Trading Analysis - 21st Dec 2018


22 December 2018

End of Day

An immediate walkdown without any basis in the real trading and then onto one of the most voluminous of trading days. Multiple 50K, 75K and 125K Sells before 8:20am impacted the nett trading position negatively but the really big Sells did not need to be wheeled out until almost 9:30am. At this point there were multiple 250K Sells reported, all live:-


Despite this huge apparent selling the trading level did not budge at all. The reason being, as usual, that connected trades appearing later in the day now paint these live Sells as something else - half of some kind of rollover pair:-

Yet again we see a clear example of the Live-Sell-Late-Buy reporting that we have see in the last week. This is designed to create a misleading narrative that portrays there as being more selling in the market than there really is - and this is to spook Private Investors into selling out.

Once these connected trades (triplets in this case) have been properly take account of we see that the nett trading position for the day recovers consistently before noon. Following what appears to be a Buy of 500K at 12:43 there was a duplicate pair of 250K Sells observed at 12:46. Only one of these is counted towards the nett trading position, the second, simultaneous (at 12:46:16) and identical, 250K Sell is considered to be nothing but an inter-MM transfer:

After a brief but unrewarding (from the MM buyer's perspective) drop the SP recovered until a strange period of apparent silence between 13:50 and 14:44. Are we really expected to believe that in those 50+ minutes there were only 2 trades ? I, for one, don't believe that everyone was tucking into their office turkey at this time.

As soon as apparently normal trading returns we are treated to an even more febrile series of connected trades: A 250K triplet at 14:45, a 250K duplicate pair at 14:56, a 516,500 pair at 15:15, a 343,095 pair at 15:43, and then two 250K triplets at 15:57 and 16:08. After all this and despite all this, at the end of the day the trading remains roughly neutral for the day. Buys have matched Sells very closely.

Until, that is, the end day Auction:-

Those who have not seen one of these before may wish to read this article on auction manipulation, which also gives a worked example on how these auctions operate during the day; before opening, at 9am, 11am, 2pm and like this one, at closing.

You can see on the right hand side the UT trade which was triggered as a result of this auction set up. So can we work back and figure out what exactly happened ?

The left hand column shows those wishing to buy - as you can see there is someone who wants to buy 1.689M at 44p, plus a few others who wish to pay a little more. In the central column there is a list of people wishing to sell, in very large quantities, it seems, and at significantly below the 44p trading level at 4:25pm. Are two parties really suddenly both willing to take almost 5% less for millions of their shares ?

The levels bid and the volumes offered are already highly suspicious, but one's suspicions are even further aroused by another observation.

The 2,094,276 UT trade would be obtained if there was an additional 400,000 shares bid for at 42p or more in the left hand column. This would yield the following successful purchases on the left hand side:

  • 5,000 at 42p (though 44.5p was offered the buyer did not have to pay this, so generous was Mr 3.167m which his shares)
  • 220 at 42 (ditto 44.2p offered)
  • 1,689,056 at 42p (ditto 44p offered)
  • 400,000 at 42p (42p or more offered)

Total 2,094,276 at 42p

This is satisfied with the following shares taken from the sellers in the middle column:

  • 191,805 at 42p (though 38.5p  would have been accepted by the seller they actually got quite a lot more)
  • 40,975 at 42 (ditto 40p would have been accepted)
  • 1,861,496 of the 3,167,849 block at 42p (this was the highest that they would offer and is what effectively determines the day's end SP for BMN)

Total 2,094,276 at 42p

That explains the UT trade - but now what do we see ? - another couple of big trades, also at 42p, a price that has at no point been paid by anyone else during the day.

If someone wants to give away 3M+ shares so desperately at 42p might they have been thinking 'oh cripes I only just managed to get ride of 1.861M I need to get rid of the rest within the next minute and 2 seconds'. I think not. The numbers do not add up. However ... a different explanation does.

What if the trade of 2,094,276 was simply a fiction designed to fool the market into thinking that there was a huge seller, prepared to accept knockdown prices for their shares ? The subsequent trades of 1,004,591 and 856,905 being at exactly the same price, might simply be reversing off the 2.09M trade, but doing so in such a way as to make it seem that there is a desperate seller, now of almost 4M shares.

The two trades: 1,004,591 and 856,905 as eagle-eyed readers will have spotted, does not sum to 2,094,276 - but it almost does, leaving a remainder of 232,780.

But what is so special about this number ? The logs taken from the London Stock Exchanges website makes clear:-

Guess what ? 232,780 is the precise size of the TNCP trade right at the end of the day - what are the chances of that ? 1 in 100,000 ? 1 in a million ?

Recall that these TNCP trades have been occurring regularly in the last month, usually with sizes of 10-12K, but in the last week or so, with sizes of 817K+ . They are understood to be a 'non-price-forming trades' related to the balancing of books with external brokers/markets such as spreadbetting houses. The TNCP 'trade' has traditionally been ignored, especially as recently the large trades have repeatedly been reversed off after a day or so's reporting delay.

Regardless of the precise nature of the TNCP trade the following broader conclusions seem unavoidable:

  1.  there is a clear relationship between today's TNCP trade, the end day auction AND the 2 trades that immediately follow it.

  2. it appears that these trades have not been undertaken by multiple independent agents, but instead by a single coordinated agent.
  3. if 2 is true then it would seem that the same party has participated multiple times in the end day auction, on both sides of the auction, and has effectively been selling to itself to yield an entirely unrepresentative closing price of 42p for this share.

If 3 is proven to be true then this would be a very clear case of Market Abuse. This should be investigated by the FCA as soon as possible so as to avoid potential further abuse occurring.

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