SPY gunning was part of the Fed's spring/summer collection. Fall/Winter is all about the ES. With all the SPY IOIAs broadcast for the world to see, and JPM's clients not too happy that pop media like Zero Hedge makes it all too obvious when Jamie Dimon's boys are executing market manipulation orders for their prime quant clients, the latest way to drive the market higher, especially on days like, well, everyday when there is no volume to speak of, is by AUG-Steyring the futures market. Our friend, the Pragmatic Capitalist does a pretty, pretty, pretty convicing job of demonstrating just how that happens.

I don’t know if any characteristic of this massive 6 month rally has been more apparent than the huge futures run-ups we’ve seen at random points during the trading day. Without news, the S&P 500 futures get gunned on huge volume and surge higher. I’ve seen it at least every other day for 6 months. It tends to occur on low volume days such as the one we’re currently experiencing. As you can see in the chart below, the futures are getting gunned on massive volume without any coinciding volume in SPY. This means an institution is jamming the futures higher knowing that they can drive the market higher on no volume. Effectively, they can take out every asking price with a large enough order and immediately create a 0.25% bump in the market in no time. If you’ve been wondering why we’ve seen huge surges on low volume days and conviction high volume selling on down days this explains much of it. I don’t know if there is malfeasance behind this or if the buyer is simply too stupid to input trades at the bid (like most rational investors do as they try to achieve the best low price), but this is certainly an odd phenomenon that I cannot recall occurring so routinely over the course of my career. Who is the mystery institutional buyer that just needs to place their huge block orders with such urgency?

And in the "more tin-foil hat" category we present this report by the black helicopter fearing men of Grant Thornton which summarizes many of our, Themis Trading, as well as Senator Kaufman and Schumer's concerns about what is happening to the no-longer free markets, and in fact, the overall economy, courtesy of the casino style strategies that have become the norm with the advent of high frequency trading. It may have cost 22 million jobs, but at least HFT provides liquidity and tightens spreads in AIG, C and FNM. Fair tradeoff.

Some highlights: