Algos 09.16.14

Anti-fragile + HFT Algo Activity

S&P Futures: 09.05.14 Institutional Activity

S&P Futures: 09.04.14 Machine Buys & Sells

S&P Futures 09.02.14: Diffusion Model

Yields still dropping and geopolitical events continue to heat up.

AUD-USD Initiative

AUD caught a bid after RBA minutes were published when the RBA mentioned easing as banks cut rates.  This was read as further decreasing the chances of an RBA rate cut. Meanwhile NZD was sold on a softer PPI and NZ Treasury’s pre-election fiscal update.

XCAPX Fragility

Anti-fragile for volatility, transiently underpriced, and power law behavior.

Health care's long- and short-term performance.

3 Trades in 1 Hour (+$1,000)

Watching Healthcare REIT Inc [HCN]

http://goo.gl/W6Yt1y [Seeking Alpha]

Pr(W) 0.70  |  Edge 143%  |  Kelly 44.5%
Yield 5.01%

ADDENDUM: Gapped up and hit first target.

Both Yen Trades Closed (+$860)

AUD/USD: WestPac Consumer Confidence

Australia - Westpac Consumer Confidence Index for August: +3.8 % m/m (prior was +1.9%)

Short Treasuries position closed (+$1500)

Buying pressure at nodal support.

Two long Yen trades initiated.

CAD/JPY

USD/JPY

Overnight Positions: 2 Closed for +$3,540

ES: Long bias despite economic uncertainty.

Long Oil

DX pullback

Bottom is in for Treasury yields. Short Treasuries.