m*z
发帖数: 2356 | 1 Normally I only monitor the first hour or so of paper activities in the S&P
pit each day. I got up early this morning and the U.S. market was still open
though only for the last few minutes. There were massive paper sell orders
on the cash close right on 4PM by MS, JP, GS, Chi Corp (used to be ABN AMRO
as a lot of people have been private-messaging me asking what Chi Corp is).
I counted at least 2000 cars sold (roughly 500 cars each) on the cash close.
This is not a good sign for tomorrow. I suspect the institutions are
expecting (or already known through their contacts) for a much worse than
expected GDP estimate revision. | m*z
发帖数: 2356 | 2 他所说应该就是我常说的S&P 期指,1 CAR就是一个CONTRACT.
P
open
orders
AMRO
.
close.
【在 m*z 的大作中提到】
: Normally I only monitor the first hour or so of paper activities in the S&P
: pit each day. I got up early this morning and the U.S. market was still open
: though only for the last few minutes. There were massive paper sell orders
: on the cash close right on 4PM by MS, JP, GS, Chi Corp (used to be ABN AMRO
: as a lot of people have been private-messaging me asking what Chi Corp is).
: I counted at least 2000 cars sold (roughly 500 cars each) on the cash close.
: This is not a good sign for tomorrow. I suspect the institutions are
: expecting (or already known through their contacts) for a much worse than
: expected GDP estimate revision.
| M*****g
发帖数: 3145 | 3 花儿街的mm们，来，爷给你笑一个，咱一块儿下地狱吧。哈哈 | m*z
发帖数: 2356 | 4 [知识] S&P Pit terminology(转贴)
(1) What market am I providing information on?
S&P 500 Futures pit
(2) How do I know what institutions are doing?
I subscribe to trader's audio which broadcasts live from S&P pit in CME
Chicago office. The broadcasters provide information in real time on
activities of the pit itself, including details of institutional desks (who
have designated dealers in the pit).
(3) Who is a local?
A local is a market maker in the S&P pit who provides liquidity and market
making services. They either take the other side of institutional positions
or flip the positions by on-selling the positions via E-mini contracts.
Locals trade on their own accounts and typically goes home flat for the day
(as in they only day trade and usually do not take overnight positions). The
locals are very experienced and are very resilient. They can sniff out
blood (both bull and bears) better than most traders and makes a living
being the counter-party to institutions.
(4) What is paper?
Papers refer to institutional orders. In COTS report, they are typically
referred to as Commercials. Institutional orders could be further classified
into retail paper vs professional paper. Retail papers are orders routed by
Institutions on behalf of their clients, some of them mutual funds (hence
retail). Professional papers usually refer to institution's positions traded
on their own accounts or on behalf of well heeled clients.
(5) What is the use of knowing how papers and locals are positioned?
Locals usually fade paper positions (that is local would buy from paper
should paper sells and vice versa). Hence if locals are able to lift bids
despite paper offers then potentially locals are having an upper hand (
aided by other traders on e-mini) and locals will eventually sell to
institutional papers that either buys to cover or buy on breakout. Similarly
, if locals are getting run over despite being heavily long, then we could
be looking at a significant trend day developing.
(6) An example how to take advantage of institutional and locals' positions
Yesterday off the open (July 1 2010) , locals went long and lifted the
market up and sold some of their positions to institution buy papers.
However, with the release of numbers at 10AM, market quickly sold off with
size offers from papers trapping locals. Locals quickly flattened out. One
could start to take a position short as soon as the institution papers
started hitting and locals were stuck long. Local went long again when S&P
made a new low print. However they quickly flattened out as S&P rebounded
from the low. If you are as quick as the locals, you could have tried going
long from there. Finally, S&P future made a final low around 11:05AM. I
commented that that low was made with low volume (unlike the earlier ones
that were precipitated by a massive 500 cars order from Swiss bank) and on
the way up from the low print, G&S started buying with locals long the 3rd
time of the day. If you know market profile and you believe GS has an
uncanny ability to pick the bottom, then you know we could have seen the low
of the day (which it happened to be). I am not saying this sort of scenario
would play out each time (as GS was run over on the sell-off on the 29th
June despite going long off the open with the locals). |
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