Thursday, 30 June 2011

Bond market Analysis: Bund, Schatz, Euribor Spread Trading

Stock buy: PVA

I initiated a short term buy in PVA, this stock has broken its 52 weeks low, and is approaching the bottom of its downward channel. Sentiment wise it has a large short open Interest, with it taking 8 days to fully cover, which could help push this slightly higher on any push up.
Looking to get out this quickly whether right or wrong.

Entry: 13.25

Stock Sell:Close BIDU

Today I sold out the half I bought back in the 119s at 138.21. I still hold the original half I left running. If BIDU gets back down there again I will look to re buy.

Entry: 119.40
Exit: 138.21

Wednesday, 29 June 2011

Chicago PMI to be fed to the ALGOS first..

All economic reports that I know of, save one, release its data to everyone at once. There are no special people that receive the figures early – other than those who are “inside the velvet ropes” of the Chicago PMI. If you pay up, you too can receive its information before it is announced on financial websites and television shows.

If that’s not messed up enough, the coming change surely is. The newest alteration of the Chicago PMI is that it will now be flashing its findings to the HFT algo-robots even before the special people get it early…and especially before us little peons are allowed to read the data.

A few months ago we reported on Deutsche Boerse's Alpha Stream: a product suite especially designed to allow subscribers to get a millisecond advantage when market moving economic data is reported, which would then set HFT algos off the races, with the expectation that those paying a pretty penny for such access could scalp a few nickels from those without this critical (in our day and age of collocated needs) data feed. As a reminder, among the key benefits to customers, Deustche Boerse, now the owner of NYSE Euronext were that i) Data is sent directly by our journalists from government lock-ups; ii) Designed for easy direct integration into trading algorithms; iii) Global co-location and other connectivity options iv) AlphaFlash uses the high speed global network of Deutsche Börse and was designed by technology experts from the world of low latency trading. And while Euronext has had about 3 market halts in Europe in the past week, that appears to be irrelevant: with reverse merger listing fees now a thing of the past, the Deustche Borse has to continue raking in high margin HFT clients with the promise of some free latency arbitrage. Therefore, in order to make its product offering that much more appealing to 19 year old Ph.D.'s everywhere, NYSE Boerse has just announced its purchase of Kingsbury International Ltd., which surveys managers for the Chicago Business Barometer, also known as the company that hosts the Chicago PMI data, in order to bring PMI data direct to feed subscribers. Net result: expect even more market volatility at each PMI release, now that the market is not two but three-tiered, and consisting of regular HFTs, HFTs with access to the Deutsche Boerse feed, and everyone else. Does this make capital markets any more efficient? Hell no. Does it benefit the willing participants in a rigged casino who are about to purchase a faster reaction time for one of the blackjack tables? But of course.

From Dow Jones:

Deutsche Boerse AG said Monday it acquired the firm that publishes the Chicago Business Barometer, in a move seen adding a key U.S. economic data point to a suite of products targeted at the professional trading community.

The German group and rivals have in recent years acquired providers of financial indices to generate new contracts, but Deutsche Boerse is a leader in taking control of data that drives the volume of business, particularly from high-frequency traders.

The company launched its AlphaFlash data and news feed in April 2010 and funnels more than 150 economic indicators directly to algorithmic trading firms, which use the data points as fodder for rapid-fire transactions.

Monday's deal is seen propelling the 30-year-old monthly Business Barometer, formerly known as the Chicago Purchasing Managers'
Index, into the top tier of machine-readable news designed for high- speed traders.

"The Chicago Business Barometer is one of the most widely followed barometers among professional traders and market participants who use macroeconomic figures to make informed trading decisions," said Holger Wohlenberg, Deutsche Boerse's head of market data and analytics, in a statement. The barometer offers traders a monthly peek into U.S. business activity, querying purchasing managers on employment, inflation and customer demand.
As expected, the man behind the PMI, is delighted to be getting paid a lot of money just so his news can flood DB's well paying customers first:
Jack Bishop, president of Kingsbury and the economist who formulated the barometer in 1981, touted Deutsche Boerse's ability to market the service globally.

"That's the reason I was a party to the transaction, because I know where our strengths and weaknesses are," he said in an interview. Bishop has signed on for three years as a consultant to Deutsche Boerse.
It is unclear if the ultra-speed, HFT friendly feed would be activated before its next release on June 30. That said, we will certainly coordinate with our friends at Nanex for any trading abnormalities, primarily in the critical ES futures, this Thursday at 9:42am, keeping a close eye on the tape, and indicating precisely when the tiered data release hits.

Yeah…that’s gonna be great!

Trade well and follow the trend, not the so-called “experts.”

Wednesday, 22 June 2011

Stock Sell: TSO

Decided to short TSO today after it has popped from its down trend and is at the top of a bearish channel. Will give this one a little room to move, but will bail if it looks like overall sentiment starts to change.

Entry 22.23
Target: <20
STOP: 24.00

Friday, 17 June 2011

Close position: MXIM

I closed at MXIM yesterday at 24.31, as this trade has pretty much gone downhill right from the start. In hind site I should have closed out earlier as it did not do what I expected. As for now I only have the one open position in BIDU. I think a few good opps might be creeping up so will be looking to get into another position next week.


Thursday, 16 June 2011

Greek turmoil lead to big rally in bonds

Brutal day yesterday if you were a spread trader. So it just happens that the day before I thought we would hang around those levels in Euribor spreads, but just the next day we broke those levels and continued lower and lower. Ted spread which is Euribor vs Schatz has been in a 8 tick range for 2 months broke out in a massive way yesterday to the downside, pretty much wiping out all those who are mean reversion traders.
If Greece turns out to be the next Lehman style collapse, then we are going to be in for some serious volatility. Right now I don't want to try predict whats going to happen next more to just react on it.
As for the portfolio I guess I'm lucky I've only got two positions open, but I'm probably going to get out MXIM today or tomorrow as its been a bad trade from the start. As for BIDU, just going to hold that one.

Monday, 13 June 2011

Stock Buy: BIDU

I re bought BIDU today, buying back the half I sold at 138, at 119.40. We have have a sharp correction in BIDU, and I think the growth potential is still there, it is also at the support level of 116-120. I'm looking to hold this for a while longer, and possibly buy more if it gets close to 100.

Entry: 119.40

Tuesday, 7 June 2011

Stock buy: MXIM

I initiated a long position in MXIM today, we have come off quite a bit in the last week, and the price has gone outside its Bollinger range, thus I'm looking for a snap back in the next week. But will be quick to bail if this doesn't happen.

Exit 24.00
Target 28.00

Monday, 6 June 2011

Market update

Been a bit quiet for the portfolio lately, yet I have actually had a couple I have kept my eye on with buy stop orders to get me in, but the down trend in the markets have weighed on these stocks and luckily have kept me out. I'm looking at PDCO right now, it is sitting on support but waiting for the bounce to give the signal to get in. In retrospect although I only have a small position In BIDU open I'm pretty happy I'm not in anything as a lot of the data and economic news is weighing against stocks.
I've been mainly focusing on my day trading as I prefer to be flat at the end of the day. On Friday we had a terrible non farm payroll figure which initially dropped stocks, and bonds rose. But there was a big reversal and we ended close to our lows in Bunds which pretty much shafted many traders playing the second wave.
Think right now its a day traders market, and holding is a bit of a hit and miss strategy right now.
I will be looking to add a couple of positions by the end of the week, hopefully something good comes up!

Wednesday, 1 June 2011

Close position: RIMM

Closed my position in RIMM today. There was the initial bounce but that quickly faded and with the spate of bad economic news coming out, think its time to clear it.

Entry: 43.19

Exit: 40.72

Short Sterling spreads nudge higher on hawkish Fed; Walmart blowout

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