HY ETF Flash Crash Prevented In Last Minute By 3 PM Market Ramp
While the furious tape painting attempt into quad witching continues courtesy of a surging EURUSD, which we anticipate will sell off shortly once again, as tomorrow brings absolutely nothing actionable out of Greece, a better indication of what is happening in the market are the High Yield ETF JNK/HYG which both were just been punched out. It is unclear if this ETF was the plaything of some HFT algo (we will follow up with Nanex shortly), but it appears that these ETFs would have been a direct casualty had the sell off continued after 3pm, at which point the bidside of the Level 2 order book essentially disappeared, and the only thing that prevented an epic collapse was central bank purchasing of the EURUSD which lifted the entire market. Yet what is nonetheless quite bad for holders is that the JNK/HYG has now taking out not only 2011 lows, but lows unseen since September 2010. The ETFs tend to be a good proxy of the actual cash HY market as can be seen in the second chart below. Which is why we send our condolences to all HY fixed income hedge funds which are about to be dealing with some very substantial margin calls. The crash may have been delayed but has not been prevented.
Intraday:
And comparing the HYG to the HY CDX index:
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Not much ramping in EUR or AUD.
Probably just some Algos that had to puke up some blood for a few hours.
CRB Index still weak, dollar still strong.
Actually, wrong.
market feels washed out for the time being....got to ramp it up for expiration
I agree.
Bandwagoning puts and the inverse funds has been a no-brainer for days on end.
I say we rally hard soon, probably back up to the declining 50-day EMA, then that will be the place to look at more shorts.
Bears have done great the last 30 days, but now they are pressing their bets too hard.
RIOT DOG pisses on your Uncle Gorilla
Beautiful ping off the 200dma on the SPX and the RUT. (Also at very important horizontal pivot support, but momo is telling me that whatever bounce we get should be short lived and we should get a retest.)
It's the S&P that still rules the roost.
But we will get oil down to $85. USO broke support that $38 support. Went long ERY to see how low it goes. Hard rally? will need some serious good news to drive a rally, dont know where it will come from.
Yes RT yes, experiment over. Time to rewind the coils. http://www.youtube.com/watch?v=4YnPJNgrunc&playnext=1&list=PLE18C6B7985FAD71F
And Robo still junkposting...all is well and normal for yet another day!
Time to drink more Kool-Aid
at the tinfoil hat brigade.
Look at the history for HYG. Actually a worse candle on 5/06/2010 and a worse tail on 11/24/2010. Looks like the algos love to gun the stops on the uninitiated. Double digit % total returns in up trends if you kept out of the volatility downdrafts.
We see a flash crash with "milk III" at the CME.
Down by 8.86 %.
Tough job that one of manipulating FX. It takes a CB to be sure, and what's the half-life?
Nasty daily shaping up on the USD though. Let's see how it closes.
Add: Wow, the EUR/USD just keeps going.
it is really moo-ving?
here is a gata piece re: PPT Law of...
1934???
I assumed the smallness of the junk (heh) spread was due to the bernanke put. Bennie will buy them if it all goes to pot sez I. Nobody (read everyone) loses on Bennie's watch.
going watch Phil screw-up another US open...kind of like my trading..long 100 CAT 92.50 calls June...looking for a big up day friday baby....short-covering and greed should do the trick.....Miller-Time.
Look that's like a double-boogie
asian central banks were buying eur on asia's close. obliviously that contiued on europe and us opens, then traders hedge on US markets. desperate. it's a bull trap that should sell into asia's open
most crosses are weak... just a market hedge ala US
on Thu, 06/16/2011 - 16:01
#1375652
There has been an arb here for 3 days, can't believe it took this long to pick it up. HCDX16 was extremely cheap spread to HYG/JNK for the last three days.
All it takes is a lack of liquids for these to come out. When you only have 5-6 trades on the cash side and 300 on the synethic side something has to give. Full disclosure I did clean this out and these aren't the greatest shorting vehicles because of the carrying costs.