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quello che mi sorprende di più è che hanno fatto esattamente la chiusura del gap up come nelle preghiere degli shorters fritti ieri
pfm
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Here Is What Triggered Today's Sudden Stock Liquidation
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by Tyler Durden
Tue, 12/04/2018 - 13:07
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Earlier this morning, Nomura's Charlie McElligott noted something which in retrospect was quite prophetic: the cross-asset strategist highlighted that his Risk Parity model showed that the market's most important strategy is in "de-risking" mode as the economic cycle turns sharply:
In a positioning confirmation / “nod” then to this growth- and inflation- slowdown scenario, it is finally worth noting that we see our Risk Parity model having added enormous notional size in global Government Bonds (USTs and JGBs) over the past month, against very large selling of global Equities and Credit.
The implication - and confirmation - judging by today's market, is that the trade was a long way from finished, looking at the recent risk parity deleveraging in equities...
... offset by buying of gov't bonds.
But while ongoing (relatively slow) risk parity deleveraging may explain the pressure on the market over the past month, the reason for the sharp waterfall in US stocks just after 12pm ET...
... has to do with another systematic "trader" type in the market: namely the much faster CTAs, or managed futures funds, which do nothing but chase market momentum once it has been established.
As McElligott writes in a follow-up note the Nomura CTA Trend model "is again deleveraging massive notional in long US Equities expressions across SPX, RTY and NDX live."
This is more about performance and year-end timing than the curve inversion / “growth scare” story…but that certainly is not helping the sentiment here either, as stops are being triggered across fundamental and rules-based strats.
More importantly, McElligott identifies the specific deleveraging "trigger" behind the S&P waterfall liquidation, which was due to a massive CTA selling order, which was unleashed once deleveraging stops were hit in the S&P. Specifically, the SPX model was triggered to sell down at 2,763 with $32.8B notional for sale, reducing CTAs from "+100% Max Long" down to "+65% Long."
One the selling program hit, it was lights out and the number of stocks that were sold off all at once, as measured by the NYSE Uptick-Downtick index, reached a negative 1,459, which was among the 10 worst readings of the year. Meanwhile, as Bloomberg's Andrew Cinko writes, the breadth of the S&P 500's decline sits at 88% currently, ranking it among the worst of the year, though remember that in February and April it was well north of 95%. So there's plenty of room for it to get uglier...
... and it very well might: if the S&P drops another 20 or so points, as the next sell point just under 2,711, where -$32.4B additional notional for sale, with “Max Short” level now lower at 2574, at which point the market would be flooded with -$122B notional in selling volume.
And here are the CTA trigger points visually.
Profile picture for user Tyler Durden
by Tyler Durden
Tue, 12/04/2018 - 13:07
22
SHARES
TwitterFacebookRedditEmailPrint
Earlier this morning, Nomura's Charlie McElligott noted something which in retrospect was quite prophetic: the cross-asset strategist highlighted that his Risk Parity model showed that the market's most important strategy is in "de-risking" mode as the economic cycle turns sharply:
In a positioning confirmation / “nod” then to this growth- and inflation- slowdown scenario, it is finally worth noting that we see our Risk Parity model having added enormous notional size in global Government Bonds (USTs and JGBs) over the past month, against very large selling of global Equities and Credit.
The implication - and confirmation - judging by today's market, is that the trade was a long way from finished, looking at the recent risk parity deleveraging in equities...
... offset by buying of gov't bonds.
But while ongoing (relatively slow) risk parity deleveraging may explain the pressure on the market over the past month, the reason for the sharp waterfall in US stocks just after 12pm ET...
... has to do with another systematic "trader" type in the market: namely the much faster CTAs, or managed futures funds, which do nothing but chase market momentum once it has been established.
As McElligott writes in a follow-up note the Nomura CTA Trend model "is again deleveraging massive notional in long US Equities expressions across SPX, RTY and NDX live."
This is more about performance and year-end timing than the curve inversion / “growth scare” story…but that certainly is not helping the sentiment here either, as stops are being triggered across fundamental and rules-based strats.
More importantly, McElligott identifies the specific deleveraging "trigger" behind the S&P waterfall liquidation, which was due to a massive CTA selling order, which was unleashed once deleveraging stops were hit in the S&P. Specifically, the SPX model was triggered to sell down at 2,763 with $32.8B notional for sale, reducing CTAs from "+100% Max Long" down to "+65% Long."
One the selling program hit, it was lights out and the number of stocks that were sold off all at once, as measured by the NYSE Uptick-Downtick index, reached a negative 1,459, which was among the 10 worst readings of the year. Meanwhile, as Bloomberg's Andrew Cinko writes, the breadth of the S&P 500's decline sits at 88% currently, ranking it among the worst of the year, though remember that in February and April it was well north of 95%. So there's plenty of room for it to get uglier...
... and it very well might: if the S&P drops another 20 or so points, as the next sell point just under 2,711, where -$32.4B additional notional for sale, with “Max Short” level now lower at 2574, at which point the market would be flooded with -$122B notional in selling volume.
And here are the CTA trigger points visually.
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hanno SOSPESO il fib9c... ora ha riaperto... magheggi
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sì, come con quello di lunedì scorso...
kevlar79
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MiniMar19 18780 minimo. Qualcuno ha raccolto a piene mani
qualunque
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Eh niente, meglio che taccio.
Nessuno può prevedere i mercati con precisione. Ma è semplice prevedere certi post.
Saluti e in bocca al lupo
spyke, oggi non c'ero ma onestamente nn credo che avrei chiuso posizioni. Sicuramente nn mi aspettavo questa debacle in USa...vediamo come chiude...
come scrivevo ieri, una salita basata su due gap da weekend mi faceva un po cag are sotto. Ad ora, il fib sta camminando sulla EMA 20, (area 19.100) che poi è dove era stato tutta la settimana scorsa dopo il primo gap, e da dove, una risalita più lenta, a mio parere, potrebbe avere senso. Io, un mini, con stop strettissimo, l'ho preso.
qualunque
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secondo me hai fatto bene...ma vedremo domani
Ciao qual.
Non mi riferivo a te
Però è disarmante leggere certi interventi e non ho proprio voglia di polemizzare. Uno può anche mettere soldi a mercato ma qui dentro glieli si lascia nella più completa casualità
point break13
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Mecojoni se vanno in recessione anche loro a noi che succede ?
Mi rode solo di aver chiuso troppo presto lo short su ucg.
Torniamo al baratto. Decrescita in-felice...
SNaa
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Bello, qui divertimento unico!! In tanti credono di saperne più degli istituzionali e non hanno l'umiltà di mettersi in discussione.
Eh niente, meglio che taccio.
Nessuno può prevedere i mercati con precisione. Ma è semplice prevedere certi post.
Saluti e in bocca al lupo
Anzi, fanno sberleffi a quelli che non tifano ma cercano di ragionare. Di proporre valutazioni sul probabile andamento del mercato dettato dalla logica del seguire i Grandi operatori.
Ho riletto il vecchio 3D e i messaggi di questo, risate a gogò per l'insipienza e la sottovalutazione di quanto avviene e soprattutto per l'incapacità di copiare, o cercare di farlo, le mosse di chi gli apparecchia il piatto e gli offre una via operativa valida.
E' vero, il Parco Buoi non è andato in pensione. Rimarrà eterno, se no chi mette i soldi nel piatto?
xinian70
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Bello, qui divertimento unico!! In tanti credono di saperne più degli istituzionali e non hanno l'umiltà di mettersi in discussione.
Anzi, fanno sberleffi a quelli che non tifano ma cercano di ragionare. Di proporre valutazioni sul probabile andamento del mercato dettato dalla logica del seguire i Grandi operatori.
Ho riletto il vecchio 3D e i messaggi di questo, risate a gogò per l'insipienza e la sottovalutazione di quanto avviene e soprattutto per l'incapacità di copiare, o cercare di farlo, le mosse di chi gli apparecchia il piatto e gli offre una via operativa valida.
E' vero, il Parco Buoi non è andato in pensione. Rimarrà eterno, se no chi mette i soldi nel piatto?
Tu sei long per i 19800 giusto?
gli istituzionali sono long per i 20000 o short per i 19000 ?
fradar
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A sto punto in questa bisca globalizzata ci affidiamo nelle mani del Padre Eterno.