Trading Blog
Oct 3, 2011 Mid-morning update
posted by Joel
Well, well here we are again, in the low 1100's. SPUS managed to penetrate
last week's low of 1115.00 during the overnight session, but not so far today.
The ISM rally was short lived and unless the SPUS can get above 1122
and hold, this market could be in for some big trouble. The longer GE can stay
above 15, the better for the overall market. AAPL needs to hold 381 as well
to turn this market around.
End of Quarter Window Dressing
Sep 30, 2011
The end of the quarter is upon us and window dressing, where portfolio managers adjust their positions (typically buying stronger stocks and selling weaker stocks) seems to be having a major impact on a number of securities.
Defensive names like WMT, PG, JNJ, HSY, MRK, BMY, are considerably stronger today. Where financial stocks like MS, GS, C, BAC, are weak.
Many portfolio managers disclose their positions to clients on a quarterly basis, and it is in their best interest to show their clients a portfolio of defensive names when the market has been in such a downturn.
I would expect this anomaly in pricing correlations to be relatively short lived. If the trend continues into the close, it may be a good idea to fade some of these exaggerated moves.
CFA Magazine Articles
Sep/Oct 2011 Issue:
Can the J-shaped liquidity curve write a prescription for price impact?
July/August 2011 Issue:
Regulatory Call Risk in Trust Preferred Securities
Jan/Feb 2011 Issue:
Sep/October 2010 Issue:
CFA Magazine: Dennis Dick discusses the cause of the Flash Crash.
July/August 2010 Issue:
The Tracks of My Tiers: Trading profitably in a two-tiered market structure.
May/June 2010 Issue:
Will the Trade-At Rule Fix the Sub-pennying Problem?
Jan/Feb 2010 Issue:
The Hidden Cost of "Sub-Pennying"
Premarketinfo Hosts in the Media:
Aug 23, 2011
Reuters: Bank America shares drop as much as 6 percent.
August 5, 2011
Reuters: Jobs data offer some relief as losses mount.
April 19, 2011
Zerohedge: Exploring the Hidden Costs of Price Improvement.
Mar 15, 2011
Reuters: Nasdaq nears rival bid for NYSE.
Feb 25, 2011
WSJ: Direct Edge to Stop 'Flashing' Orders.
Jan 10, 2011
WatersTechnology: Predatory Algorithms on the Prowl.
Dec 17, 2010
Reuters: Special Report: For Wall Street, Dumb money pays.
July 17, 2010
Traders Magazine: Traders give proposed Trade-at rule thumbs up.
June 15, 2010
Alphaville: All eyes on broker-dealer internalization.
June 1, 2010
Senator Kaufman - Statement about concerns of unbalanced roundtable discussion.
May 12, 2010
Business Insider - Check out What Legal Front-Running Looks Like Second-To-Second
May 12, 2010
Wall Street Letter - Equity Concept Release Reactions Turn to Dow Drop Cause
May 7, 2010
Minyanville.com - The Morning After the Crash
May 7, 2010
Dow Jones - High-Frequency Trading Firm Getco: We Kept Trading Thursday
May 7, 2010
Zero Hedge - The Day The Market Almost Died
April 23, 2010
Zero Hedge - Another Blatant Example of Sub-Penny Frontrunning by Broker-Dealers
April 8, 2010
Zero Hedge - How "Sub-Pennying" In Dark Pools Ignores SEC Rule 612, Makes a Mockery of the NBBO.
April 5, 2010
Markets Media Online - Possible Solutions to the Sub-pennying Problem
March 11, 2010
Forbes - 10 Ways Electronic Breaches Could Blindside Global Finance
Feb 9, 2010
Wall Street Journal - Critics Say Sub-penny Pricing Could Fragment Stock Trade
Jan 7, 2010
Zero Hedge - HFT Market Making May Lead to a Crash
Comments to our Regulators
June 24, 2010
May 6, 2010
Predatory Market Making May Have Led to Crash.
April 26, 2010
Front-running order flow by using undisplayed trading centers.
March 24, 2010
Bright Trading - 51 page report on our concerns with the market structure.
Listen to Today's Shows
October 3, 2011 (1st Show): S&P 500 Analysis and Big 10.
October 3, 2011 (2nd Show): Market Movers
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