[es] Goldman Sachs and Friends

[NowTheMoment 10]

Made a chart today depicting where Goldman Sachs and friends like; Saloman Brothers, Smith Barney, Merrill Lynch and JP Morgan traded today in the S&P pit for Wed Nov. 9, 2011.

 

The chart is an eMini ESz1, with up arrows (buy) and down arrows (sell) area trades. These are the actual areas the 800 lbs traded in the SPz1 contract on the CME floor.

 

Notice where the reversals are in accordance with the arrows.

 

Like to read your comments. PM for Skype.

[smith 10]

Made a chart today depicting where Goldman Sachs and friends like; Saloman Brothers, Smith Barney, Merrill Lynch and JP Morgan traded today in the S&P pit for Wed Nov. 9, 2011.

 

The chart is an eMini ESz1, with up arrows (buy) and down arrows (sell) area trades. These are the actual areas the 800 lbs traded in the SPz1 contract on the CME floor.

 

Notice where the reversals are in accordance with the arrows.

 

Like to read your comments. PM for Skype.

 

interesting chart, you have a seat on the floor ?

[SIUYA 11]

were they trading as prop, hedging a book or operating for clients?

Did they have vwap orders over the day....

Was the same client operating through different brokers, or did GS, JPM and others give their orders to each other as well?

Very hard to tell anything unless you have real information about the origin of the orders.

[steve46 12]

The premise is that the big players have some advantage that can be used by simply piggybacking their positions.....in my opinion that strategy isn't workable....

 

This (institutional trading) is a world that I am very familiar with, having "been there" for many years....I am not interested in talking about my employer but will provide a snapshot that may help those interested to avoid that road

 

First, institutions have money...much more than any retail trader could mobilize....that is a given, and they employ a number of strategies from HFT to arb and they take the position of "the house" by matching clients to risk vehicles upon request (for a fee of course)...

 

The short story is that some of these concepts work well, however they are volatile and retail clients could never (on their own) stand the swings. Finally there are time periods where institutions do not do well and that is simply the fact...not my opinion.

 

Here is a recent report that sets out the facts about recent performance of Goldman's prop trading group

 

Goldman Sachs Traders Lost Money 21 Days in Third Quarter, Most Since

 

It used to make sense to shadow Goldman's positions in equities markets....but I leave it to others to judge for themselves

 

For my own trading I use concepts that I learned from institutions, however I pick and choose ( I use the concept of "time based pivots for example") and am very careful about risk (as can be seen in my thread "An institutional look at S &P Futures" in the emini forum).

 

From my point of view, in a given period of time, simply following the positions of any institution (without knowing what you are doing) can cost you money, more than any retail trader can afford. In my opinion there is no short cut to learning to read the markets on your own...

 

For those interested I will be winding down my activities here on this site in the next week. So ask your questions now while before I move on...

 

Good luck

[joshdance 10]

Made a chart today depicting where Goldman Sachs and friends like; Saloman Brothers, Smith Barney, Merrill Lynch and JP Morgan traded today in the S&P pit for Wed Nov. 9, 2011.

 

The chart is an eMini ESz1, with up arrows (buy) and down arrows (sell) area trades. These are the actual areas the 800 lbs traded in the SPz1 contract on the CME floor.

 

Notice where the reversals are in accordance with the arrows.

 

Like to read your comments. PM for Skype.

 

The arrows look about as random as they come. There are arrows everywhere, so of course there are arrows at the reversal points. I wouldn't plot these arrows on my chart in real time for any reason as they would only distract me.

[bobcollett 10]

 

 

For those interested I will be winding down my activities here on this site in the next week. So ask your questions now while before I move on...

 

Good luck

 

As my late father-in - law used to say while I was courting his daughter,"

"here's your coat and hat, why you leaving?"

bobc

[NowTheMoment 10]

 

It used to make sense to shadow Goldman's positions in equities markets....but I leave it to others to judge for themselves

 

For my own trading I use concepts that I learned from institutions, however I pick and choose ( I use the concept of "time based pivots for example") and am very careful about risk (as can be seen in my thread "An institutional look at S &P Futures" in the emini forum).

 

From my point of view, in a given period of time, simply following the positions of any institution (without knowing what you are doing) can cost you money, more than any retail trader can afford. In my opinion there is no short cut to learning to read the markets on your own...

 

For those interested I will be winding down my activities here on this site in the next week. So ask your questions now while before I move on...

 

Good luck

Thanks for the comments, Steve. Yes we know about Goldmans' loss of 100 mil, but you know about their overall performance also, it's quite good.

 

Your chart below is a great lesson of Goldman and Friends being the Supply and the Demand (I'm not trying to teach you anything Steve - I know you know that). If you put up arrows underneath the demand and down arrows on top of supply your chart would depict GS&F 800 lb moves on a daily chart. Where as mine was an intra-day 1500 tick chart. Would you agree?

 

Your posts have been of importance and an education to me. Thanks for your time and teaching.

 

http://www.traderslaboratory.com/forums/attachments/32/23008d1290259954-institutional-look-s-p-futures-snapshot-11.png

 

http://www.traderslaboratory.com/forums/attachments/32/26643d1320875591-goldman-sachs-friends-wed_11082011_1320873931895.png

[steve46 12]

As my late father-in - law used to say while I was courting his daughter,"

"here's your coat and hat, why you leaving?"

bobc

 

Well Bob, I would not take it too seriously....I would guess your late father in law had high hopes for his daughter and perhaps unrealistic expectations about you..

 

For myself I have a few projects I hope to complete...

 

Good luck to you.

[NowTheMoment 10]

The arrows look about as random as they come. There are arrows everywhere, so of course there are arrows at the reversal points. I wouldn't plot these arrows on my chart in real time for any reason as they would only distract me.

 

Well Josh, the arrows may appear random, but look at the first 30 minutes, from 9:30 to 10am. Would you have been buying knowing the 800 pounders were all selling? And kept selling through 10:28?

 

Why did the market reverse around 10:45? There was heavy 800 pound buying between 1236-1238 at 10:40.

 

GS&F reversed the market. Funny how the market finally sold off after they sold the noon session 1247-1244, and bought back all the way down.

 

Randomness is disguised unconventional patterns. Like to read your thoughts.

 

 

http://www.traderslaboratory.com/forums/attachments/32/26643d1320875591-goldman-sachs-friends-wed_11082011_1320873931895.png

[joshdance 10]

Well Josh, the arrows may appear random, but look at the first 30 minutes, from 9:30 to 10am. Would you have been buying knowing the 800 pounders were all selling? And kept selling through 10:28?

 

I only took one trade this day, a small 1 handle profit, but I did not buy the open because I looked left on my chart and saw that globex produced a massive move down -- this caused me to not buy; it did not require knowledge of what any "800 pounders" were doing. I saw clearly the selling on the tape and did not want to step in front of it.

 

Why did the market reverse around 10:45? There was heavy 800 pound buying between 1236-1238 at 10:40 ... GS&F reversed the market. Funny how the market finally sold off after they sold the noon session 1247-1244, and bought back all the way down.

 

Do you know what the S&P futures pit volume is in a day? Seriously, just take a guess.

 

OK I'll just go ahead and tell you. Less than 10,000. Globex volume for the emini contract is 2,500,000 on the low end. You think a few hundred contracts traded in the dead S&P pit in Chicago did anything to the market? Yes, the big S&P contract is worth 5x as much as the emini. But the volume per day is typically about 300x less. Open outcry trading is dead.

 

Regarding the reversal at 1236, there was very little market buying at that level. If you watched the action as it happened, it was quite quiet at that point--not a whole lot of selling interest, what you would expect following such a massive selloff the night before. The buying did not come in until news if I recall correctly, but it was pretty weak at the bottom there. I'm talking about the ES contract.

 

Finally, in the insignificant S&P pit, for every 800 pounder who places a huge order, there's another 1000 pounder taking the other side.

 

Randomness is disguised unconventional patterns. Like to read your thoughts.

 

My point is not that the arrows are random. My point is that following the arrows is not a reliable way to make money.

 

You and many others seem infatuated with what the "smart money" and "big boys" are doing. Attempting to identify groups of traders in the market and place labels on them will only distract you in my humble opinion. When you see a big 500 lot print on the tape on ES, there are two VERY big entities who just took opposing positions. The fact that an entity has the millions of dollars of margin required to place such a large trade means nothing about that entity's "correctness" in the direction the market will move next. If for no other reason, you have no idea WHY they placed the trade. Maybe it's a hedge against a larger position, or an order they must fill for a large client, or maybe it's because they got bored and wanted to push price by a tick. You don't even know if the goal was to "make money" on that trade. You're attempting to assign intentions to a trade when you have no basis for doing so, and it's a wild goose chase.

Edited November 11, 2011 by joshdance

[MadMarketScientist 11]

For those interested I will be winding down my activities here on this site in the next week. So ask your questions now while before I move on...

 

Move on to where Steve? We all appreciate your thoughtful posts - don't stay away too long.

 

MMS

[SunTrader 10]

........... You and many others seem infatuated with what the "smart money" and "big boys" are doing...........

 

+1

 

Trying to follow someone else gets the same results as following the car in front of you to get to a different destination. It might work for a while until you get to the fork in the road.

[NowTheMoment 10]

I only took one trade this day, a small 1 handle profit, but I did not buy the open because I looked left on my chart and saw that globex produced a massive move down -- this caused me to not buy; it did not require knowledge of what any "800 pounders" were doing. I saw clearly the selling on the tape and did not want to step in front of it.

 

 

 

Do you know what the S&P futures pit volume is in a day? Seriously, just take a guess.

 

OK I'll just go ahead and tell you. Less than 10,000. Globex volume for the emini contract is 2,500,000 on the low end. You think a few hundred contracts traded in the dead S&P pit in Chicago did anything to the market? Yes, the big S&P contract is worth 5x as much as the emini. But the volume per day is typically about 300x less. Open outcry trading is dead.

 

Regarding the reversal at 1236, there was very little market buying at that level. If you watched the action as it happened, it was quite quiet at that point--not a whole lot of selling interest, what you would expect following such a massive selloff the night before. The buying did not come in until news if I recall correctly, but it was pretty weak at the bottom there. I'm talking about the ES contract.

 

Finally, in the insignificant S&P pit, for every 800 pounder who places a huge order, there's another 1000 pounder taking the other side.

 

 

 

My point is not that the arrows are random. My point is that following the arrows is not a reliable way to make money.

 

You and many others seem infatuated with what the "smart money" and "big boys" are doing. Attempting to identify groups of traders in the market and place labels on them will only distract you in my humble opinion. When you see a big 500 lot print on the tape on ES, there are two VERY big entities who just took opposing positions. The fact that an entity has the millions of dollars of margin required to place such a large trade means nothing about that entity's "correctness" in the direction the market will move next. If for no other reason, you have no idea WHY they placed the trade. Maybe it's a hedge against a larger position, or an order they must fill for a large client, or maybe it's because they got bored and wanted to push price by a tick. You don't even know if the goal was to "make money" on that trade. You're attempting to assign intentions to a trade when you have no basis for doing so, and it's a wild goose chase.

 

 

Josh, this is my original post;

 

"Made a chart today depicting where Goldman Sachs and friends like; Saloman Brothers, Smith Barney, Merrill Lynch and JP Morgan traded today in the S&P pit for Wed Nov. 9, 2011.

 

The chart is an eMini ESz1, with up arrows (buy) and down arrows (sell) area trades. These are the actual areas the 800 lbs traded in the SPz1 contract on the CME floor.

 

Notice where the reversals are in accordance with the arrows."

 

I was saying; 'observe the chart', that's all.

 

GS&F can also trade in the ES eMini. Do you think they knew (or activated or programmed) their algos to sell the ES, and sold the SP pit contract also?

 

Did you know that the locals were flipping their trades at around 13:56:06, at 1232. They sold the pit contract SP and bought the screen ES, from 1232 down to 1230 - which flattened their position. Yep, they can buy one SP at 1000.20 and sell the five ES at 1000.25 round turn and flat with profit. The big locals have a dedicated person, who stands 2 feet in front of them with a hand held screen, just to flip for them all day.

 

This is additional, true market order flow information. Knowing where GS&F bought/sold is significant. We never know or care, if they are offsetting, initiating or hedging a position. When you take a position, you don't know or care if the opposite side is offsetting, initiating or hedging either.

 

http://www.traderslaboratory.com/forums/attachments/32/26643d1320875591-goldman-sachs-friends-wed_11082011_1320873931895.png

[joshdance 10]

We never know or care, if they are offsetting, initiating or hedging a position. When you take a position, you don't know or care if the opposite side is offsetting, initiating or hedging either.

 

Then how is it useful information, if you have no idea, by your own admission, as to the intent of the order? This is my whole point.

[NowTheMoment 10]

Then how is it useful information, if you have no idea, by your own admission, as to the intent of the order? This is my whole point.

 

I said, 'Knowing where GS&F bought/sold is significant.', not the intent of the order.

 

But interesting, so let me ask you a few questions...

 

You initiate a position to Buy one ES contract, with a market order on Monday. The CME gave me some additional information. That one ES contract you Bought was;

 

Sold to you by a trader in New Zealand named Mildred, who Bought in late September. She placed a Sell Limit order above her entry, for you to Buy into. She has long brown wavy hair who is a big All Blacks rugby fan. She flipped a coin to Buy the market in September and consulted her Auntie Jane who is part time astrologer, to determine where to place her Sell Limit order. Mildred wants to offset her position.

 

1) Now, which one of the facts above is the most important about the trade you entered?

2) Does it make a difference if she placed more than one Sell Limit order?

3) Would you have Bought into her if she had placed seven thousand resting Sell Limit orders?

4) If you knew Mildred was selling thousands in the SP pit - all day - below the price you entered in at, and is still selling, would you have Bought?

 

Answer Key:

1) She placed a Sell Limit order

2) Yes

3) No

4) No

[joshdance 10]

1) Now, which one of the facts above is the most important about the trade you entered?

2) Does it make a difference if she placed more than one Sell Limit order?

3) Would you have Bought into her if she had placed seven thousand resting Sell Limit orders?

4) If you knew Mildred was selling thousands in the SP pit - all day - below the price you entered in at, and is still selling, would you have Bought?

 

 

#4 -- if she's selling thousands below the current price, and price has moved against her, I'd say she's ineffective so far, so I would feel pretty darn good about taking a side against her. Of course it depends on what happens next, but she has not held the market so far. At some point she may feel just enough pain to bail and this would send the market quite well in my direction.

 

NTM, my point is this. All of those factors that you mention here, such as others taking the other side of the order, size of the order, and so on, can be important. But that's why I watch volume, and note price's reaction. Why does it matter WHO is buying or selling?

 

So, two big trading entities are trading with each other here. Knowing who is doing what helps me NONE. I can see just as clearly through my time and sales on the globex market, no external knowledge of identities or intention required.

 

I think it can be quite helpful to put oneself in the shoes of a generic buyer or seller -- would I rather be long or short here? Who has the most to lose? Who will bail and fuel a move? That can be helpful--but chasing this rainbow with no end regarding smart money and big banks and all that crap has no benefit to me.

 

If you can point to a place where I can see live trades you've taken using the information you posted here, then I'm open to changing my mind. This matters because GS can call you on the telephone and tell you all the trades they are taking as they happen, but unless you can reach some conclusion about market direction from that information, then it's useless. So, until you can demonstrate that you have a way to produce a trade idea from this as it happens (not an after-the-fact chart with theories attached to it, and conjecture on why so-and-so happened), then this will go under the seemingly infinite internet forums file of "just another lame trading theory."

[NowTheMoment 10]

#4 -- if she's selling thousands below the current price, and price has moved against her, I'd say she's ineffective so far, so I would feel pretty darn good about taking a side against her.

 

 

...and if the price is moving against poor dearest Mildred (who is short and selling), on low volume - and volume increases as she continues to sell, causing the buyers to offset and sell along with her - what might your analysis be then?

 

My dancing friend Josh, we are on the same side supporting a similar argument, with mine being detailed applying names to the volume, which you see as time and sales. Oh yes, I only posted a chart with arrows, I did not propose a theory.

 

But, just for fun, allow me to pose this question. For fun remind you.

 

You're sitting at your screen and decide to check your email. Great, you have one in you inbox. You think 'wow, a busy day, I have an email'. The subject line reads re: s13ten. The email says; 'begin selling at 1310'. 'Funny', you say to yourself, 'the email is from sid@goldmansachs.com'. You never received an email from Sid before and don't know anyone named Sid. And it was not in your spam folder.

 

The market is rallying past 1290 (with volume), breaks the 1300 barrier (with volume), begins to go sideways around 1311 (with higher volume), peaks at 1313 (with higher volume).

 

The market is at 1312 (with less volume), 1311 (with less volume), 1310 (with less volume). 1309 (with volume), 1308 (with volume).

 

You think of the strange email you received.

 

Josh, using your volume analysis what caused the market to stop at 1313? And you will say, 'the buyers stopped buying and the sellers continued to sell'. ...and you're correct.

 

Also, I think it's important to know "the who", just like you knew.

[SunTrader 10]

I'm not sure of the exact details of this story I read once in a trading book but goes something like:

 

A futures trading firm in Chicago (CME or CBOT) had a new hire who was a TA proponent that was telling the "boss" how a particular market was trading right near a key support level. The boss didn't care much for TA. He asked where exactly was this support and then once it hit that spot he signalled into the pits to sell 100 contracts. Blew out the support level - at least for a short while. He then asked "what happened to that support level?" :haha:

 

Maybe without that sell the TA guy would have been right.

 

The lesson I got from it is even when you know, you don't know.

[gosu 10]

I'm not sure of the exact details of this story I read once in a trading book but goes something like:

 

A futures trading firm in Chicago (CME or CBOT) had a new hire who was a TA proponent that was telling the "boss" how a particular market was trading right near a key support level. The boss didn't care much for TA. He asked where exactly was this support and then once it hit that spot he signalled into the pits to sell 100 contracts. Blew out the support level - at least for a short while. He then asked "what happened to that support level?" :haha:

 

Maybe without that sell the TA guy would have been right.

 

The lesson I got from it is even when you know, you don't know.

 

That's from the ever popular TITZ. The lesson is don't be an idiot who thinks only one thing happens at S (and R). Even if price had bounced at that level he would still be an idiot. The context of the story was that he was a broke TA guy who was hired as a favor by a seasoned trader who didn't use TA.

[SunTrader 10]

.........ever popular TITZ........

Translation please ?

[joshdance 10]

Translation please ?

 

Trading in the Zone by Mark Douglas

[joshdance 10]

The market is rallying past 1290 (with volume), breaks the 1300 barrier (with volume), begins to go sideways around 1311 (with higher volume), peaks at 1313 (with higher volume).

 

The market is at 1312 (with less volume), 1311 (with less volume), 1310 (with less volume). 1309 (with volume), 1308 (with volume).

 

Josh, using your volume analysis what caused the market to stop at 1313?

 

This is perhaps where our approach differs -- once we get to 1308, I don't give a rat's you-know-what about who did what at 1313. It's done, and analysis at this point is only an exercise in ego inflation. People do it all the time -- they call what happened AFTER it happened... well, it doesn't take a genius to do that. The question is, what do you do when price gets to 1313? How do you know it "peaks" as you say? Again, an actual chart is the only way here to really talk about this situation.

 

I would need to see a chart as your scenario is a bit general and vague, but as I was reading it, when it gets to 1311-1310 with lower volume, I would be possibly looking to get long. After all, we're in what appears to be a strong up trend, we have broken to the upside after consolidation at 1311, and the sellers do not as of yet on the return to 1311 or 1310 appear to be pushing it hard. Classic low volume retracement on a strong up trend.

 

If it breaks down from what you describe as "sideways" consolidation at 1311 and gets too far below, and THEN the volume picks up as it's going down, then I would consider a short.

 

So much in analysis for me personally requires actually watching the charts, getting a feel for what's happening on the tape, being there in the moment as the day unfolds. I can't just sit down 3 hours after open and take a well-placed trade. I need to be there in the trenches to be able to read market sentiment, and even then it can be challenging. But like everyone else in the trading world, I can offer great hindsight analysis by looking at a chart with price and volume (intraday only, I don't do daily charts). Show me something, and I'll do my best.

[NowTheMoment 10]

I would need to see a chart as your scenario is a bit general and vague, but as I was reading it, when it gets to 1311-1310 with lower volume, I would be possibly looking to get long. After all, we're in what appears to be a strong up trend, we have broken to the upside after consolidation at 1311, and the sellers do not as of yet on the return to 1311 or 1310 appear to be pushing it hard. Classic low volume retracement on a strong up trend.

 

If it breaks down from what you describe as "sideways" consolidation at 1311 and gets too far below, and THEN the volume picks up as it's going down, then I would consider a short.

 

Hmmm, I knew you would consider attempting a long at 1310, thinking a pullback to new highs.

 

And your volume analysis...do you break down bid/ask volume or just over all volume?

[joshdance 10]

Hmmm, I knew you would consider attempting a long at 1310, thinking a pullback to new highs.

 

And your volume analysis...do you break down bid/ask volume or just over all volume?

 

I also use delta, yes.

[steve46 12]

Just for kicks I thought I would post this chart of the same date but using my tools....price action

and supply/demand

 

Also I don't use tick charts...they are useless for visualizing momentum.....

 

The attached chart (for the same time frame as the original poster) shows the gap down from the previous session, which for me is a gift....immediately I am looking for a retrace back toward the previous action...the only question is where do you get on board.....

 

If you scan left....You can see the left most green arrow....I call that a "demonstration of momentum"....look how price moves with conviction from that point......when I see price retrace back to that level again....you can bet I am on it.....and once again price tests and reacts the same way....a plus 10 pt move....simple....

 

The nice thing about this kind of market is the symmetry it exhibits...in the afternoon, as price fails and retraces back down through that long entry....you can see (I hope) a nice short entry which also delivers a +10 point move....

 

On a day like this, I don't see the need to look for other players......you just look at how price is reacting at a level and wait for your chance to jump on board.....price action at specific times and momentum.

 

I'll stick with this

Edited November 13, 2011 by steve46