Lightest Volume Week of the Year

http://runningofthebulls.typepad.com/toros_running_of_the_bull/2007/10/lightest-volume.html



Last week was the lightest volume week of the year, with an average NYSE daily volume of 1.099 billion shares. Four of the 10 lightest trading days of the year were last week, with the second lightest on Monday (Columbus Day), the fifth lightest on Friday, the seventh lightest on Wednesday and the tenth lightest on Tuesday.

Of course, markets can still rise on light volume. The danger, however, is that it doesn't take much to knock the market down, as we saw on Thursday when volume came in at 2pm and the S&P 500 fell 200 points from the high.

The market has risen 14% off the lows August 16 lows. However, this rally has been on the back of seven of the eight lightest volume weeks of the year. The market is not rallying on a sturdy foundation.

Morgan Stanley Traders Lost $390 Million in One Day

http://www.bloomberg.com/apps/news?pid=20601087&sid=aY4.Y24hPlxQ&refer=home

Oct. 10 (Bloomberg) -- Morgan Stanley, the world's second- biggest securities firm, said its quantitative strategy traders lost $390 million during a single day in August as their computer models failed to account for ``widespread'' investor selling.

The company's traders lost money on 13 days during the quarter ended Aug. 31, the New York-based firm said in a quarterly regulatory filing today. ``The largest loss days resulted from losses associated with quantitative strategies in early August 2007, when these strategies were adversely affected by widespread portfolio reductions,'' the company said.

Morgan Stanley said last month that the quantitative strategies group lost $480 million during the quarter after being caught off-guard when other investors sold securities to reduce borrowings. Separate areas of the equity sales and trading unit made up for the losses, enabling it to report $1.8 billion of revenue for the third quarter, up 16 percent from a year earlier.

The firm's quantitative trading group, like hedge funds run by Highbridge Capital Management LLC, Tykhe Capital LLC and Goldman Sachs Group Inc., uses mathematical models to pick investments.

Such ``quant'' models began posting steep losses in late July and early August as surging defaults on subprime mortgages triggered a crisis of confidence in credit markets. Stock-market declines followed. The funds were forced to sell more-liquid stock investments to raise cash and reduce debt.

The selling confounded the funds' computer models. Stocks that they anticipated would decline in price rose, and shares that they expected to rise instead fell.

Morgan Stanley disclosed today that daily trading losses during the quarter exceeded the firm's trading value-at-risk calculation on six days during the quarter.

The filing with the U.S. Securities and Exchange Commission also shows that the firm's traders generated more than $100 million of revenue on about 19 days during the quarter.

To contact the reporter on this story: Christine Harper in New York at charper@bloomberg.net .
Last Updated: October 10, 2007 17:56 EDT

Life is about accomplishing your dreams and NOTHING else

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New reserve display requirements take effect tomorrow, 4 October

http://exchanges.nyse.com/archives/2007/10/reserve_display.php

Beginning on October 4, 2007, the NYSE is reducing the minimum displayed size requirement that Floor brokers and specialists must meet to 100 shares1 in order to have non-displayed interest at the NYSE quotation.

The NYSE is retaining the ability for Floor broker and specialist reserve interest to automatically replenish the displayed amount of interest at the NYSE BBO when trades reduce or exhaust such displayed interest. As before,, the displayed quantity will be replenished based on the initial instructions from the Floor broker or specialist.

Example:
Assume a Floor broker or specialist had originally placed 2,000 shares in reserve and had given instructions to maintain 500 shares as a displayed amount in the quote. If an execution takes place which reduces the displayed amount to 200 shares, 300 shares would be shifted from the reserve to replenish the displayed amount.

The NYSE also is retaining the way in which the residual reserve amounts are handled: if the remaining reserve quantity is less than the amount to be displayed then the remainder of the reserve interest will be displayed in full.

Example:
Using the facts of the aforementioned example, if only 200 shares of the original reserve interest remains then the displayed quantity will be the final 200 shares, bringing the total displayed amount to 400 shares.

When entering reserve interest, brokers should be mindful of their best execution obligation to their customers, and should ensure that their choices as to the size of the displayed amount (and the replenishment amount) are consistent with that obligation.

The idea behind this is that brokers will be better able to represent the interests of their customers without tipping their customers' intentions to the world, thus getting a better price and fill. Specialists will be able to add depth more freely without exposing their positions to competitors. The desired end result is that customers will be able to access a deeper pool of liquidity and thus get better trade executions.

Sorry to post this so late in the day, but my today was pretty much like this: meetingmeetingmeetingmeetingsandwichmeetingmeeting...you get the idea. I'm now on my train, where the connectivity is sometimes a little dodgey but the only meeting to be had is meeting the guy sitting next to me who just got on at Secaucus and smells like a Schlitz. But he's reading the Post sports-page-first, so he can't be all bad.

INactivity

With nothing more I feel I need to communicate to myself on paper, I am converting this blog to a posting area for important links, articles, news releases, or whateverthehell I feel is noteworthy for myself or my team.