Il crash del 6 maggio 2010
- Creatore Discussione Fleursdumal
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Fleursdumal
फूल की बुराई
Dirty Rotten Scoundrels
By JIM MCTAGUE http://topics.barrons.com/person/M/jim-mctague/6039
A scheduled SEC/CFTC report on the Flash Crash of May is likely to say that virtually all professional traders headed for the hills.)
IT TURNS OUT THAT THE FLASH CRASH of May 6 was exacerbated by high-speed traders with attributes of the comic-book character "the Flash." But unlike the cartoon figure, they aren't heros.
A final report on the Flash Crash by the staffs of the Securities and Exchange Commission and the Commodities Futures Trading Commission, due in September, will reveal that when the market went into an apparent death spiral around 2:30 p.m., virtually every professional trader immediately high-tailed it for the hills, an SEC staffer indicated in a public meeting last week. As a result, panicked retail investors were left on their own, struggling to liquidate their positions to save the profits they had amassed from the beginning of the year.
With the pros gone, so was liquidity—the ability to convert equity into cash. Bids on stocks that the pros—hedge funds, institutions, and high-frequency traders—had posted earlier disappeared with the big boys. The market suddenly had no depth. The dam had burst, and the reservoir was empty. All that was left, the SEC staffer suggested, were "stub quotes," bid and ask prices ridiculously outside the usual trading range of a stock. The prices get posted to satisfy an essentially pointless regulation.
In a striking example of what happened next, about 127 customers of TD Ameritrade hit stub quotes inadvertently and sold their Accenture shares at the bargain price of 88 cents each. Some Accenture shares traded for a penny, down $41 in ten minutes. Those trades were later invalidated.
THE PROS BACKED OUT OF THE MARKET because their computers noted a huge jump in sell orders at 2:30 p.m., as retail investors fretted about Greece and the BP oil spill. All the selling frightened the pros. They feared that some catastrophic event had occurred and that they might be the last to know about it.
Some of the market-makers' models predicted the Dow Jones Industrial Average would end the day 5,000 points lower, according to Noel Archard, managing director for product research and development at iShares, who testified at last week's meeting, held by a CFTC-SEC joint advisory committee that is investigating the bizarre market meltdown.
The Dow dropped from 10,606.63 at 2:30 p.m. to 9,872.57 at about 2:47 p.m., down 734.06 points. When the pros realized that the world wasn't about to end, they jumped in, high-speed computers at hand, to scarf up in milliseconds the bargains left by the frightened little people. The Dow went back to 10,232.38 by 2:50 p.m., up 359.81 points.
The retail piglets squealed that they had been taken advantage of by the professional hogs and their low-latency computers. The market has become like golf, in that the player with the priciest club makes the best score. Regulators allowed the exchanges to bust 20,000 trades that had been executed more than 60% away from where prices has stood at 2:40 p.m., calling the prices "unjustifiable." The exchanges pulled that 60% threshold for busting trades out of thin air; tough bananas to those who sold at 59% off the market.
The report might recommend creation of a class of traders with an obligation to stay in the market regardless of conditions. Skeptics say it won't work. "The function of a market maker is not to buy stock at the wrong price as a market is crashing," said Michael Mendelson, a managing partner with AQR Asset Management. And despite the best efforts of the regulators to avoid a repeat, experts say another flash crash is inevitable.
http://online.barrons.com/article/SB50001424052970203880104575419671044248964.html
By JIM MCTAGUE http://topics.barrons.com/person/M/jim-mctague/6039
A scheduled SEC/CFTC report on the Flash Crash of May is likely to say that virtually all professional traders headed for the hills.)
IT TURNS OUT THAT THE FLASH CRASH of May 6 was exacerbated by high-speed traders with attributes of the comic-book character "the Flash." But unlike the cartoon figure, they aren't heros.
A final report on the Flash Crash by the staffs of the Securities and Exchange Commission and the Commodities Futures Trading Commission, due in September, will reveal that when the market went into an apparent death spiral around 2:30 p.m., virtually every professional trader immediately high-tailed it for the hills, an SEC staffer indicated in a public meeting last week. As a result, panicked retail investors were left on their own, struggling to liquidate their positions to save the profits they had amassed from the beginning of the year.
With the pros gone, so was liquidity—the ability to convert equity into cash. Bids on stocks that the pros—hedge funds, institutions, and high-frequency traders—had posted earlier disappeared with the big boys. The market suddenly had no depth. The dam had burst, and the reservoir was empty. All that was left, the SEC staffer suggested, were "stub quotes," bid and ask prices ridiculously outside the usual trading range of a stock. The prices get posted to satisfy an essentially pointless regulation.
In a striking example of what happened next, about 127 customers of TD Ameritrade hit stub quotes inadvertently and sold their Accenture shares at the bargain price of 88 cents each. Some Accenture shares traded for a penny, down $41 in ten minutes. Those trades were later invalidated.
THE PROS BACKED OUT OF THE MARKET because their computers noted a huge jump in sell orders at 2:30 p.m., as retail investors fretted about Greece and the BP oil spill. All the selling frightened the pros. They feared that some catastrophic event had occurred and that they might be the last to know about it.
Some of the market-makers' models predicted the Dow Jones Industrial Average would end the day 5,000 points lower, according to Noel Archard, managing director for product research and development at iShares, who testified at last week's meeting, held by a CFTC-SEC joint advisory committee that is investigating the bizarre market meltdown.
The Dow dropped from 10,606.63 at 2:30 p.m. to 9,872.57 at about 2:47 p.m., down 734.06 points. When the pros realized that the world wasn't about to end, they jumped in, high-speed computers at hand, to scarf up in milliseconds the bargains left by the frightened little people. The Dow went back to 10,232.38 by 2:50 p.m., up 359.81 points.
The retail piglets squealed that they had been taken advantage of by the professional hogs and their low-latency computers. The market has become like golf, in that the player with the priciest club makes the best score. Regulators allowed the exchanges to bust 20,000 trades that had been executed more than 60% away from where prices has stood at 2:40 p.m., calling the prices "unjustifiable." The exchanges pulled that 60% threshold for busting trades out of thin air; tough bananas to those who sold at 59% off the market.
The report might recommend creation of a class of traders with an obligation to stay in the market regardless of conditions. Skeptics say it won't work. "The function of a market maker is not to buy stock at the wrong price as a market is crashing," said Michael Mendelson, a managing partner with AQR Asset Management. And despite the best efforts of the regulators to avoid a repeat, experts say another flash crash is inevitable.
http://online.barrons.com/article/SB50001424052970203880104575419671044248964.html
Fleursdumal
फूल की बुराई
Futures' role in flash crash in question: sources
By Rachelle Younglai
WASHINGTON | Mon Sep 27, 2010 7:19pm EDT
WASHINGTON (Reuters) - U.S. market regulators are hashing out what role the futures market played in May's flash crash as they work to release by week's end a much-anticipated report on what caused the plunge, sources familiar with the matter said on Monday.
Staff at the Securities and Exchange Commission and Commodity Futures Trading Commission have drafted a preliminary version of the report, which will explain how the Dow Jones industrial average .DJI dropped about 700 points before sharply recovering in minutes on May 6.
The final report is "expected to clearly describe what happened," SEC spokesman John Nester said.
Regulators are hoping to release the report by month's end, but it might be delayed, the sources said. The 10 SEC and CFTC commissioners must sign off on the final report.
For five months, regulators have been grappling with half a dozen working hypotheses. They were focused on links between declines in prices of stock index products such as E-mini S&P futures contracts and the severe mismatch in liquidity -- to name a few theories.
Money manager Waddell & Reed Financial Inc (WDR.N) sold a large order of the e-mini futures contracts during the flash crash, according to a document obtained by Reuters [ID:nN14198678]. Waddell said that on May 6, it executed several trading strategies including the use of index futures contracts as part of normal operations.
Sources said on Monday that regulators have yet to agree on final language and that there were still questions on the role of the futures market. The sources requested anonymity because they were not authorized to speak on behalf of the regulators. SEC spokesman Nester had no comment.
Datafeed vendor Nanex LLC has suggested that a surge in quote traffic immediately followed by heavy sales of key securities may have sparked the brief market crash.
Nanex has also suggested that computer algorithms placed and canceled large numbers of rapid-fire stock orders in order to gain an edge during the crash.
The sources repeated on Monday that so-called quote stuffing would not be fingered as the cause of the crash, although regulators are probing the practice.
(Reporting by Rachelle Younglai, additional reporting by Herb Lash; editing by Matthew Lewis)
Futures' role in flash crash in question: sources | Reuters
By Rachelle Younglai
WASHINGTON | Mon Sep 27, 2010 7:19pm EDT
WASHINGTON (Reuters) - U.S. market regulators are hashing out what role the futures market played in May's flash crash as they work to release by week's end a much-anticipated report on what caused the plunge, sources familiar with the matter said on Monday.
Staff at the Securities and Exchange Commission and Commodity Futures Trading Commission have drafted a preliminary version of the report, which will explain how the Dow Jones industrial average .DJI dropped about 700 points before sharply recovering in minutes on May 6.
The final report is "expected to clearly describe what happened," SEC spokesman John Nester said.
Regulators are hoping to release the report by month's end, but it might be delayed, the sources said. The 10 SEC and CFTC commissioners must sign off on the final report.
For five months, regulators have been grappling with half a dozen working hypotheses. They were focused on links between declines in prices of stock index products such as E-mini S&P futures contracts and the severe mismatch in liquidity -- to name a few theories.
Money manager Waddell & Reed Financial Inc (WDR.N) sold a large order of the e-mini futures contracts during the flash crash, according to a document obtained by Reuters [ID:nN14198678]. Waddell said that on May 6, it executed several trading strategies including the use of index futures contracts as part of normal operations.
Sources said on Monday that regulators have yet to agree on final language and that there were still questions on the role of the futures market. The sources requested anonymity because they were not authorized to speak on behalf of the regulators. SEC spokesman Nester had no comment.
Datafeed vendor Nanex LLC has suggested that a surge in quote traffic immediately followed by heavy sales of key securities may have sparked the brief market crash.
Nanex has also suggested that computer algorithms placed and canceled large numbers of rapid-fire stock orders in order to gain an edge during the crash.
The sources repeated on Monday that so-called quote stuffing would not be fingered as the cause of the crash, although regulators are probing the practice.
(Reporting by Rachelle Younglai, additional reporting by Herb Lash; editing by Matthew Lewis)
Futures' role in flash crash in question: sources | Reuters
Fleursdumal
फूल की बुराई
Troubling Trades Found Ahead of Flash Crash
September 27, 2010
Graham Bowley, a DealBook colleague, reports:
The Chicago data firm that first identified strange patterns — dubbed “crop circles” — in stock market data around the flash crash on May 6 has put together a new analysis that it says backs the theory that one or more trading firms was intentionally trying to flood exchanges with orders.
The firm, Nanex, hopes the Securities and Exchange Commission and the Commodity Futures Trading Commission will be able to address its analysis in their long-awaited report on the flash crash due to be published before the end of this month.
Eric Scott Hunsader, the founder of Nanex, said the regulators must at least explain why investors and other market participants should not be worried by what it found to be a sharp acceleration in the frequency of orders being sent to exchanges that preceded the plunge in the stock market on May 6.
“They need to address this because if they don’t, the market will address it,” he said, suggesting that confidence in the integrity of the market could be undermined.
In an interview last week with The New York Times, Gregg E. Berman, the S.E.C. official leading its investigation into the cause of the crash, said he had found no evidence of any intention to disrupt markets on May 6.
Mr. Hunsader said the sharp increase in order frequency, caused by computerized traders shooting rapid-fire buy and sell orders to exchanges, was a trend that had become even more pronounced since May. In some instances, order frequency had risen to as much as 15,000 orders a second in some stocks, he said.
In the new analysis, Nanex says it has identified a crucial one-second period around 14:42 on the afternoon of May 6 just before stocks started to fall. During this period, buy and sell orders shot up markedly.
It says it has also discovered a similar pattern occurring a week earlier on April 28.
Nanex says that so far the immediate causes of the crash seem to be a sale of about $125 million of the most actively traded stock-index derivative contract, known as the 500 e-mini futures contract, on the Chicago Mercantile Exchange followed a fraction of a second later by a big sale of exchange-traded funds on other exchanges. Shortly after these events, the broader stock market went into a free fall.
Go to Flash Crash Analysis from Nanex »
Go to Related Article from The New York Times »
Go to Related Article from The New York Times »
Troubling Trades Found Ahead of Flash Crash - NYTimes.com
September 27, 2010
Graham Bowley, a DealBook colleague, reports:
The Chicago data firm that first identified strange patterns — dubbed “crop circles” — in stock market data around the flash crash on May 6 has put together a new analysis that it says backs the theory that one or more trading firms was intentionally trying to flood exchanges with orders.
The firm, Nanex, hopes the Securities and Exchange Commission and the Commodity Futures Trading Commission will be able to address its analysis in their long-awaited report on the flash crash due to be published before the end of this month.
Eric Scott Hunsader, the founder of Nanex, said the regulators must at least explain why investors and other market participants should not be worried by what it found to be a sharp acceleration in the frequency of orders being sent to exchanges that preceded the plunge in the stock market on May 6.
“They need to address this because if they don’t, the market will address it,” he said, suggesting that confidence in the integrity of the market could be undermined.
In an interview last week with The New York Times, Gregg E. Berman, the S.E.C. official leading its investigation into the cause of the crash, said he had found no evidence of any intention to disrupt markets on May 6.
Mr. Hunsader said the sharp increase in order frequency, caused by computerized traders shooting rapid-fire buy and sell orders to exchanges, was a trend that had become even more pronounced since May. In some instances, order frequency had risen to as much as 15,000 orders a second in some stocks, he said.
In the new analysis, Nanex says it has identified a crucial one-second period around 14:42 on the afternoon of May 6 just before stocks started to fall. During this period, buy and sell orders shot up markedly.
It says it has also discovered a similar pattern occurring a week earlier on April 28.
Nanex says that so far the immediate causes of the crash seem to be a sale of about $125 million of the most actively traded stock-index derivative contract, known as the 500 e-mini futures contract, on the Chicago Mercantile Exchange followed a fraction of a second later by a big sale of exchange-traded funds on other exchanges. Shortly after these events, the broader stock market went into a free fall.
“In our opinion, the event that sparked the rapid sell-off at 14:42:44:075 was an immediate sale of approximately $125 million worth of June 2010 CME eMini futures contracts followed 25ms later by the immediate sale of over $100 Million worth of the top ETF’s.”
But Nanex says that it has now also identified a surge in buy and sell orders that preceded these sales and that this surge may provide the ultimate explanation for the sharp drop in the stock market.
“Approximately 400ms before the eMini sale, the quote traffic rate for all NYSE, NYSE Arca, and Nasdaq stocks surged to saturation levels within 75ms. This is a new and surprising discovery.”
This surge in orders may not have been intended to cause the general market rout. Instead, it may have been intended simply to slow down some markets so that traders could profit by arbitrage with other exchanges, Mr. Hunsader said.
Go to Flash Crash Analysis from Nanex »
Go to Related Article from The New York Times »
Go to Related Article from The New York Times »
Troubling Trades Found Ahead of Flash Crash - NYTimes.com
gipa69
collegio dei patafisici
Report to say Waddell stoked flash crash: source | Reuters
Report to say Waddell stoked flash crash: source
7:44am EDT
By Rachelle Younglai and Jonathan Spicer
WASHINGTON/NEW YORK (Reuters) - A single trade by Waddell & Reed Financial Inc helped spark the cascade of market selling on May 6, said a source familiar with regulators' report on the so-called flash crash.
Waddell, which sold a large order of e-mini futures contracts during the plunge, will not be named in the report, according to the source, who requested anonymity because report has not been made public.
But the report will describe Waddell's trade as a single trade by an entity, the source said.
The May 6 crash sent the Dow Jones industrial average down some 700 points in a matter of minutes before sharply recovering -- an unprecedented breakdown that exposed deep flaws in the electronic marketplace now dominated by high-frequency trading.
Citing an internal exchange document, Reuters on May 14 reported that Waddell & Reed sold a large order of e-minis during the plunge -- identifying the firm that CFTC Chairman Gary Gensler had previously alluded to in congressional testimony.
The Securities and Exchange Commission and Commodity Futures Trading Commission had been expected to release the much anticipated report before October.
But the report must win approval from the majority of the 10 SEC and CFTC commissioners. It is not clear whether all commissioners have had a chance to review the report with two of the SEC commissioners traveling.
Also the CFTC must clear some procedural hurdles so that they are allowed to release information about an investigation.
Top Democratic lawmakers will ask the SEC and CFTC for a copy of the report so that Congress can publicize the findings, a second source familiar with the matter said.
Senate Banking Committee Chairman Christopher Dodd and House Financial Services Committee Chairman Barney Frank will send such letters to the SEC and the CFTC later on Thursday, the source said.
(Editing by Gary Hill)
Report to say Waddell stoked flash crash: source
7:44am EDT
By Rachelle Younglai and Jonathan Spicer
WASHINGTON/NEW YORK (Reuters) - A single trade by Waddell & Reed Financial Inc helped spark the cascade of market selling on May 6, said a source familiar with regulators' report on the so-called flash crash.
Waddell, which sold a large order of e-mini futures contracts during the plunge, will not be named in the report, according to the source, who requested anonymity because report has not been made public.
But the report will describe Waddell's trade as a single trade by an entity, the source said.
The May 6 crash sent the Dow Jones industrial average down some 700 points in a matter of minutes before sharply recovering -- an unprecedented breakdown that exposed deep flaws in the electronic marketplace now dominated by high-frequency trading.
Citing an internal exchange document, Reuters on May 14 reported that Waddell & Reed sold a large order of e-minis during the plunge -- identifying the firm that CFTC Chairman Gary Gensler had previously alluded to in congressional testimony.
The Securities and Exchange Commission and Commodity Futures Trading Commission had been expected to release the much anticipated report before October.
But the report must win approval from the majority of the 10 SEC and CFTC commissioners. It is not clear whether all commissioners have had a chance to review the report with two of the SEC commissioners traveling.
Also the CFTC must clear some procedural hurdles so that they are allowed to release information about an investigation.
Top Democratic lawmakers will ask the SEC and CFTC for a copy of the report so that Congress can publicize the findings, a second source familiar with the matter said.
Senate Banking Committee Chairman Christopher Dodd and House Financial Services Committee Chairman Barney Frank will send such letters to the SEC and the CFTC later on Thursday, the source said.
(Editing by Gary Hill)
gipa69
collegio dei patafisici
E il report della SEC sull'argomento.. papuozzo di 104 pagine che non so se leggerò perchè leggo critiche a riguardo...
http://online.wsj.com/public/resourc...rt10012010.pdf
http://online.wsj.com/public/resourc...rt10012010.pdf
gipa69
collegio dei patafisici
quicksilver
Forumer storico
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