Tuesday, October 19, 2010

Market Oddities

Sometimes (often times) very strange things happen in the markets. Things that don't make sense; things you cannot explain just yet. I'll try to make note of these instances going forward.

The activity in SPXU was a bit perplexing on 10-18 and 10-19-2010. The price spiked about 4.7% in the last 10 seconds of the day. I already had a small position in SPXU going into the close of trading on 10-18. I had set up 2 orders with Interactive Brokers, they were set to start at 3:59:50: One to sell my entire position at a price > 25 and one to double my position with a price under 24.50 (they weren't OCA orders). Well at 3:59:50, I doubled my position @ 24.07, then somehow at 4:15:00 I sold my initial position for $25.20. These order were set to expire at the end of the day, not extending to afterhours. I'm not sure what IB was doing here (need to ask them). I am more confused than anything. I looked into the daily chart on Yahoo and over 700K shares traded in those last 10 seconds. I haven't figured out which exchange the trades were made from, or if they were in big blocks. Some other charts( IB and Trade King) I look at don't even show any transactions at the price of $25.20 in the last minute of trading.  Did someone foolishly place a large order at the market on the close, and it was filled at horrible prices? I've heard that there was a re-calibration or re-alignment at the end of the day. I thought that was done post-closing. I know that the Net Asset Value (NAV) (here) and closing price don't always match up, but this seemed at bit extreme. Even Proshares documents that there is a premium/discount on their shares [here]. The whole thing is very strange. It worked in my benefit, but that is not the point. Even if you type SPXU into Twitter, you'll find many confused investoes too. The price was down $0.04 on 10-19, when the S&P 500 was down -1.59%. It should have been up about 4.8%, so the price was calibrated to adjust for the error on 10-18.


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