The SSE Composite is a weighted index of all stocks traded on the Shanghai Stock Exchange.
2 categories of stocks are traded on the SSE:
A shares are Renminbi denominated shares in Chinese commercial entities, traded on the Shanghai and Shenzen exchanges, and ownable only by Chinese nationals.
B shares, on the other hand, are non-RMB denominated shares, ownable initially only by foreigners, but from 2001 by both foreigners and Chinese nationals.
Showing posts with label index. Show all posts
Showing posts with label index. Show all posts
Saturday, December 12, 2015
Wednesday, November 25, 2015
S&P500 - Price vs Volume - September 2011 to November 2015
Given that the so-called Black Monday of 2011-08-08 (where the markets responded to a downgrade of the US long term credit rating by Standard and Poors) is an extreme event, and arguably marks the next phase of the market, there is some sense in looking at the quality of the market there after.
Volume evaporates on at least two occasions around the current maximums, suggesting that barring further external intervention, we may have reached genuine peak. On the other hand, volume spikes at the support level...
Tuesday, November 24, 2015
In Case You Weren't Paying Attention... Black Monday August 8 2011 - US Credit DownGrade by S&P
So, while I did make a very small amount of money going long in equities starting in 2009, I haven't been an active participant in the markets for some time. I have been acquiring a bricks-and-morter investment in what English law traditionally referred to as the real portion of one's estate.
The upshot of this is that I (somewhat intentionally) haven't been paying very close attention to the financial markets up until very recently, although this is potentially set to change, as I have had a sneaky feeling that things are about to get interesting, and that means potentially profitable!
The previous post asks whether the long-running (since May 2009) global bull market in equities, and more specifically the bull market in US equities, is either set to break, or has already broken.
Looking back, it seems clear that some event in late 2011 resulted in monetary authorities engaging in prolonged material intervention, as evidenced by the unwavering uptrend in equities.
My first guess was that it was the threat of Greece exiting the European Monetary Union (the so-called grexit) that was the catalyst. Looking back at the data, it may also be S&P's downgrade of the US's long term credit rating that was the canary in the coal-mine that triggered a new wave of monetary intervention.
Looking at the intra-day range (100% * (high - low) / close) of the S&P500 index, arguably the simplest metric of volatility, for the period starting around the post-2008 crash lows (March 2009) to present (Nov 2015).
If we arbitrarily consider only days where the intraday range is 4% or greater, the following periods of heightened volatility emerge:
2009 March - April
2011 August - November
2015 August
2009 March
2009-03-02 - 4.262150052795297
2009-03-05 - 4.445095597392138
2009-03-06 - 4.726506482484133
2009-03-10 - 5.603112840466933
2009-03-12 - 5.044356235181288
2009-03-18 - 4.708252029961601
2009-03-23 - 6.204734360569685
2009-03-25 - 4.3507642404285605
2009 April
2009-04-20 - 4.310479462751835
2011 August
2011-08-04 - 5.057204996375217
2011-08-05 - 4.170488085510845
2011-08-08 - 7.074839654833585 ! THE BIG ONE !
2011-08-09 - 6.084279293493569
2011-08-10 - 4.796745065848174
2011-08-11 - 5.542195388183927
2011-08-18 - 5.136544952439391
2011 September October November
2011-09-22 - 4.455717270441582
2011-10-04 - 4.4797366430890975
2011-11-30 - 4.0410277795598795
August 2015
2015-08-24 - 5.183789226851636
2015-08-25 - 4.334956637105361
So, looking into it, August volatility is clearly on the magnitude of a market top or bottom.
Looking further back, 2011-08-08 is the most volatile day for the period, and this is what the wikipedia summary for that day has to say:
In finance and investing, Black Monday 2011 refers to August 8, 2011, when US and global stock markets crashed[1] following the Friday night credit rating downgrade by Standard and Poor's of the United States sovereign debt from AAA, or "risk free", to AA+.[2] It was the first time in history the United States was downgraded.[3] Moody's issued a report during morning trading which said their AAA rating of U.S. credit was in jeopardy, this after issuing a negative outlook in the previous week.[4]
By market close, the Dow Jones Industrial Average lost 634.76 points (-5.55%) to close at 10,809.85, making it the 6th largest drop of the index in history.[5] Black Monday 2011 followed just one trading day behind the 10th largest drop of the Dow Jones Index, a 512.76 (-4.31%) drop on August 4, 2011.
...
The greater context of this being that the US politicans were engaged in a farcical performance wherein it was pretended that US government has any option other than to print more money.
The upshot of this is that I (somewhat intentionally) haven't been paying very close attention to the financial markets up until very recently, although this is potentially set to change, as I have had a sneaky feeling that things are about to get interesting, and that means potentially profitable!
The previous post asks whether the long-running (since May 2009) global bull market in equities, and more specifically the bull market in US equities, is either set to break, or has already broken.
Looking back, it seems clear that some event in late 2011 resulted in monetary authorities engaging in prolonged material intervention, as evidenced by the unwavering uptrend in equities.
My first guess was that it was the threat of Greece exiting the European Monetary Union (the so-called grexit) that was the catalyst. Looking back at the data, it may also be S&P's downgrade of the US's long term credit rating that was the canary in the coal-mine that triggered a new wave of monetary intervention.
Looking at the intra-day range (100% * (high - low) / close) of the S&P500 index, arguably the simplest metric of volatility, for the period starting around the post-2008 crash lows (March 2009) to present (Nov 2015).
If we arbitrarily consider only days where the intraday range is 4% or greater, the following periods of heightened volatility emerge:
2009 March - April
2011 August - November
2015 August
2009 March
2009-03-02 - 4.262150052795297
2009-03-05 - 4.445095597392138
2009-03-06 - 4.726506482484133
2009-03-10 - 5.603112840466933
2009-03-12 - 5.044356235181288
2009-03-18 - 4.708252029961601
2009-03-23 - 6.204734360569685
2009-03-25 - 4.3507642404285605
2009 April
2009-04-20 - 4.310479462751835
2011 August
2011-08-04 - 5.057204996375217
2011-08-05 - 4.170488085510845
2011-08-08 - 7.074839654833585 ! THE BIG ONE !
2011-08-09 - 6.084279293493569
2011-08-10 - 4.796745065848174
2011-08-11 - 5.542195388183927
2011-08-18 - 5.136544952439391
2011 September October November
2011-09-22 - 4.455717270441582
2011-10-04 - 4.4797366430890975
2011-11-30 - 4.0410277795598795
August 2015
2015-08-24 - 5.183789226851636
2015-08-25 - 4.334956637105361
So, looking into it, August volatility is clearly on the magnitude of a market top or bottom.
Looking further back, 2011-08-08 is the most volatile day for the period, and this is what the wikipedia summary for that day has to say:
In finance and investing, Black Monday 2011 refers to August 8, 2011, when US and global stock markets crashed[1] following the Friday night credit rating downgrade by Standard and Poor's of the United States sovereign debt from AAA, or "risk free", to AA+.[2] It was the first time in history the United States was downgraded.[3] Moody's issued a report during morning trading which said their AAA rating of U.S. credit was in jeopardy, this after issuing a negative outlook in the previous week.[4]
By market close, the Dow Jones Industrial Average lost 634.76 points (-5.55%) to close at 10,809.85, making it the 6th largest drop of the index in history.[5] Black Monday 2011 followed just one trading day behind the 10th largest drop of the Dow Jones Index, a 512.76 (-4.31%) drop on August 4, 2011.
...
The greater context of this being that the US politicans were engaged in a farcical performance wherein it was pretended that US government has any option other than to print more money.
Friday, October 9, 2015
Has the US Equity Bull Market Trend Collapsed ?
That's the question that I want to investigate.
Without bothering to define quantitatively what a bull market is, it's intuitively clear that one began in March 2009, which was the bottom of the commodities/credit/equity crash which took place from roughly 2006 to 2009, and continued on until at least August 2015 - a period of approximately 6 years and 6 months.
 | |
| S&P500 Index Close Mar 2009 to October 2015 |
The first task is to break this down into successive phases.
The first phase is probably best defined as the period from the March 2009 bottom to the May 2010 flash crash. This consists of 4 up waves, with the 3rd faltering, and the 4th terminating in the May 2010 flash crash.
The next phase runs from the May 2010 flash crash, to the August 2011 greek euro exit related crash.
From the late 2011 GREXIT collapse, the price index exhibits 2 final bull waves, the first ending with 2012, and the second with a rather dramatic collapse around October 2014.
The final phase, it can be argued, is really more sidewise than directional, although overall still bullish, up until August 2015 - where a high volume crash is experienced.
Monday, August 8, 2011
8 August 2011 - S&P Down 6.66%
So this is what having your sovereign debt rating downgraded from AAA status looks like:
Monday, December 27, 2010
SSE Composite Index
Wikipedia:
The SSE Composite Index (Chinese: 上海证券交易所综合股价指, 简称上证综指) is an index of all stocks (A shares and B shares) that are traded at the Shanghai Stock Exchange.
Price Graphs
Google Finance
Sina[Chinese]
The SSE Composite Index (Chinese: 上海证券交易所综合股价指, 简称上证综指) is an index of all stocks (A shares and B shares) that are traded at the Shanghai Stock Exchange.
Price Graphs
Google Finance
Sina[Chinese]
Wednesday, July 21, 2010
Yahoo Finance Symbols
Assorted equity index ticker symbols for Yahoo Finance
SYMBOL INDEX
-------------------------------------
^GSPC us S&P500
^IXIC us NASDAQ Composite
^DJI us DOW-JONES
^FTSE uk FTSE100
^FCHI french CAC40
^GDAXI german DAX
^N225 japanese NIKKEI
SSE chinese SHANGHAI COMPOSITE
^HSI hong-kong HANG-SENG
Sunday, July 18, 2010
List of Symbols of Companies on the S&P500
comma-separated-values
as at April 1 2010
taken from wikipedia page 2010-07-18
MMM,ABT,ANF,ADBE,AMD,AES,AET,AFL,A,APD,ARG,AKS,AKAM,AA,AYE,ATI,AGN,ALL,ALTR,MO,AMZN,AEE,AEP,AXP,AIG,AMT,AMP,ABC,AMGN,APH,APC,ADI,AON,APA,AIV,APOL,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVB,AVY,AVP,BHI,BLL,BAC,BK,BCR,BAX,BBT,BDX,BBBY,BMS,BRK.B,BBY,BIG,BIIB,HRB,BMC,BA,BXP,BSX,BMY,BRCM,BF.B,CHRW,CA,COG,CAM,CPB,COF,CAH,CFN,CCL,CAT,CBG,CBS,CELG,CNP,CTL,CEPH,CERN,CF,SCHW,CHK,CVX,CB,CI,CINF,CTAS,CSCO,C,CTXS,CLF,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CMCSA,CMA,CSC,CPWR,CAG,COP,CNX,ED,STZ,CEG,CBE,GLW,COST,CVH,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DF,DE,DELL,DNR,XRAY,DVN,DV,DO,DTV,DFS,DISCA,D,RRD,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,EK,ETN,EBAY,ECL,EIX,EP,ERTS,EMC,EMR,ETR,EOG,EQT,EFX,EQR,EL,EXC,EXPE,EXPD,ESRX,XOM,FDO,FAST,FII,FDX,FIS,FITB,FHN,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,F,FRX,FO,BEN,FCX,FTR,GME,GCI,GPS,GD,GE,GIS,GPC,GNW,GENZ,GILD,GS,GR,GT,GOOG,GWW,HAL,HOG,HAR,HRS,HIG,HAS,HCP,HCN,HNZ,HP,HES,HPQ,HD,HON,HRL,HSP,HST,HCBK,HUM,HBAN,ITW,TEG,INTC,ICE,IBM,IFF,IGT,IP,IPG,INTU,ISRG,IVZ,IRM,ITT,JBL,JEC,JNS,JDSU,JNJ,JCI,JPM,JNPR,K,KEY,KMB,KIM,KG,KLAC,KSS,KFT,KR,LLL,LH,LM,LEG,LEN,LUK,LXK,LIFE,LLY,LTD,LNC,LLTC,LMT,L,LO,LOW,LSI,MTB,M,MRO,MAR,MMC,MI,MAS,MEE,MA,MAT,MFE,MKC,MCD,MHP,MCK,MJN,MWV,MHS,MDT,WFR,MRK,MDP,MET,PCS,MCHP,MU,MSFT,MIL,MOLX,TAP,MON,MWW,MCO,MS,MOT,MUR,MYL,NBR,NDAQ,NOV,NSM,NTAP,NYT,NWL,NEM,NWSA,NEE,GAS,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NU,NOVL,NVLS,NRG,NUE,NVDA,NYX,ORLY,OXY,ODP,OMC,OKE,ORCL,OI,PCAR,PTV,PLL,PH,PDCO,PAYX,BTU,JCP,PBCT,POM,PEP,PKI,PFE,PCG,PM,PNW,PXD,PBI,PCL,PNC,RL,PPG,PPL,PX,PCP,PFG,PG,PGN,PGR,PLD,PRU,PEG,PSA,PHM,QLGC,PWR,QCOM,DGX,STR,Q,RSH,RRC,RTN,RHT,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RDC,R,SWY,SAI,CRM,SNDK,SLE,SCG,SLB,SNI,SEE,SHLD,SRE,SHW,SIAL,SPG,SLM,SII,SJM,SNA,SO,LUV,SWN,SE,S,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,SUN,STI,SVU,SYMC,SYY,TROW,TGT,TE,TLAB,THC,TDC,TER,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TIE,TJX,TMK,TSS,TSN,USB,UNP,UNH,UPS,X,UTX,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VZ,VIAb,V,VNO,VMC,WMT,WAG,DIS,WPO,WM,WAT,WPI,WLP,WFC,WDC,WU,WY,WHR,WFMI,WMB,WIN,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,YHOO,YUM,ZMH,ZION,
as at April 1 2010
taken from wikipedia page 2010-07-18
MMM,ABT,ANF,ADBE,AMD,AES,AET,AFL,A,APD,ARG,AKS,AKAM,AA,AYE,ATI,AGN,ALL,ALTR,MO,AMZN,AEE,AEP,AXP,AIG,AMT,AMP,ABC,AMGN,APH,APC,ADI,AON,APA,AIV,APOL,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVB,AVY,AVP,BHI,BLL,BAC,BK,BCR,BAX,BBT,BDX,BBBY,BMS,BRK.B,BBY,BIG,BIIB,HRB,BMC,BA,BXP,BSX,BMY,BRCM,BF.B,CHRW,CA,COG,CAM,CPB,COF,CAH,CFN,CCL,CAT,CBG,CBS,CELG,CNP,CTL,CEPH,CERN,CF,SCHW,CHK,CVX,CB,CI,CINF,CTAS,CSCO,C,CTXS,CLF,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CMCSA,CMA,CSC,CPWR,CAG,COP,CNX,ED,STZ,CEG,CBE,GLW,COST,CVH,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DF,DE,DELL,DNR,XRAY,DVN,DV,DO,DTV,DFS,DISCA,D,RRD,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,EK,ETN,EBAY,ECL,EIX,EP,ERTS,EMC,EMR,ETR,EOG,EQT,EFX,EQR,EL,EXC,EXPE,EXPD,ESRX,XOM,FDO,FAST,FII,FDX,FIS,FITB,FHN,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,F,FRX,FO,BEN,FCX,FTR,GME,GCI,GPS,GD,GE,GIS,GPC,GNW,GENZ,GILD,GS,GR,GT,GOOG,GWW,HAL,HOG,HAR,HRS,HIG,HAS,HCP,HCN,HNZ,HP,HES,HPQ,HD,HON,HRL,HSP,HST,HCBK,HUM,HBAN,ITW,TEG,INTC,ICE,IBM,IFF,IGT,IP,IPG,INTU,ISRG,IVZ,IRM,ITT,JBL,JEC,JNS,JDSU,JNJ,JCI,JPM,JNPR,K,KEY,KMB,KIM,KG,KLAC,KSS,KFT,KR,LLL,LH,LM,LEG,LEN,LUK,LXK,LIFE,LLY,LTD,LNC,LLTC,LMT,L,LO,LOW,LSI,MTB,M,MRO,MAR,MMC,MI,MAS,MEE,MA,MAT,MFE,MKC,MCD,MHP,MCK,MJN,MWV,MHS,MDT,WFR,MRK,MDP,MET,PCS,MCHP,MU,MSFT,MIL,MOLX,TAP,MON,MWW,MCO,MS,MOT,MUR,MYL,NBR,NDAQ,NOV,NSM,NTAP,NYT,NWL,NEM,NWSA,NEE,GAS,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NU,NOVL,NVLS,NRG,NUE,NVDA,NYX,ORLY,OXY,ODP,OMC,OKE,ORCL,OI,PCAR,PTV,PLL,PH,PDCO,PAYX,BTU,JCP,PBCT,POM,PEP,PKI,PFE,PCG,PM,PNW,PXD,PBI,PCL,PNC,RL,PPG,PPL,PX,PCP,PFG,PG,PGN,PGR,PLD,PRU,PEG,PSA,PHM,QLGC,PWR,QCOM,DGX,STR,Q,RSH,RRC,RTN,RHT,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RDC,R,SWY,SAI,CRM,SNDK,SLE,SCG,SLB,SNI,SEE,SHLD,SRE,SHW,SIAL,SPG,SLM,SII,SJM,SNA,SO,LUV,SWN,SE,S,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,SUN,STI,SVU,SYMC,SYY,TROW,TGT,TE,TLAB,THC,TDC,TER,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TIE,TJX,TMK,TSS,TSN,USB,UNP,UNH,UPS,X,UTX,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VZ,VIAb,V,VNO,VMC,WMT,WAG,DIS,WPO,WM,WAT,WPI,WLP,WFC,WDC,WU,WY,WHR,WFMI,WMB,WIN,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,YHOO,YUM,ZMH,ZION,
Friday, May 7, 2010
May 6 2010 'Flash Crash' Redux
Thursday March 6 2010, most American equity market indices (S&P500, DOW, NASDAQ) experienced exponential decay, when the price curve started to tend to bankruptcy. The market miraculously recovered at some point, closing only 3.5% down on the day, up from the floor of 10% down - making this one of the single biggest intra-day movement in history ?
Subsequent justifications blame algorithmic trading agents, but the decay curve is smooth, and if you look at the market decay in the leading couple of days, it is clear that this is the climax of a process, not just an on the day event.
The VIX tells a clear story of a period of time, not a single mistake transaction involving mistenly bumping up your order size 3 orders of magnitude.
CNBC shows footage of violent riots in Greece in the period immediately preceding and during the event climax
Asian markets open sharply down, with the Bank of Japan offering additional overnight facilities denominated in, of course, yen - Y2000bn (USD21.6bn), with 75% of this being taken up. This is to cater to the increased demand for Yen that has resulted from the net selling of Euros.
CNBC talking head
max keyser
http://maxkeiser.com/
CNN Money
Business Week
Yahoo
CNBC starts with sentiment damage control
My god, was it a glitch, CYB3R-T3RRORISM, or simply an algo-accelerated rational exit from an overbought point
[Rishi Narang - Inside the Black Box - founder of the hedge fund Telesis Capital]
CNN Money - The Day's Trading in Review
CNBC - Jim Roger's 2 Cents
CNBC - Certain Trades to be Reversed
NYTimes - The Biggest Drops in US Market History
Spreads on US Corporate Paper Increase
Michael A. Yoshikami
High Frequency Trading on the NYSE
CNN Blogs - Markets Turn Wild and Wooly
CNBC - High-Speed Trading Glitch Costs Investors Billions
The Economist - So, About That Crash...
A couple of explanations for the fear of May 6
http://www.reuters.com/article/idUSTRE6471D820100508?loomia_ow=t0:s0:a49:g43:r3:c0.072503:b33799284:z0
Reuters - Global Markets Week Ahead - Greek Crisis Goes Viral
NYT - The Next Day - An Official Explanation Becomes More Candid
Turngin to cosider the role of algo-traders in this event
Thursday’s Talk of New Rules to Prevent Future Stock Free Falls
Should you believe a Cretan who tells you he's lying?
The Monday After
NY-Times REPORT on MONDAY's MARKET RESPONSE
OUT OF PLACE
Dollar Libor Holds Near Nine-Month High After EU Loan Package
>Unsurpisingly, the SEC finds no simple single cause, but is still calling the event market failure instead of a fast-pace market correction.
SEC chairman Mary Schapiro told a Congressional hearing that the markets had "failed" many investors. ... "The sudden evaporation of meaningful prices for many major exchange-listed stocks in the middle of a trading day is unacceptable and clearly contrary to the vital policy objective of maintaining fair and orderly financial markets," Mrs Schapiro said."
This is total bullshit. The market is totally overbought while the global system is under massive pressure. A sell-off was inevitable, its just that the new dominance of algo traders means that a sell-off can now be nastier and more sudden than ever before. What the SEC is saying is that they will manipulate the market until it functions they want it to.
Market Inquiry Focuses on One Trader
Did a Big Bet Help Trigger 'Black Swan' Stock Swoon? - It was actually Taleb's cynicism
Regulators decide that plunge wasn't actually cyber-terrorism after all, whew!
Commentary: Market Madness
-- SHOULD ADD SECTION AT THE END TO SHOW HOW 1987 CRASH ALSO CLIMAXED IN 3 MINS OF TRADING
http://www.marketwatch.com/story/sec-looks-to-avoid-future-flash-crash-2010-11-08
------------------
Program short sales by Waddell & Reed were deemed to have been the cause of the crash by a congression inquiry.
ZeroHedge:
SEC Releases Final Flash Crash Report - Waddell And Reed Blamed As Selling Catalyst
Huffington Post:
'Flash Crash' Report: Waddell & Reed's $4.1 Billion Trade Blamed For Market Plunge
Reuters:
Single trade helped spark May's flash crash
Subsequent justifications blame algorithmic trading agents, but the decay curve is smooth, and if you look at the market decay in the leading couple of days, it is clear that this is the climax of a process, not just an on the day event.
The VIX tells a clear story of a period of time, not a single mistake transaction involving mistenly bumping up your order size 3 orders of magnitude.
CNBC shows footage of violent riots in Greece in the period immediately preceding and during the event climax
Asian markets open sharply down, with the Bank of Japan offering additional overnight facilities denominated in, of course, yen - Y2000bn (USD21.6bn), with 75% of this being taken up. This is to cater to the increased demand for Yen that has resulted from the net selling of Euros.
CNBC talking head
max keyser
http://maxkeiser.com/
CNN Money
Business Week
Yahoo
CNBC starts with sentiment damage control
My god, was it a glitch, CYB3R-T3RRORISM, or simply an algo-accelerated rational exit from an overbought point
[Rishi Narang - Inside the Black Box - founder of the hedge fund Telesis Capital]
CNN Money - The Day's Trading in Review
CNBC - Jim Roger's 2 Cents
CNBC - Certain Trades to be Reversed
NYTimes - The Biggest Drops in US Market History
Spreads on US Corporate Paper Increase
Michael A. Yoshikami
High Frequency Trading on the NYSE
CNN Blogs - Markets Turn Wild and Wooly
CNBC - High-Speed Trading Glitch Costs Investors Billions
The Economist - So, About That Crash...
A couple of explanations for the fear of May 6
http://www.reuters.com/article/idUSTRE6471D820100508?loomia_ow=t0:s0:a49:g43:r3:c0.072503:b33799284:z0
Reuters - Global Markets Week Ahead - Greek Crisis Goes Viral
NYT - The Next Day - An Official Explanation Becomes More Candid
Turngin to cosider the role of algo-traders in this event
Thursday’s Talk of New Rules to Prevent Future Stock Free Falls
Should you believe a Cretan who tells you he's lying?
The Monday After
NY-Times REPORT on MONDAY's MARKET RESPONSE
OUT OF PLACE
Dollar Libor Holds Near Nine-Month High After EU Loan Package
>Unsurpisingly, the SEC finds no simple single cause, but is still calling the event market failure instead of a fast-pace market correction.
SEC chairman Mary Schapiro told a Congressional hearing that the markets had "failed" many investors. ... "The sudden evaporation of meaningful prices for many major exchange-listed stocks in the middle of a trading day is unacceptable and clearly contrary to the vital policy objective of maintaining fair and orderly financial markets," Mrs Schapiro said."
This is total bullshit. The market is totally overbought while the global system is under massive pressure. A sell-off was inevitable, its just that the new dominance of algo traders means that a sell-off can now be nastier and more sudden than ever before. What the SEC is saying is that they will manipulate the market until it functions they want it to.
Market Inquiry Focuses on One Trader
Did a Big Bet Help Trigger 'Black Swan' Stock Swoon? - It was actually Taleb's cynicism
Regulators decide that plunge wasn't actually cyber-terrorism after all, whew!
Commentary: Market Madness
-- SHOULD ADD SECTION AT THE END TO SHOW HOW 1987 CRASH ALSO CLIMAXED IN 3 MINS OF TRADING
http://www.marketwatch.com/story/sec-looks-to-avoid-future-flash-crash-2010-11-08
------------------
Program short sales by Waddell & Reed were deemed to have been the cause of the crash by a congression inquiry.
ZeroHedge:
SEC Releases Final Flash Crash Report - Waddell And Reed Blamed As Selling Catalyst
Huffington Post:
'Flash Crash' Report: Waddell & Reed's $4.1 Billion Trade Blamed For Market Plunge
Reuters:
Single trade helped spark May's flash crash
Monday, October 5, 2009
CBOE Volatility Index (VIX)
WikiPedia Entry:
"VIX is the ticker symbol for the Chicago Board Options Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options. Often referred to as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period."
Yahoo Finance Page
"VIX is the ticker symbol for the Chicago Board Options Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options. Often referred to as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period."
Yahoo Finance Page
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