We were in Lake Jackson, TX, last week for Karen’s HS reunion. South Texas is a sweat lodge this time of year, but the Saint Augustine grass lies lush and luminescent under the sycamores and live oaks. And we saw not one tar ball on Surfside Beach in Freeport.

A word on trading: We expected money to move after options expirations, but changes to program-trading plans came early, on July 14, we observed in the data. So with expirations July 15-16, markets were shellacked when money shifted to other assets. The past two days have given us massive arbitrage around this shift and ahead of tomorrow’s volatility expirations. Thus, the week could end on a rough note, we fear. Continue reading →

Global Statistical Arbitrage is not nearly so good a name for a rock band as the one my lovely Karen quipped after cleaning the glass on a patio door where the cat presses her nose: Snot Mark.

Snot Mark is also a tempting description for what’s happening behind share prices and volume, at least at times. But Global Statistical Arbitrage is more accurate, and widespread. Continue reading →

Spring finally tossed its verdant cape over the Denver Front Range. We saw it firsthand on our bikes from Sedalia to Palmer Lake last weekend, our first 40-plus miler of the year. It’s been too cold! We know you Californians among us are already past the early and midseason allergens.

Meanwhile in Manhattan, down on Old Slip between Water and South streets there hums and whizzes a sharp shop of folks whose cares are far removed from the seasons. And apparently geography too, for Hudson River Trading sits just off the East River. Continue reading →

Sorry we’re late this week! We’re in Las Vegas and the Market Structure Map wanted to stay in Vegas, apparently.

Program trading jumped about 10% in the first few trading days of April, compared to March. We define program trades as mathematical execution in more than one stock at a time that follows a market trend. We believe the increase in part reflects improved institutional and retail commitments to various equity index vehicles. But it also shows how “market neutral” trading strategies that continuously buy and sell a wide variety of securities to achieve small profits when netted out have become mainstream.

It shows up in interesting ways. Continue reading →

You’re at your desk doing a last copy edit on the shareholder letter for the annual report. You glance at your daily trading, as IR folks do. You frown. You drink tepid Starbucks from yesterday and wince. For the third straight day your stock is marching up on light volume.

Continue reading →