[NEWS] Una spiegazione più logica al crollo del 6 Maggio?

[Felix]

In questa notizia si parla di opzioni per tentare di spiegare il crollo di Wall Street del 6 Maggio.

Usa: il crollo del 6 maggio innescato da hedge Universa (MF)

MILANO (MF-DJ)--Poco dopo le 14h15 (ora di New York) di giovedi\' scorso, nella sala della compravendita di opzioni di Chicago, l\'hedge fund Universa Investments punta forte, scommettendo che continuera\' il brusco calo delle azioni. In una giornata qualsiasi, scrive MF, questo scambio di 50.000 opzioni del valore di 7,5 milioni di dollari avrebbe influito brevemente sul prezzo dei titoli, provocando poco piu\' di una leggera increspatura delle acque.
Ma in una giornata in cui tutti i mercati finanziari erano profondamente instabili, la puntata puo\' aver inciso in maniera significativa sul collasso dell\'azionario, avvenuto appena venti minuti piu\' tardi. L\'operazione di Universa, hedge fund di cui e\' consulente Nassim Taleb, l\'autore di Il cigno nero: come l\'improbabile governa la nostra vita, ha spinto gli operatori dell\'altro lato della transazione (tra cui Barclays Capital) ad avviare le vendite per compensare i rischi. Mentre il mercato crollava, e\' probabile che questi ribassi abbiano scatenato sempre piu\' vendite "di copertura", creando uno tsunami.
L\'ondata di vendite si e\' propagata in un mercato gia\' teso per la situazione economica europea. Con l\'incremento delle vendite, sembra che una raffica di ordini abbia scombussolato il flusso di dati diretti alle societa\' di intermediazione, come Barclays Capital.
La teoria prevalente fra gli operatori e\' che il fondo legato a Nassim Taleb abbia contribuito a creare un momento "cigno nero", un evento raro e imprevisto che puo\' avere conseguenze devastanti. "Universa non puo\' aver provocato da sola il tracollo", sostiene Mark Spitznagel, fondatore di Universa. "Il mercato aveva raggiunto un punto critico, il crollo era dietro l\'angolo". Barclays Capital non ha invece rilasciato dichiarazioni.

[Cagalli Tiziano]

Re: [NEWS] Una spiegazione più logica al crollo del 6 Maggio?

Ma cosa bevono questi per colazione? :dry:

Universa con 50.000 opzioni può aver provocato che cosa? .... meglio passare al latte e caffe decaffeinato :P

[gothics]

Re: [NEWS] Una spiegazione più logica al crollo del 6 Maggio?

Un tizio all ITForum diceva che le 3 big (GS JPM e MS) hanno staccato le macchinette simultaneamente...

[pidi10]

Re: [NEWS] Una spiegazione più logica al crollo del 6 Maggio?

E sono rimasti senza caffè a colazione?

[gigaset]

Re: [NEWS] Una spiegazione più logica al crollo del 6 Maggio?

Riporto un\'analisi dal blog di Leigh Drogen su quanto accaduto a wall street giovedì 6 Maggio.


"I stared at my screen today at 2:45 PM in almost utter disbelief. 6%…7%…8%…9%…10%…11%…it was the definition of crash.

I went completely to cash last week, except for a very small position in gasoline. I sat at my desk staring at my quote board and charts not believing what I was seeing. Bids were literally disappearing from the screen, some even went to zero, such as a stock I was recently stalking for a long entry, IPXL. It traded at .01$ today, down from 18.48, and closed at 17.66.

Why on earth would this happen? Here’s why, broken robots. For a long while many of us have been sounding alarms about the fact that underneath this market, there is no real fundamental bid, that much of the trading is being done by algorithms which are making markets on incredibly small time frames. The sense that these algos are providing liquidity is a complete sham. Yes, under normal circumstance when the market is trading within a certain set of parameters that the robots’ masters allow them to operate in, the algorithms do narrow spreads. Today though, we saw what happens when those parameters are violated, what happens when the masters turn their robots off, bids are non existent.

So why did bids go to zero, that is the question after all. Here’s my theory, a large quantitative based US equity hedge fund went under today and liquidated its positions. It probably began selling slowly as the day started, and at some point in the afternoon got a margin call and was forced to dump an enormous amount of stock on the market all at once. The markets just could not handle the amount of supply which was given to them, the algos shut off, the humans walked away seeing how much stock there was out there on the ask, and everyone sat on their hands. I’m hearing that the NYSE tried to “slow down” trading so that this wouldn’t happen and the reason we got those crazy prints was because the supply of stock was forced onto the electronic exchanges where there are no human market makers, just computers which shut off at that point, and thus, the bid dropped to zero. The reason I believe this to be the case is because AAPL traded down to 200 today, that’s more than a 20% drop, but if you look, many of the ADRs were not hit like that, foreign stocks were not effected by the massive supply thrown on the market.

So what do we have at the end of the day. Well, politicians will yell and scream about how we need a uptick rule, this or that, how the market isn’t fair for the average joe schmo on main street. Sadly, it’s not about the shorts, it’s about market structure, there really is just no liquidity in this market, and when a large quant fund goes under and liquidates all at once, this is what happens. I wish I was fast enough today and knew what was taking place to grab shares at some of these bargain prices. These were real prices, these were prices that represented the supply and demand for these stocks at that point in time. Those that went to one cent, that’s messed up, but AAPL at 200, that’s supply and demand.

In connection with the liquidity issue, if the government now believes it’s smart to levy a tax on transactions, they better think again. If there’s no liquidity from real buyers and sellers willing to step in to trade a stock when it reaches what they believe to be a “fair price”, just wait until you take away the short term traders from the equation, you are going to have volatility running wild. That’s the last thing we need right now.

So why is this all taking place now. Well, Greece is in some serious trouble along with much of Europe. I heard a rumor today that two European banks stopped trading with each other because they didn’t want to take the counterparty risk. This is what happens when the financial system breaks down. This is not indicative of a fundamentally healthy market. I keep hearing this term “contagion” bandied about regarding the overwhelming levels of sovereign debt in Europe. Let me make this very very clear, that word makes no sense. A contagion is something that spreads from one person who has a disease to another person who didn’t have the disease. Many countries in Europe including Greece, Italy, Portugal, and Spain all have debt issues, it’s not spreading from one to the next, so for god sake, stop using the term contagion. This whole thing feels very similar to the mortgage backed security crisis of 2008 when certain people believed the problem was spreading from one bank to the next. It wasn’t, they all had underlying fundamental problems, they were only uncovered one by one, and then, all at once the market realized that they were all screwed.

This was the basis for my recent notes on Greece being Bear Stearns. I believe now that my analogy is more and more likely to be true. We understand that Greece has major issues, but until now I don’t think traders and investors really believed that the whole of Europe was in similar trouble because of the same underlying fundamental problems. We will witness over the coming months the truth unfurled piece by piece, and when there is finally a moment where everyone realizes that the damage is so great that it is unavoidable that defaults must take place, markets will crash. The only thing that I can see preventing this is the ECB printing their way out of the problem and bailing out each individual country. This is completely possible, in which case the Euro will get completely crush, and afterwards may not even exist.

So at the end of the day, here’s my advice. Stay out of this market, it’s not healthy, it hasn’t been for a few weeks now. I will continue to collect alpha on the downside, sit back and prune my watch lists. Who knows how long we could have to sit out on the long side, the market will do what it wants to do"