends

Mid-Day Update

Reminder: Harlan 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...

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Biotech

This Is Why Biotech Stocks May Explode Again

Reminder: Pharmboy and Ilene are available to chat with Members.

Here's an interesting article from Investor's Business Daily arguing that biotech stocks are beginning to recover from their recent declines, notwithstanding current weakness.

This Is Why Biotech Stocks May Explode Again

By 

Excerpt:

After a three-year bull run that more than quadrupled its value by its peak last July, IBD’s Medical-Biomed/Biotech Industry Group plunged 50% by early February, hurt by backlashes against high drug prices and mergers that seek to lower corporate taxes.

...



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Mapping The Market

About that debate last night

Although we try to stay focused on finding and managing promising trade ideas, the comments in the comment section sometimes take a political turn (for access, try PSW — click here!). So today, Jean Luc writes,

The GOP debate last night was just unreal – are these people running to be president of the US or to lead a college fraternity! Comparing tool size? The only guy that looks semi-sane is Kasich. The other guys are just like 3 jackals right now. 

And something else – if Trump is the candidate, that little Romney speech yesterday is probably already being made into a commercial. And all these little snippets from the debate will also make some nice ads! If you are a conservative, you have to be scared now. 

Phil writes back,

I was expecting them to start throwing poop at each other &n...



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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!




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