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  • Derivative Demons

    Alexander Gloy

    Derivatives are not bad per se. They can help transfer risk. Transfer in time or to a different holder or both. But risk never goes away. In May 2022, the CBOE (Chicago Board of Options Exchange) introduced options on the S&P 500 stock index with expiration on every single day of the week. Meaning traders…

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  • The Little Bank That Lost 17% of GDP

    Alexander Gloy

    It’s true. The #Swiss National Bank (SNB) lost CHF 141 billion in the first 9 months of 2022. This equals to 17% of Swiss GDP (around CHF 800 billion): How could this happen? Around half of losses (CHF 70 billion) came from fixed income securities (as global bond prices fell). CHF 54 billion were losses in equities,…

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  • High Frequency Trading – Around the World in 0.13 Seconds

    Alexander Gloy

    https://www.scribd.com/document/362687902/NEC-2017-10-26-High-Frequency-Trading We look at the following points: What is “High Frequency Trading” What is not “High Frequency Trading” US Market Structure Where is Wall Street? First Encounter with an Algorithm It’s a man’s machines’ world The “SIP” versus Direct Feed Race for Speed, Bandwidth and Computing Power Flash Crashes Share Buy-Backs Are Stock Prices Representative?…

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  • Equity Edge – April 2017

    Alexander Gloy

    Lighthouse – Equity Edge – 2017-04

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  • What the hell just happened – Part 2

    Alexander Gloy

    Part 2 (for part 1, please look here) At the beginning of part 1, I offered three theories to explain what happened on global stocks markets, culminating in the flash crash of August 24, 2015: Flash-crash induced by high-frequency traders and panic-covering of short positions in volatility products US and China mutually crashing each other’s…

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  • What the hell just happened? Part 1

    Alexander Gloy

    Part 1 Most of the year, the S&P 500 Index traded sideways in a narrow range (+- 3% from end of 2014). Then, suddenly, this: The German DAX-Index had been up 26% by April, but had to give up all of its gains: A measurement of expected volatility, the VIX-Index, surged to the highest level…

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  • June NFP

    Alexander Gloy

    US June non-farm payrolls (+223,000) came in roughly in line with expectations (+230,000). However, revisions over the past five months add up to -154,000. Each of the past five months has been revised downwards (something last seen during the 2008/09 financial crisis). No reason to sound the alarm, but definitely worth watching. Year-over-year, employment growth…

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  • Tsipras announces referendum on bailout

    Alexander Gloy

    From FT’s Peter Spiegel: “Alexis Tsipras, the Greek prime minister, has announced a national referendum on whether his country should agree to creditors’ demands that would release desperately-needed bailout aid to avoid national bankruptcy. In a televised address to the nation after a late-night meeting of his cabinet, Mr Tsipras announced that the plebiscite would…

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  • Bank Jog

    Alexander Gloy

    The Wall Street Journal called recent deposit outflows from Greek banks a “bank jog” (as opposed to “bank run”). A bank run usually leads to affected banks running out of cash quickly (within days or hours). The Greek banking system has been bleeding deposits since years. But the movement has been accelerating last week: If…

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  • Count-down to Grexit?

    Alexander Gloy

    The ECB has painted itself into a corner. The table below is quite good. In the left column you see that customers have withdrawn around EUR 40bn from Greek banks since October 2014 (almost a quarter of all deposits). Capital flight is in full bloom. The ECB is keeping the Greek banking system alive by…

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