Category Archives: Algorithms

Apple Pie – Bank Heist

bonnie and clydeI was wondering about insider trading today. Just a thought; a handful of people, Apple insiders, who are at this moment fully aware of what the market will do in 1 hr. Not just Apple. Lets say you’re in the know for the earnings which are due short(ly). Obviously you can’t trade Apple, but as a market moving stock could you just trade the index ahead of the announcement and be free-and-clear of any impropriety? A harmless quicky… I have no idea, but it’s a perfectly simple question. That question lead me to another market moving curiosity.

Did you see that ES flash crash after the fake AP tweet? I’m surprised it’s not bigger news. 260,000 ES contracts traded, $20 billion notational changed hands, and lots of traders got screwed as their stop losses got triggered. And that’s just the S&P futures market! Bonds, European Futures, Forex, VIX, Oil, everybody got hit for 3 minutes. Oh well… In those 3 minutes well over $1 trillion changed hands! Some serious commission…

Obviously most of those trades were algo driven, so maybe the weak link in High Frequency Trading (HFT)  isn’t the speed, or buggy trading programs (Knight…) after all, but the social media resources HFT uses to drive it’s algos. Just sayin, if you’re a bad guy, why try to hack an exchange, a fund, a market moving enterprise, or bank? Hack a Twitter account.

They might just find the culprit by looking at who really, I mean really, profited from that tweet. We just experienced a modern-day bank heist. Hello good guys? Maybe you should be googling B099i3 & C1yd3

Have fun into Apple’s earnings, I personally can’t wait till it’s over.

Google Docs Finance API

Started playing last night with the GoogleDocs API. I was interested in updating indicators (automatically) that I follow in GoogleDocs with the hope that I could transparently publish to brandnet.

The script manages to update stock/etf pricing and keep the chart in sync, when I push ‘update’…

One frustration is that I’m unable to find the global market prices through their API, which for me makes the functionality half-worthless.

Might it be possible to plug into an external source? It looks like I can parse XML, for delayed quotes, but that means I’d have to generate the XML which brings me back to the same point of having to push ‘update’.

You can see the result here. For some of you this might be enough. It’s simply a GoogleDocs spreadsheet which would update your portfolio pricing on the click of a menu item. Let me know if you need the script. You can get my email info on the About Me page.

Good Trading.

SPY Sept. Butterfly Trade Idea

I’m keeping an eye on a 112 / 118 / 124 put butterfly spread that crossed Monday or Tuesday for 46 cents. What caught my attention was the volume. 60k/120k/60k. The trader paid $2,760,000.00 and risks the same. The potential profit is about 15 times that or 30,000,000.00. The probability  that the $SPY falls below 118 is 17%.

How did they target this particular spread? The logic on the chart is semi-clear. You have some good resistance/support at 126 (March, June 2011) again at 118 (October, November 2011) and further out (August, September 2010). This trade expects the $SPY to pull back atleast beyond the high of April 2010 by September expiration. On first glance an agressive bear trade on the $SPY. I’m most perplexed by the choice of the September timeframe.

Just looking at the charts can’t be the whole story. We’re in the mist of a pissing contest in Washington and the rating agencies are saying, ‘Hey Washington don’t forget about us… we’re gonna be here” no matter who pisses the farthest.

I’m making a wild guess that a crack team of analysts built a nice excel spreadsheet. And the conclusion was, one way or another, Washington WILL raise the debt ceiling AND the rating agencies WILL downgrade US debt. Their excel conclusion must have been 118. But maybe this is some elaborate type of hedge! I’d love to speak with whoever put this trade on!

Marketing a Country

Branding your country, your currency, even your quality of life is a dubious task.

(Michael Page has an opening in Nigeria. “Country Marketing Head“)

So how would you rate these words on a scale of 1 to 10? And which countries might you associate with them? What’s the first word that comes to mind after you say these out loud?

  • Republican
  • Democrat
  • Train Wreck (Clue)
  • Right Wing Fundamentalist (not to be confused with word 1)
  • Default

Bullish trading with a total score under 25 worries me… I’m expecting the VIX to give us some clues. The following is a $VIX/$SPY 3 year chart, which I keep an eye on.

Branding your countryRIP Amy Winehouse