8th to 12th Jan 2018


13 January 2018

There are two interesting aspects to trading in the last 3 weeks:

  1. The appearance, since the 19th of December of significant End Day Trade pairs – these are inexplicably duplicates of one another but appear at different times implying that they are genuinely distinct trades and not simply a LSE misreporting.
  2. The appearance of a 5.4M trade late in the afternoon on Friday the 12 Jan, around which time the prices paid for shares appeared to rise sharply, but which had no actual effect on Bid or Ask.

The question is, as always, what is going on ? But first the data…

Monday 8th Jan

Tuesday 9th Jan

Wednesday 10th Jan

Thursday 11th Jan

Friday 12th Jan


The end day trades observed over the last 3 weeks are:

SP TBP estimated Buys – Sells End Day Trades
Tuesday 19-12-17 8.75 +2.09M more Buys than Sells 2x 1.75M
Wednesday 20-12-17 8.75  +1.52M more Buys than Sells 2x 1.25M
Wednesday 27-12-17 8.625   +41K more Buys than Sells 2x 250K
Friday 5-1-18 8.25 + 1.39M more Buys than Sells  2x 1.5M (one reported 8th Jan)
Monday 8-1-18 8.125 +1.16M more Buys than Sells 2x 1.0M
11.5M Total


The previous weeks trading analysis considered two possible scenarios for the End Day Trade pairs:

  1. Of the pair one is a Buy and one is a Sell – potentially Market Makers bouncing shares between one another. I speculate not on why they might do this apart from to note that this would clearly make it much harder to assess their overall exposure from the trading record. The pairs have no nett effect and the Market Makers position ends up with them at the end of last week being c. 7M short of shares as shown below:
  2. Both are Sells from PIs (presumably Erongo) to MMs – again I don’t speculate on why the duplicate arrangement. Using this interpretation results in the plausible scenario that the Market Maker short position closed out in late december and their trading approach appeared to return to neutrality since that point:

In this weeks trading we have seen a delayed 1.5M trade appearing on Monday which matched the previous Friday’s End Day Trade, and then at the end of Monday an additional pair of 1M trades appearing – evidently the End Day Duplicates have continued to appear.

Furthermore the 5.4M on Friday afternoon appears to align with an upturn in prices paid for shares, leading some to suggest that this marks the end of a significant block of selling. Can this additional information shed any light on the correct interpretation of the End Day Trade pairs ?

If we continue with scenario b. (counting both trades from a pair as sells that help close a short) as this previously seemed most plausible then we end up with the following MM nett trade position – now showing a very large long position of c. 7.8M shares that has been allowed to grow over the past week.

Is this believable ? – well if Market Makers strongly believed that great news was soon to arrive then they would naturally prefer to have a long position that they could subsequently sell into price rises and onto new buyers. With illiquid shares the Market Makers have a great amount of control over the share price and will only wish to let the price rise when it suits them. Potentially the high buys on Friday afternoon are the first start of such a rally.


There is a third scenario we should consider: c. One trade from the End Day pair is a Sell from Erongo to MM1 and the second is a sale from MM1 to MM2. For the purposes of calculating the overall MM exposure the first of these trades is counted but not the second – if we use this interpretation on the End Day trades of the 19th, 20th and 27th Dec and 5th and 8th Jan what do we end up with ?

The plots below show how this interpretation now leads to a nett daily trading position that ends close to neutrality on all of these days – this scenario starts to look promising.


The Market Maker nett trade position then ends up looking like this:

The MM short position of c. 4M was only just about kept under control by the Erongo (presumed) selling from the 19th Dec onwards and was not finally closed out until the 5.4M sell appeared this Friday.

This interpretative approach successfully explains why the Market Makers did not allow the SP to move up after the 21st Dec – they still had a short position to close and were happy to draw shares from Erongo to fill this. The SP did not move up despite the strong Buying on the back of the YD buyout news simply because it was not in the Market Makers interest then and they had a captive seller they could take advantage of.

This scenario also identifies Friday as the point that the Market Maker short position was closed and this coincides with the point that the MMs allow the SP to move up. Next week it will be very interesting to see how the SP responds to buying pressure.

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