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The OTAS Intraday Screener app offers a fully configurable heatmap tool providing traders ‘at a glance‘ direction of where outliers sit on the pad, allowing them to immediately focus their attention on where it is most needed.
Embedded within a trading EMS it provides a recognizable systematic approach to order pad optimization, where each scenario analysis a trader wishes to perform is monitored in real-time, highlighting actionable opportunities and exceptions from the norm.

Each axis and chart annotation can be user-configured to suit distinct trading workflows, such as…..

Irregular Price & Volume Order Optimization

Screen an order pad for ‘action’ stocks where asymmetric behaviour in daily price performance and traded volume presents exception outliers for manual trader intervention.

  • Manage ‘high touch’ flow broken out by idiosyncratic daily share price performance from the open(x-axis)
  • Combine with disproportionate volume(y-axis) conditions to focus on highly liquid or harder to trade orders, vis-á-vis passive/aggressive strategy decision
  • Example Screenshot: Standard Life, Informa & St James Place all under-performing on well above average volume with WPP significantly outperforming.

In-Trade Liquidity Screening:

Optimise High Touch vs Low Touch flow, spread crossing and liquidity opportunities

  • Minute by minute lit market liquidity profiling relative to historic normalised ranges(x-axis.) Identify orders with above average liquidity and live trading opportunities Example: Shire, Diageo & Worldpay or conversely adjust to low liquidity trading indicators.
  • Current indicative price spread levels(y-axis) relative to normal. Exceptionally wide spread = execution cost impact from spread crossing, plus low liquidity  Example: Convatec.


Adjusting to Price Momentum changes:

Identify idiosyncratic returns from normal expected ranges.
Actively manage flow and adjust aggression based on rolling absolute and basket relative returns.

  • Highlight orders with abnormal positive or negative price behaviour from the market open(y-axis) and combine with short term momentum compared to peers(x-axis.) Also assess traded volume for trend analysis and intraday mean reversion potential.
  • Examples: Sainsburys Extreme basket relative under-performance over last hour on lower than normal volume = potential Mean Reversion 
  • Capita – Significantly low absolute return from open, excessively high trade volume, negative one hour basket relative return = probable Trend Continuation 
  • Schroders & Merlin– Unusually low absolute return from open, excessively high trade volume, strong positive one hour relative performance = potential Trend Reversal or Continuation

Intraday Screener is just one of a suite of bespoke real-time trading applications we have created to help Global Trading desks provide a systematic approach and facilitate ‘sufficient steps’ under the guidlines and framework of MIFID II.

Contact us now to explore the current apps available within your EMS and how we can help your current technology mandate at otassales@otastech.com

Often traders are asked to provide ‘colour’ or identify reasons why stocks are behaving idiosyncratically during a trading session and what the possible catalysts are. Newsflow is clearly one of the key elements behind daily performance but that doesn’t always offer a full quantifiable picture of intra-day flows or other potential investor sentiment driven reasons.

The combined analysis provided by OTAS Alerts, Microstructure and Core Summary offer users much more granularity and content than just simple commentary of corporate news headlines, as is demonstrated in Vodafone Group today.

The Alerts Overlay function on the Return chart above provides a sequenced timeline of events and abnormal behaviour in a stock’s microstructure.
Significantly for Vodafone, two exceptionally low Return alerts fired in red this morning highlighting large under-performance on both an absolute(R) and basket relative(B) basis. Our model indicates Vodafone shares do not typically encounter moves like this intraday and are highly irregular. Statistical outliers in performance such as these can be used to trade more effectively by identifying potential areas of support or inflection.

The most likely reason for the underperformance can be explained by the other alert flag on the return chart. At 8.07am an exceptionally large Dark/Offbook trade printed in 10.55m shares, it was OTC printed through BATS/CHI-X Offbook reporting exchange. The subsequent absolute and basket relative share price performance gives a simple indication on the direction of the trade and the impact of the risk unwind.

The clues to the motivation behind the trade may well lie in the Core Summary detail. For example, this will quickly inform users of the most recent newsflow and any upcoming Events. Vodafone provides a Sales Release in 2 days

 

 

 

 

The Liquidity tab embedded within our real-time Microstructure application provides traders with a range of key volume forecasts for the current trading session including estimates on important high ‘natural’ liquidity events like the closing auction. The forecasts update dynamically with reference to historic volume and current live market conditions and provide:-

  • Pre-trade volume fragmentation analysis for modelling P.O.V and VWAP strategies
  • Closing auction volume estimates for risk unwind to avoid carrying unwanted positions overnight
  • Assessing liquidity, impact and feasibility of Market on Close orders.

The current Day Total forecast volume can be immediately compared to the recent 30 day historic mean average in the Microstructure charts and accompanying legend to establish whether the stock is expected to trade heavy or light relative to normal.


Traders using the OTAS Schedule component are also offered forecast participation rates over a range of short term trading periods in view of completing an order ahead of its optimal schedule. The key benefits here are:-

  • Provides statistical evidence of potential impact on ‘must be completed’ order execution instructions.
  • Allows traders to visualise the best strategy approach and evaluate participation rate from the time the order is received.
  • Calculates your total order size as a percentage of remaining forecast volume still to trade on the day.

After a strong showing in H2 2016, Swatch shares are currently displaying a number of potentially negative fundamental, technical and sentiment risk indicator observables in OTAS.
With the crucial festive period over and the next financial update not until the 16th March, such warning signals may provide Swatch investors with early evidence to re-position in the shares…..

  • Price Momentum fading – Having made back all its sector underperformance since early August 2016, Swatch’ relative performance is showing signs of fading again over the last week. Selling pressure is also evident in todays session, the OTAS Microstructure(right-hand chart) indicates the shares underperforming their basket on significantly higher than expected volume.
  • Analyst EPS expectations continue to diverge from market price – Having shown a positive correlation historically, the OTAS EPS/Price chart shows a clear dislocation in EPS momentum and price. The shares currently trade at a 14% premium to the mean analyst price target in spite of ongoing negative earnings revisions.
  • Only Insider selling – A number of transactions lately show company insiders selling into the rising share price. Timing wise, recent historical trades indicate well informed trading.
  • Trading on peak valuation – Swatch shares have looked statistically expensive(2 Stan.Dev event) relative to sector peers since November, moreover, on 21x 12m Fwd P/E the shares are trading around their highest ever absolute P/E multiple. Similar comparable valuation extremes back in July 2007 subsequently saw the shares re-rate heavily and lose around -65% of their market value.
  • High Implied Volatility – Vol markets indicate higher sector relative risk for Swatch shares compared to peers, a +/-14 move over the next 3 months. Recent option trading activity shows a larger bias for Puts.
  • Short Interest – Low activity from Hedge Funds. Current free float on loan stands at around 12%(which is within the normal expected range compared to the last 2 years) and has contracted by around 1.1% in the last week.
  • TIM Indicator – Contrary to the above observations, sell side brokers are generally positive on Swatch shares and are pushing them accordingly. The TIM indicator has seen its score* improve from 2 > 8 in the last week indicating bullish sentiment. Perhaps they don’t have OTAS as their evidence based early warning system !??
    *1=Heavily Bearish(Underperform) – 10=Heavily Bullish(Outperform)

In the latest release of the OTAS Microstructure and Alerts components we have focused on providing a number of key trading analyses implicit in a traders decision making process when assessing strategy implementation, directing working order flow and sourcing liquidity.
The combination of these additional elements further establish towards demonstrative best execution obligations for clients whilst providing a recognised structure of compliant procedures.

  • Venue Analysis & Volume at Price – Live exchange volume fragmentation analysis for lit and dark markets including (bid/ask)trade weight intensity, providing supporting evidence for venue selection.
    New volume weighted price graph identifying key levels of trade concentration including venue breakdown.

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  • Block OTC/Dark Pool Volume Alerts – Realtime monitor of outsized traded volume providing alerts for sourcing liquidity opportunities. Calculated on individual stock specific thresholds, the sensitivity of the alerts can be configured to capture genuinely unexpected irregular volume in the stocks you care in.

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  • Alerts Overlay on Microstructure – Opt to see all statistically relevant trading signals overlaid on the microstructure charts to identify intraday impact points. Benefits include, understanding key share price drivers as part of a pre-trade screening process or as a detailed audit trail of why particular trading decisions were made.

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All of the new functionality can be configured and personalised to a clients own specific preference via the settings icon. Simply choose the analysis relevant to your workflow.

For more details or further questions on any of the new analysis contact otassales@otastech.com or to find out more about OTAS Technolgies website here

 

The OTAS Microstructure stack offers a range of charts which breakdown the intraday characteristics of stock trading, allowing you to visualise potential inflection points and changes in trend which may ultimately affect price behaviour and return. Whilst our Alerts immediately inform you of any extreme outliers across metrics such as return(vs basket,) liquidity and spread our volume analysis provides users granular insight into trade weight and direction bias making it easy to identify subtle changes in order flows.

Two charts which demonstrate this quite succinctly are the Volume(Realised –Mean) and Traded Volume Shares.

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In the example above we can see that from the market open today’s realised traded volume(Chart 2) is significantly ahead of what is typically expected and remains high for the next few hours. To establish who the aggressors were over this time period we can refer to the traded volume shares(Chart 1.)
Here it is observed that sellers were in the ascendancy as the bid volume(blue line) is markedly higher than the offer(pink line) indicating a keenness by them to cross the spread and hit bids.

As the traded volume begins to normalise the directional tilt converges as bid volume slows and offer volume picks up suggesting that the sellers are slowing participation(or coming to the end of their order) and that buyers are increasing their aggression. This could represent a support level for the shares and/or a potential inflection point.

Interpretation of changing volume trend behaviour allows traders to assess the potential impact on price and react accordingly.

One of the most highly valued and frequently used measures by our clients within the OTAS suite is the Insider Transactions analysis. Delivered through multiple OTAS applications, users can assess the potential impact on a share by a single well timed trade, placed by a company director or major shareholder.

Live Insider Transactions via the Alerts feed
The introduction of live Insider trade notifications in our Alerts app allows users to view transactions for an order-pad, portfolio or watchlist as they happen in real-time, meaning they need never miss a potentially significant price sensitive trade. Proof of this was evidenced in the trading session immediately after the BREXIT vote when we noted an unprecedented number of senior management in UK Top 100 companies buying their own stock. 

The Insider alerts feed can be custom filtered to identify just significant discretionary transactions or include all trade types, such as exercise of employee stock options and share awards. Our star rating attached to each insider immediately reveals the prescience of the transactor.

        Live Alerts App.                                                  Alert Customisation Filter
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Insider Transactions in the Core Summary
Once a new Insider transaction is received from our provider, it will display in the Alerts panel(as above) and will be available in the Core Summary detail table the following minute.  The Insiders Stamp will populate with new Buy/Sell flags shortly after and will be visible for the next month.

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Insider transactions get registered on the accompanying chart and can be filtered to show Priority discretionary transactions or All trade types just like the live Alerts panel. We keep a history of every trade going back as far as 2006, these can be viewed by clicking the ‘Max’ zoom button. To single out an individuals previous trading history over the selected time-frame….simply click on their name and the chart will filter accordingly.

Market expectations of an improvement in like for like sales boosted by a positive currency tailwind following the plunge in sterling post Brexit has pushed Burberry shares 18% higher in the last month.
The shares have benefited from a slew of recent positive broker recommendations and as we head into the Sales Release next week we look to OTAS for any indicators which may provide some colour on the risk landscape from here…

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OTAS Core Observations:-

  • Strong sector relative performance in the last week(+8%) aided by a recent positive technical signals.
  • Despite recent positive broker sentiment the change in analyst expectations has been muted with just +1.74% average revisions to 12m forward numbers in the last month.
  • This contrasts significantly from market expectations, where the shares have been pushed +18% over the same period as evidenced by the Divergence stamp. Investors may see this as a possible travel & arrive scenario.
  • The positive price action has left the shares looking expensive in valuation terms relative to industry peers.
  • Burberrys’ sector relative implied volatility is 27% higher compared to normal, evidence the options market is predicting a higher degree of share price risk(+/-17%) for the shares over the next 3 months. Investment managers employing a low vol portfolio strategy should note this abnormality.
    Interestingly, similarly observed high volatility levels have coincided with distinct price behaviour recently.brby1
  • The Put Ratio of traded options is back at year lows indicating little in the way of downside protection currently being sought. This could be a sign of market confidence or misguided complacency by equity investors.
  • Short Interest is within the normal expected range but has increased by around 50% in the last month.
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Particularly powerful around financial reporting, OTAS’s award winning analytics provides you with multi-asset intelligence and risk outliers in one ‘go-to’ place, allowing you to make more informed investment decisions and provide a better understanding of factors which could impact on share prices.

For your free trial contact OTASsales@otastech.com

Following on from our recently written blog on the uncharacteristic contraction in short interest for UK retailers Morrison’s and Sainsbury’s, it is with interest that one of their European peers Ahold Delhaize is actually seeing the polar opposite this week according to OTAS.

The Core Summary indicates however that the expansion in short interest is not the only risk indicator flagging on the stock currently, it is also noted that an eminent Executive Board member has recently sold a large cash holding in the company whilst income investors may be concerned of the low sector relative dividend yield Ahold currently offers.

Having significantly outperformed the broader Retail sector YTD, Ahold Delhaize has subsequently struggled to make further headway post merger and listing at the end of July.
Those analysing the current market observables in OTAS may conclude that the risk landscape is becoming more uncertain for the company.
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Performance: – Having outperformed the sector by 26% YTD, Ahold has started to underperform the sector(and market) over the last week and month.
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Insiders:- Level A Exec. Board member James McCann recently sold €2m worth of Ahold Delhaize stock. Having only made a handful of previous transactions our chart and star ranking suggest his market timing/knowledge is self-evident.
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Short Interest:- Having been practically zero, AD’s percentage of free float shares on loan has increased to 1.3% over the last week. This 5 day move is highly unusual when compared to recent history and suggests negative positioning by Long/Short funds.
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Dividend:- The rally in the share price has left the 12m forward yield of 3% looking particularly low for AD when compared to sector peers. It should be noted however that the divi is over 2x covered for FY1 & 2
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The European Food & Staples Retailing sector has seen particularly unusual activity in short interest for two of its UK listed constituents. OTAS has identified both Morrison’s and Sainsbury’s have seen an extreme* contraction in the percentage of free float on loan in the last week suggesting Hedge Funds are aggressively re-thinking short bets against both companies. Moreover, both companies are due to report financials imminently.

OTAS applications Top Stocks and Lingo both alerted you to these moves(and other outlying factors)

Top StocksPositive Screen – Sainsburys & Morrisons ranked #1 & 2
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A further deep dive across multiple OTAS observables can be conducted via the single stock Core Summary providing a complete assessment of potential directional triggers.

For example Morrison’s screens positively due to the contraction in short interest but has a number of other potential risk factors to consider:-

  • Shares up 32% YTD and have outperformed the European Retail sector by 43%
  • EPS momentum vs Price diverged from long term trend suggesting the market is already pricing in a better outlook for Morrison’s.
  • Shares currently trading at a 13% premium to analyst ave. price target.
  • Small pull back in price has prompted higher degree of short covering into earnings, with short interest still at around 14% of free float.
  • ‘Experts’ still remain negative on the stock as identified by the TIM Alpha Capture indicator.

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Particularly powerful around financial reporting, OTAS’s award winning analytics provides you with multi-asset intelligence and risk outliers in one ‘go-to’ place, allowing you to make more informed investment decisions and provide a better understanding of factors which could impact on share prices.

 

*statistically higher than average 5 day moves over the last 2 years