Robot Trading

[wndysrf]

From today's WSJ:

 

Program Trading Accounts For 55.9% of NYSE Volume

 

By a WALL STREET JOURNAL Staff Reporter

 

NEW YORK -- Program trading in the week ended Jan. 21 accounted for 55.9%, or an average of 922.2 million shares daily, of New York Stock Exchange volume. Brokerage firms executed an additional 627.3 million daily shares of program trading away from the NYSE, with 4.4% of the overall total on foreign markets. Program trading is the simultaneous purchase or sale of at least 15 different stocks with a total value of $1 million or more.

 

Of the program total on the NYSE, 11.3% involved stock-index arbitrage. In this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Less than 0.1% involved derivative product-related strategies. Index arbitrage can be executed only in a stabilizing manner when the Dow Jones Industrial Average moves 210 points or more from its previous day's close.

 

Some 50.3% of program trading was executed by firms for their clients, while 45.3% was done for their own accounts, or principal trading. An additional 4.4% was designated as customer facilitation, in which firms use principal positions to facilitate customer trades.

 

Of the five most-active firms overall for the week, UBS AG's UBS Securities and Lehman Brothers executed most of their program trading as principal for their own accounts. Deutsche Bank's Deutsche Bank Securities executed most of its program trading activity for customers, as agent. Morgan Stanley and Credit Suisse Group's Credit Suisse First Boston split their activity between their own accounts and those of their customers.

 

......................................

 

The markets were held in check all day long, trading in a boring flatline.

 

All eyes and ears are Iraq.

 

Will there by an Election Rally? Triggered by a collapse in crude prices?

 

Only the Robots know for sure.

 

After all, they are controlled by the PigMen.

 

And the PigMen do an excellent job at keeping the 9000 HedgeFunds constantly guessing. Especially those run by Buddha's "slide rule technicians", who short every trendline break and buy all the breakouts.

 

90% of those moves are reversed. Today was an example. Everyone was screaming and shouting about the 10,400 not holding, 5th down week in a row, trading below support lines, etc.

 

In the meantime, shrewed tacticians would have noticed that the Large Breasted Wonders (KLAC, NVLS, AMAT) were grinding up all afternoon off a J-Lo Bottom, knowing that a end of day blastoff was highly probable.

 

Once again, Hapless HedgeFunds short the market were highsided and blown out off the turn.

 

Monday, maybe the SOX gets clotheslined.

 

Who knows?

 

Nothing but a Crack Market, gamed by psychos, action junkies, and thrill seekers.

 

Good luck to all Riverboaters, have a good weekend.

[wndysrf]

Emerging Markets remain the rage.

 

Big day for India.

 

[Charmin]

Is it really 9000 hedgefunds. I last thing I read was 8000. No matter, the QQQQ retested the spring from Monday and held. So, barring a total collapse or another spring Monday I "suspect" that Monday will be what the Stock traders almanac calls ..... one of the better trading days.

 

coinciding with a 13 week low and some liquidity by "the King."

 

"The Fed added $6.25 billion in weekend repos, against $5.25 billion in expirations, resulting in a net add of $1 billion to the liquidity pool. The result was a big net add for the week." http://wallstreetexaminer.com/index.php?itemid=106

[Bearman]

PPT has jammed futures almost unch on sp

 

 

edit unched now

 

when they lose control it will be

 

 

 

 

UGLY

 

[Bearman]

amazing runoff programs running show

[machinehead]

Ben checked his watch after starting the car in the hotel parking lot -- 3:20 p.m. The luncheon had run late, and there was little point in heading back to the Eccles Building now. On impulse, seeing that it was one of those warm, sunny winter days that Washington occasionally enjoys, he decided to stop at Rock Creek Park on the way home. Since he'd left the bucolic cornfields and horse pastures of Somerset County N.J. to move to Washington, it was all too seldom that he broke out of the home and office routine to commune with nature.

 

A trail led directly out of the gravel parking lot and meandered through the forest -- bare and open to the afternoon sun in this season -- to the river. Through the multicoloured carpet of decaying leaves, the first green shoots of early spring plants were becoming visible. But Ben's favorite part of the trail was where it ran directly beside the creek. Between two large boulders, he spotted a flat expanse of rock beside the creek. After squeezing through the gap, Ben was just about to seat himself when a voice from in front of the boulder to his left said, "Hey, fellow."

 

Ben whirled round with a start. A middle-aged man seated at the base of the rock -- casually dressed, African-American in appearance -- regarded him. "Oh, sorry, didn't mean to disturb you," Ben apologized, turning to retrace his steps.

 

"Hey, I know you," the man replied.

 

Ben looked more closely. "Frank Raines," exclaimed Ben, extending his hand. "Hello! We chatted at the Corcoran Gallery donors gala last month. How are you?"

 

"Been better, Ben. Been better," Raines replied. "Sit down, you're not disturbing me at all," he added, gesturing for Ben to take a place beside him. The sheltered hollow at the base of the boulder was warmed by the afternoon sun, and offered a pleasant view of the creek. Ben gladly accepted the invitation.

 

"I guess my stepdaughter Fannie is very much on the agenda at your workplace, huh Ben?" Raines remarked.

 

"You're not kidding," Ben agreed. "Rolling over $30 billion a week of short-term GSE debt in a nervous market tends to wake me up about 3:00 a.m. every morning."

 

"Sorry about that, bro. You know I'd be there if I could, but my departure wasn't exactly voluntary."

 

"I understand," Ben replied. "Sometimes events move faster than one expects. But if you don't mind my asking ... don't you think it was a little reckless, financing a $1 trillion balance sheet full of gnarly, nearly unhedgeable mortgages, with so much short term borrowing?"

 

Raines was silent for a moment. "How do I even begin to respond to that? Do you want the polished legal boilerplate, or the brutally honest response?"

 

Ben's face registered his surprise. "Hey, Frank. I'm not the Fed chairman, you know. Just a foot soldier on the board. I'd just as soon hear the straight poop."

 

Raines continued to gaze into the distance. "I'm willing to talk, Ben. But I'm pretty damned wound up, personally speaking, with all these investigations breathing down my neck. You gotta indulge me here, Ben. Why do you think I'm sitting out here in the woods?"

 

Ben nodded emphatically, not sure what Raines was getting at.

 

Casting an appraising glance at Ben, Raines reached inside his shirt pocket and withdrew a fat blunt. "All this jazz, Ben," said Raines, firing it up with a flick of his thumb on the lighter. "This is my medication. Just what the doctor ordered, you know."

 

"Ohhh ... kayyyy," Ben softly replied.

 

"Now ..." asserted Raines, forcefully exhaling the first grey lungful and handing the burning stogie to Ben. "Let me ask YOU a question."

 

"Okay," assented Ben, cautiously puffing at the aromatic cylinder.

 

"Central banks used to be storehouses of gold. Gold was their asset, negotiable warehouse receipts their liability. Right?"

 

"Right," agreed Ben in a squeaky voice, holding in his toke.

 

"None of this bore any interest," Raines went on. "Some portion of the gold might be leased to mining enterprises to generate income. But since gold provides no intrinsic yield, it was understood that the warehouse receipts -- the negotiable proto-currency -- didn't either. Yes?"

 

"Check," Ben assented, exhaling a huge cloud of grey smoke.

 

"Well," Raines went on, reflectively drawing on the blunt so that its end glowed bright orange, "did you ever think about what happens to the interest when the central bank's assets consist of government bonds?"

 

"Sure," replied Ben, as Raines handed the blunt back to him. "We take what we need to cover our operating costs, and return the balance to the Treasury."

 

"So," Raines declared, sounding like Fukui-san, but doubtless with different intention. "As far the Treasury is concerned, they 'pay' interest on the Fed's stash of bonds, but most of it gets recycled to them. And since the Fed's balance sheet only grows, those bonds never get redeemed, only rolled over."

 

"I'm with you so far," Ben replied with a lag, almost missing the conversational cue.

 

"Well then, for all practical purposes, those Treasury bonds on your balance sheet might just as well be promises scrawled on cocktail napkins," Raines asserted. "In fact, why not just eliminate the intermediary central bank storefront, with its sterile trove of Treasury promise tickets, and just have the Treasury directly issue legal tender dollar bills in whatever quantity required to facilitate commerce, stable prices and full employment?" Raines continued, his voice rising. "After all, the Treasury secretary signs them already."

 

"For G-d's sake," Ben recoiled. "You make it sound like ... like there's no value added on our part."

 

"No, that's not what I meant to imply," Raines shot back. "A managed currency is certainly needed. But I'm saying there's an inflationary moral hazard when the central bank and the Treasury can gorge themselves on rising interest yields from their stash of bonds, while the circulating medium remains non-interest bearing. That was fair when the monetary asset was non-interest bearing gold. But it's anti-stabilizing when the central bank's assets consist of government bonds."

 

"Hmmm. I never looked at it that way," Ben reflected.

 

"Moreover," Raines continued, "the Fed's Treasury assets represent nothing more than future taxing power. They aren't funded. But the real property backing Fannie's secured mortgages is tangible wealth, an existing embodiment of rendered materials and past labor. Being geographically distributed rather than concentrated, and having utilitarian value of its own, it's arguably an even better and more secure monetary asset than gold."

 

"I don't disagree," Ben conceded. "But what's your point?"

 

Raines leaned toward Ben, flicking the lighter to reignite the shortening blunt for him.

 

"Just this, Ben," said Raines, his voice acquiring a sudden edge of resolve. "I never intended to stick the taxpayers with some huge, hopeless liability from a leveraged mortgage bet gone wrong. My only intention was to be of service. And before leaving, I prepared a secret plan to implement those objectives on a massive, pre-emptive scale."

 

"What do you mean by that?" asked Ben, carefully pinching the shortened blunt between thumb and forefinger to hand it back to Raines.

 

Raines withdraw a handsome roach clip from his pocket. It had a black onyx handle, with green, yellow and purple stripes of inlaid stone. Adroitly securing the smoking stub with the gold-plated alligator clip, Raines continued.

 

"Politics was always my beat, Ben. People. I don't know the details of the financial side. But my peeps in Congress were scared of the risk. So I offered them a grand deal."

 

Ben's eyes widened. To his surprise, instead of handing the clip back to him, Raines reversed it so that the burning end was inside his mouth, leaned over till his face was only a couple of inches from Ben's, and blew a cool, dense jet of grey smoke directly into Ben's nostrils. As the rush went to his brain, Ben's glassy reddened eyes recorded the scintillating glints of sunlight from the undulating ripples of the creek, and how they highlighted the intricate, slanting striations of the shale bank on the opposite side.

 

"Whoa ... this is some serious shit," acknowledged Ben, releasing his breath.

 

"Heh ... heh," coughed Raines. "You ain't gonna find shit like this from those guys hangin' out on the street corner in Kalorama. Got it from one of those 27-year-old swaptions traders."

 

"So, uh ... what is this deal you were talking about?" Ben said, refocusing with considerable effort.

 

"Oh ... right. It's pretty straightforward. To get rid of the rollover risk, we proposed that all of Fannie's liabilities be converted to perpetual floating rate notes. No need to hedge any more. The future yield from the mortgage portfolio is what it is. We just deduct our 100 basis point gross margin, and pass on the residual yield to the noteholders."

 

"Yeah, well what makes you think the market's going to accept those notes?" countered Ben.

 

"Simple," declared Raines. "We're gonna make 'em legal tender."

 

Ben's jaw dropped wide open. "WHA-A-A-A-TTT?" he sputtered.

 

"Oh, yes. We already have 223 sponsors in the House, including several dozen Republicans. They've been to Hong Kong, they've seen the multiple flavors of banknotes circulating. They think a little banknote competition might be a healthy thing in an 'ownership society.' They recognize that people are hungry for yield, which the banks have been most niggardly in providing. And they were not necessarily pleased by the Fed's rate hike campaign starting just four months before the election, which could be perceived as hostile."

 

Ben stared, speechless. What a tangled mess the Chief had dumped into his lap!

 

"Sorry to spring this on you so suddenly, Ben. But it's practically a done deal. Our interest-bearing banknotes are going to be called Fannie Universal Bearer Asset Resettables, or FUBARs. They potentially have worldwide appeal."

 

Noticing that the roach had become too short to toke, Raines flamb?ed the whole thing with a blast from his lighter and offered the dense resinous smoke to Ben, who inhaled it with a snort that brought tears to his eyes. In the slanting orange sunlight, Ben observed how Raines's sinewy copper-colored neck aesthetically complemented the deep maroon weave of his shirt collar.

 

"What are you lookin' at?" demanded Raines.

 

"Errrr ..." Ben started to explain, but lacking any coherent words, burst out laughing. His stoned autism may have verged on gaucheness, a small remaining rational kernel of his brain warned. Ben fervently hoped that he wasn't latently gay, or something. But then, it didn't seem to have hurt Maynard Keynes's career ...

 

"Hey, Frank," Ben said, getting unsteadily to his feet. "There's a great club not too far from here, called the Leather 'n Lace. One of the dancers is a friend of mine, Monica. She'd be glad to introduce you to some of the other girls. What do you say we go over and have a beer?"

 

"You got it, bro," Raines assented, taking Ben's proffered hand to unwind his lanky frame back to an erect stance. "Now that we solved the liquidity problem ... we deserve a little liquidity ourselves!"

 

"I'll drink to that!" Ben asserted heartily. "You say FRNs, I say FUBARs. Or vice versa ..." Ben trailed off, realizing that he was well past the point of sequential reasoning by now.

 

 

avatar source: Lactaid @ www.b4-thebell.com

[Guest bullseatshitndie]

4 hours of scraping the bottom of the barrel. that shit at the eod was a mean run to take out buy stops on all those selling those 4 hours. of course, prime ex. why to use them just above that range or one would have gotten the hose

[Slothrop]

"Of the program total on the NYSE, 11.3% involved stock-index arbitrage. In this strategy, traders dart between stocks and stock-index options and futures to capture fleeting price differences. Less than 0.1% involved derivative product-related strategies."

 

Maybe I stared at these sentences for too long, but I don't understand what they're saying with the "less than .1% involved derivative product-related strategies." Uh, okay, then how did they get 11.3% as "involved stock index arbitrage?"

 

I must be missing something.

[Bearman]

MH I had a mental picture that beavis guy in the story

 

kool-dude--- way!!!

[wndysrf]

E-Mini's Roundtripped.

 

We all know what happens after one of these............

 

[stanley]

Delicious Chinese & Japanese food - Pig's Intestines filled with flavor, meat.. etc

シァンチャン 香腸 (中国腸詰）

 

Source: The Wall Street Examiner (The Anals of Stock Proctology)

 

Yarme Yarme

[dozer]

FUBAR's....tee hee....another great chapter MH !

[tpark]

MH - great writing, a treasure to read on this fine friday

[pegasus]

Ben's eyes widened. To his surprise, instead of handing the clip back to him, Raines reversed it so that the burning end was inside his mouth, leaned over till his face was only a couple of inches from Ben's, and blew a cool, dense jet of grey smoke directly into Ben's nostrils. As the rush went to his brain, Ben's glassy reddened eyes recorded the scintillating glints of sunlight from the undulating ripples of the creek, and how they highlighted the intricate, slanting striations of the shale bank on the opposite side.

 

Machinehead, forget trading, your calling is to write the Great American Novel. It is you who must chronicle the coming epic collapse as seen through the eyes of Bernanke, Greenspan, Raines, Fukui, and Monica.

 

 

-Pegasus

[Tchaikofsky]

Close: Stocks were under pressure most of the session and closed in negative territory, despite noteworthy M&A news and a sell off in oil, as mixed earnings/guidance reports, disappointing GDP figures and worries related to Iraqi elections fueled broad-based weakness... If not for last-minute, futures-related buying, the major indices may have posted weekly declines for the fourth consecutive week...

 

While Proctor & Gamble's (PG 54.15 -1.17) $57 bln, all-stock bid to buy Gillette (G 51.60 +5.92) fueled modest market gains at the open, little follow through on the part of buyers, despite a resurgence in M&A activity (i.e. SBC - AT&T merger), only added to the frustration... MSFT, PG, ADM, CVX and TRB were just a few of the companies to have their better than expected quarterly results offset by disappointments from blue chips like MCD, MYG, HAL and APC while a weaker than expected advance Q4 GDP read of 3.1% (consensus 3.5%), due in large part to a steep decline in exports, also weighed on equities...