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zee4


Total Posts: 89
Joined: May 2010
 
Posted: 2021-01-26 21:32
to 1000?

Бухарский

Alfa


Total Posts: 16
Joined: Jun 2018
 
Posted: 2021-01-27 02:48
RobinHood finally lives up to its name. To be or not on Friday.

silverside


Total Posts: 1440
Joined: Jun 2004
 
Posted: 2021-01-28 09:07
can somebody explain this simply?

is it a classic "short squeeze" albeit driven unusually by mass market investors ?

doomanx


Total Posts: 113
Joined: Jul 2018
 
Posted: 2021-01-28 12:27
Having priced a lot of retail flow, it's very unlikely retail alone is enough to actually make this kind of impact. In reality it's likely other institutional flow has jumped on the bandwagon and is targetting these shorts.

If I'm correct the problem for retail types is it doesn't really matter when they sell, it matters when the serious money decides to get out at which point it might be too late. Classic pump and dump shit. But I could be wrong - I don't have access to Robinhood data for example. Just my 2c having priced a lot of retail flow.

Also hedging of high-gamma options creates disproportionate flows in the underlying, which is probably contributing a decent amount.

did you use VWAP or triple-reinforced GAN execution?

ronin


Total Posts: 679
Joined: May 2006
 
Posted: 2021-01-28 14:36
Just looked at some numbers, out of interest.

ADV over the last two weeks is 10 yard. ADV over the previous year is 70 bucks.

10 yard is a lot for retail. Assuming 10k per retail account, you need a million of them. It's not impossible, but it takes a lot of organising.

But then, wtf would a 10 yard trader be doing with GME with its 70 bucks ADV? I can't see any risk controls letting this pass.

High gamma options two weeks ago would have been Jan expiry with strike 20 or so. Once spot hit 40 the next day, Jan expiry with strike 20 had zero gamma. They wouldn't have bought more.

So, like Sherlock Holmes says, eliminate the impossible. What remains is what it says on the box, however improbable.

"There is a SIX am?" -- Arthur

doomanx


Total Posts: 113
Joined: Jul 2018
 
Posted: 2021-01-28 15:47
Great analysis ronin. Seems like retail might be playing a larger part than I thought; my prior experience pricing retail has them marked about as capable and impactful as ants, but I suppose if you somehow get enough ants to mobilise on the same task they can overachieve.

did you use VWAP or triple-reinforced GAN execution?

Maggette


Total Posts: 1307
Joined: Jun 2007
 
Posted: 2021-01-28 16:16
Hi.

If it's true that RobinHood is one of the major brokerages that they trade through that leads to some interesting questions. It is my understanding that RH sells its order flow. I understand that as an market maker I want retail order flow. A bunch of uncorrelated noise traders to provide liquidity with zero adverse selection risk. But what happens if that order flow is long only...and actually isn't zero adversse selection risk any more?

I still don't get the "small guys sticking it to the fat cats" narrative though? The stock is owned by Blackrock, Vanguard and the usual suspects.

All bat-shit crazy.

And I would guess right now the retailer trading among themselves.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

prikolno


Total Posts: 94
Joined: Jul 2018
 
Posted: 2021-01-28 16:31
It's hard to monetize the flow if it's concentrated and highly directional.

ronin


Total Posts: 679
Joined: May 2006
 
Posted: 2021-01-28 16:46
Retail has phase transitioned into nematic...

Good point @maggette. I can't imagine anyone wanting to pay money for retail flow after this. And what that means for mms in the future, who knows.

Did any mms get run over then? Those 100 yard came from somewhere, and that somewhere ain't Plotkin. But I haven't heard anything.

"There is a SIX am?" -- Arthur

Maggette


Total Posts: 1307
Joined: Jun 2007
 
Posted: 2021-01-28 17:40
Accordingly (as expected) several Brokers stopped long orders.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

doomanx


Total Posts: 113
Joined: Jul 2018
 
Posted: 2021-01-28 17:48
@prikolno tried to make this point to several disheveled friends that texted me today asking why the establishment is stopping them from buying more of this shit.

According to this survey (which is probably very noisy) https://www.reddit.com/r/wallstreetbets/comments/k6jjm3/wsb_owns_58_of_gme_gme_survey_update/ wsb owns 5.8% of GME. If we take a conservative entry price of $20 that's 1.4bln of buying power. So very significant compared to the pre-wsb 70 bucks.

$20 entry is very conservative so could a fair chunk more, but must be some institutional money kicking about. Looks a bit dicey right now, so maybe that all just left.

did you use VWAP or triple-reinforced GAN execution?

Maggette


Total Posts: 1307
Joined: Jun 2007
 
Posted: 2021-01-28 18:04
"tried to make this point to several disheveled friends that texted me today asking why the establishment is stopping them from buying more of this shit"

Same here. Quite annoying. After throwing money at BlackRock ("aka sticking it to the man") and bidding up the price that it spooks away all MMs who know their business AND document that as an move to harm a market participant all over the web....they are crying foul.


Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

zee4


Total Posts: 89
Joined: May 2010
 
Posted: 2021-01-28 18:16
Some of the account screens are astounding to say the least. These bros have been YOLO-ing whole 2020 and made some decent money. And they just re-YOLO-ed proceeds into this madness. Look how they encourage each other to hold the line.

No doubt there were some institutionals taking advantage of this too. And of course, short sellers like Citron got squeezed out at some point. Plus Chamaths and Portnoys with big checks. I think the short interest is still > 100% Chew

Бухарский

prikolno


Total Posts: 94
Joined: Jul 2018
 
Posted: 2021-01-28 20:37
Somewhat unrelated, but the general partners of a VC firm with 1B AUM probably don't have much liquidity in their PAs to move the needle. Maybe except the handful who've had multiple unicorn exits like USV, Benchmark or Sequoia. The media seems to have a superficial understanding of the way private funds are structured.

EspressoLover


Total Posts: 478
Joined: Jan 2015
 
Posted: 2021-01-29 05:15
> According to this survey (which is probably very noisy) https://www.reddit.com/r/wallstreetbets/comments/k6jjm3/wsb_owns_58_of_gme_gme_survey_update/ wsb owns 5.8% of GME.

I wouldn't be surprised if that's a big under-estimate of the aggregate retail flow. The whole thing has replaced sports and TV, as the primary topic in all my group chats over the past 48 hours. The zeitgeist feels a lot like when there's a huge lottery jackpot. Off the top of my head, I'd guesstimate that 20-30% of the people in my social circle have mentioned buying it. I'd say even 5% have bought AMC, BB, or NOK. I don't think any of them regularly post on /r/WSB, but they're all buying for the same meme reasons. Nostalgia for the early 2000s, and some general need to feel like a part of a movement is shutting down higher order rationality and caution.

The median position seems tiny, but the tail is skewed. The huge runup in wealth in the past year has definitely increased the risk appetite of the young-ish upper-middle class to exuberant levels. For example, I know someone who recently got paid $10 million after his SaaS was acquired. He claims to have thrown a half million into GME stock and calls. Because it's all imaginary money anyway. Similar story for a crypto millionaire acquittance.

Heck, there's a shit ton of middle class Joes, who feel like Baron Rothschild after cashing out $100k in home equity at 2%, then watching that turn into $250k in TSLA. They've been cooped up at home, no place to spend money. Americans do not have the temperament to sustain a positive savings rate. Money is for spending or gambling, not collecting dividends in boring-ass blue chip stocks. The tinder is dry. These bros are ready to YOLO.

Take it for what you will. This is all personal ancedotes extrapolated into a rough aggregate estimate. But I'd guesstimate you had 2 million Americans, and maybe another half million foreigners, buy in at $3-4k average size.

Good questions outrank easy answers. -Paul Samuelson

nikol


Total Posts: 1352
Joined: Jun 2005
 
Posted: 2021-01-29 10:35
@EL - excellent review.

My brain is "skewed" with crypto, so I would like to add scenario about the last year ride on BTC (x10 times from march20 to dec20) with recent slow-down which then continues in GME. To my senses it is about the same crowd of people who developed their mutual trust via reddit and dozens of other (cryptographic) channels.

This picture shows it all.


and this too:


The "game" is not over by the way. I am curious, if big guys will be able to sue "retail crowd" for market manipulation. With subsequent hunt of individual manipulators (captains, majors and generals as they are organized). Bureaucratic state machine is still quite powerful.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

doomanx


Total Posts: 113
Joined: Jul 2018
 
Posted: 2021-01-29 12:12
Great points EL and I agree with everything you're saying. I was just trying to get some numbers on it for an estimate so was numbers were intentionally very coarse, but at this point it's clear to me there's some serious retail flow here - very interested to see if it can be sustained.

did you use VWAP or triple-reinforced GAN execution?

Strange


Total Posts: 1677
Joined: Jun 2004
 
Posted: 2021-01-29 13:06
It's obvious that the original idea was the load on short-date gamma, with the idea of pushing the delta. Now this is over and most of the buying pressure is pure crowd participation, as there is very little gamma in options that are priced at 600% vol.

I am holding my breath for what happens when these options expire. I am holding my breath for what happens when these options expire. However, I doubt most of these people have enough cash in their accounts to buy the stock for the strike price. So we are probably going to see some fireworks on the expiration day (i.e. this and next few Fridays) as their brokers are going to auto-liquidate their options.

'Progress just means bad things happen faster.’

nikol


Total Posts: 1352
Joined: Jun 2005
 
Posted: 2021-01-29 15:40
FB is stepping in. It might be dagerous for FB.
Bold statement:

“We were first on the picking tree to be cut off because we are on Facebook, not a free platform like Reddit,” said Tran.

https://finance-yahoo-com.cdn.ampproject.org/c/s/finance.yahoo.com/amphtml/news/facebook-takes-down-trading-group-061117679.html

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

ronin


Total Posts: 679
Joined: May 2006
 
Posted: 2021-01-29 16:39
> I'd guesstimate you had 2 million Americans, and maybe another half million foreigners, buy in at $3-4k average size.


The thing is, that is not enough. That is just 10 yard. And it's been 10 yard per day, for 10 days. Melvin was only another 3-4 yard. There is still a lot missing.

"There is a SIX am?" -- Arthur

jslade


Total Posts: 1243
Joined: Feb 2007
 
Posted: 2021-01-29 16:52
>The stock is owned by Blackrock, Vanguard and the usual suspects.

Erm, no, I'm pretty sure that's not how my 401k works. Vanguard gets paid no matter what their portfolio selections do.

I find it hilarious Stevie Cohen, the world's most obviously crooked inside trader, and his worm creature Plotkin, is whining about this. The only difference between this and Carl Icahn putting the screws to Bill Ackman is it's the little guy putting the screws to Stevie Cohen's actually-found-guilty-of-insider-trading scumbags at Melvin.

Capitalism at it's finest.

Citadel will always pay for order flow; the only reason they're attempting to shut this down is they have a large position at Melvin, who will go bankrupt if there is any justice in the world.

As for Robinhood (basically a shitty website feeding flow to Citadel) and the tech sperdos attempting to shut down this short squeeze: that's IRL market manipulation of the most blatant and obvious kind, and if we continue to be a nation of laws rather than a cash register for people who bribe politicians, they'll suffer for it.

"Learning, n. The kind of ignorance distinguishing the studious."

EspressoLover


Total Posts: 478
Joined: Jan 2015
 
Posted: 2021-01-29 17:34
> That is just 10 yard. And it's been 10 yard per day, for 10 days

Ahh. I see. Understood.

My guess is that a small chunk of participants are trading at crazy high turnover on top of the vol. /r/WSB keeps repeating "Hold the line", but I'm sure every self-styled day trader in America is watching this stock, and pushing decent volume as the whipsaws light up their Fibonacci-MACD-BS indicators like a Christmas tree

You also have a lot of shorts in large multistrats with sophisticated portfolio construction teams. Say a fund allocates $500 million short. Rebalanced hourly, you're looking at O(10%) moves. That'd be close to $400 million volume per day. If half of the 65 million shares shorted are rebalancing intraday, that could account for $5+ billion ADV.

Finally, I'd expect that the HFTs, and HFT-ish stat arb desks are trading between each other like crazy. There's a lot of money to be made for everyone. This isn't like normal market conditions, where the low-latency kings scrape rebates at the front of the queue. A lot of chaos in the microstructure will cause a lot of disagreement between even slightly different models and parameterizations. Disagreement creates volume.

Even on liquid blue chips, HFTs only hold a sliver of inventory. Yet the order flow magnitudes are humongous. Intermediating stochastic imbalances is the name of the game for short-horizon stat arb. I would bet Medallion or PDT or Teza is printing huge volumes, but basically neutral at any scale longer than an hour. That could result in an unusually high multiple of tactical flow to real flow.

Good questions outrank easy answers. -Paul Samuelson

nikol


Total Posts: 1352
Joined: Jun 2005
 
Posted: 2021-01-29 18:11
Long positions are leveraged in the same way as shorts, so the game is more or less equal.

https://www.advisorperspectives.com/dshort/updates/2021/01/22/margin-debt-and-the-market-up-7-7-in-december-another-record-high

Plot is till EOY20
https://www.finra.org/investors/learn-to-invest/advanced-investing/margin-statistics

curious to see what they will publish on Monday, however, there is something fresh. See fig.1
https://www.yardeni.com/pub/stmkteqmardebt.pdf

and still this is not all. For example, BTC can be converted into cash via collateralized loan and then to be used in leveraging the price pump.
https://www.bitcoinsuisse.com/collateralized-loans

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

PicturePerfect


Total Posts: 7
Joined: Feb 2018
 
Posted: 2021-01-29 19:06
For anyone interested in a write-up that covers a decent timeline of events from the perspective of wallstreetbets, this article had a good account of the participants & details leading up to the hive mind: https://www.bloomberg.com/news/articles/2021-01-25/how-wallstreetbets-pushed-gamestop-shares-to-the-moon

The option chain on GME/AMC has been insane. Just this morning on $AMC, the weekly 5 Feb 21 contracts were trading at 1,000%+ vol.

zee4


Total Posts: 89
Joined: May 2010
 
Posted: 2021-01-30 04:53
You could buy deep OTM puts on GME and make decent profit when on 26th/27th Big Smile

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