Archive for July, 2012

Wild Earnings Swings – Premarket Stock Talk

It was a wild ride in FB, AMZN, and CSTR last night.  Earnings from MRK, and a downgrade of XOM.  We also anlayze AAPL’s new trading range of 570-580.  Full premarket analysis:

HFT Liquidity – Not at the Open

Market pundits say that HFT has increased liquidity and tightened spreads.  This may be true during the middle of the trading day, but does not appear to be true during times of increased risk.  We analyze spreads and HFT liquidity in the first few minutes of trade:

For further information about HFT liquidity at the open: Spreads Narrower and Deeper than ever before? Guess again.

Draghi Spike – Premarket Stock Talk

Draghi says one comment and the S&P rallies 20 points.  This market is definitely headline driven.  We analyze the S&P move, and earnings reports from XOM, UTX, MMM, STX, WDC, and ZNGA.  We also look ahead to AMZN, SBUX, and FB tonight.  Full premarket analysis:

Analysis of the earnings news algorithm can be seen here: News algo burned again

Earnings news algorithm gets burned again

We have been talking on our morning show about the earnings news algorithm.  A lot of HFT firms run news algorithms to take advantage of news events, and to pick-off standing limit orders.  But some firm is running their news algorithm very aggressively this earnings season, and it appears to be getting burned in the process.  We’ve watched this earnings news algo get burned in a number of stocks including Microsoft, Netflix, and now Visa.

Check out today’s tape from Visa:

(Note the ticker tape reads from the bottom-up)

Earnings are released on Visa at 16:05:46, and the news algo goes to work.  It reads the news as positive, and sweeps the book (taking out all the liquidity) up to 128.20, including an aggressive purchase of 9,358 shares at 128.00.  9 seconds later the stock starts trading down over two points from that 128.20 high.

If you add up all the purchases above 127.99, it appears that this algo bought more than 16,000 shares near the top.  If that is the case, this algo is down more than $50K, as Visa is currently trading at 124.50 (at the time of publication).  Maybe this algorithm is making money on other earnings sweeps and it can afford to lose $50K here and there, but that is a lot of coin to just throw away.

In any case, take note if you’re trading a stock after an earnings release because there is some big boys pushing the prices around.

BP Flash Dash Analysis

In a five second period today, BP rose from a price of $39.85, up to $41.03, and back down again.  We show what this looked like in real time:

Nanex provided detailed analysis of this trading activity here: Nanex BP Analysis

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