Flat-Price Strategies Corn: partial liquidation of longs Fri thru Mon – now, multiple sells-stops nearby: Wheat CBOT and KCBT: partial liquidation of long positions late Apr – multiple buys nearby: Soybeans: large liquidity last week thru Mon exhausted sells; buy levels are now far above current price: Soy Meal: liquidation of long…
Today, disparate styles of Flat-Price Algorithms are buyers of Hub Nat Gas, mostly in Feb futures. Calendar Strip Algos are positioned around flat Summer21 through Cal22 with buy and sell levels relatively distant. Time Spread Algos have not been active due to lack of curve movement; they have buy-stops nearby in H/J and U/V. Flat-Price…
Flat-Price Trend Algos are selling HH Natural Gas, mostly in March futures. Yesterday, Trend, Value Pattern and Mean Reversion Algos were sellers. These collective flows are pressuring flat-prices, cal strips and time spreads. Our Jan 4th report (provided at bottom) demonstrates their buying flows supporting everything in the 1st week of the year. Calendar Strip Algos…
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…