It is called the Enhanced Liquidity Provider Program and its actors are computers. OR High Frequency Traders as they are called. Yesterday the three darlings were C, BAC and CIT: more than 860 million shares were traded in these names in a universe of 5000 stocks. Or 10% of the total trading volume.
How to recognize these HFT targets? It starts with an early morning move followed by a flat tradingday around a very tight range. There was a constant bid to these stocks yet anytime they wanted to lift higher, there seemed to be a constant offer just a few pennies higher. The HFT’s made a killing: in addition of the 0.1-0.2 spread they collected a 0.005/share in liquidity rebates.
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Wednesday, 22 July 2009
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