Addio al flash trading? Aggiornamento al 18 settembre 2009

L'indice S&P500 raggiunge livelli inattesi di forza relativamente alla sua media mobile
a 200 giorni (nella tabella che riporto sotto potete vedere cos'è accaduto in passato quando
il rapporto si è spinto oltre il 1.19 come è accaduto in questi giorni: con qualche eccezione
l'indice ha messo a segno cospicui rialzi nei 9-12 mesi successivi, anche se nel breve termine
ha subito qualche correzione).


Intanto la S.E.C. sembra intenzionata a vietare il flash trading che secondo John Mauldin
è responsabile di gran parte dei volumi sul NYSE e di una inattesa concentrazione
del trading in 4 azioni: Bank of America (BAC), Citigroup (C), Fannie Mae (FNM), and Freddie Mac (FRE). Scrive infatti nella sua ultima lettera settimanale:

How Can Just Four Stocks Be 40% of the NYSE Volume?

Before I hit the send button, a brief comment on a very odd market happening. It appears that recently up to 40% of the volume in the NYSE is in just four low-priced financial stocks. "According to Reuters, four beaten-up financial companies - Bank of America (BAC), Citigroup (C), Fannie Mae (FNM), and Freddie Mac (FRE) - have accounted for upwards of 40 percent of the trading volume on the New York Stock Exchange to begin this week."

The stocks are basically churning in price. Why is this? There are a lot of theories, so let me offer one of my own. I think it has a lot to do with flash trading. As I wrote in a previous letter, with high-frequency program trading hedge funds and sophisticated brokers can make as much as 0.5 cents buying and selling a share of stock at breakeven. Supposedly, the exchanges pay these premiums for adding liquidity. But we are seeing liquidity in stocks where none is needed.

The SEC announced this week that they are going to look into halting these programs. Good. It can't come too soon. Allowing certain funds and brokers to basically front-run the average fund or individual because they have their servers on the actual trading floor is just wrong. This must stop. And if program trading is actually driving the volume in these four names, it needs to be stopped as soon as possible.

Nubi sempre più grigie si addensano sui banchieri e sui meccanismi di compensazione: la posizione del Segretario del Tesoro USA Timothy Geithner è condivisibile: “The simple proposition should be that you don’t want people being paid for taking too much risk, and you want to make sure that their compensation is tied to long-term performance”
Vedremo se le parole saranno seguite dai fatti oppure no.

Ecco l'aggiornamento al 18 settembre 2009.