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Today, Flat-Price mean reversion algos are selling Wheat, Corn, Soybeans, Soymeal and Soyoil. Trend following algos are selling Wheat and Soymeal. Tues-Thurs, reversion algos sold the above markets, as well as Canola, Rapeseed and Palm Oil (trend also). Alert: if the Grain and Oilseed markets continue to roll-over the large volume trend sell-stops / profit-taking…
Per our report on Monday (copied below) flat-price algos, across disparate styles, exhausted their buying in Copper, Zinc and Silver. They have almost exhausted outstanding buy levels in Aluminum, Nickel and Lead. Last week they establish max long positions in Iron Ore, HRC and Rebar. Monday’s feature was the nearly-synchronized, large volume buying across LME,…
When multiple styles of algorithmic trade flows directionally align with discretionary trade flows in a nearly-synchronized manner across asset classes it can create feedback loops that exaggerate the velocity and magnitude of price path deviations across a wide array of markets. Feedback loops ripple through flat prices, time spreads, relative value spreads and implied volatility…