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Ex_dreamer
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Падение Amaranth Advisors
      #238771 - 10/01/2009 07:26

Наткнулся на инетересный документ http://www.cftc.gov/stellent/groups/publ...inion052108.pdf
С-но раскрыты детали иска к Amaranth Advisors :-) Суть претензий - манипуляция ценами фьючерса на природный газ. Далее небольшая выдержка из документа..

В ответ на :

On February 23, 2006, Hunter (человек координировавший работу energy desk ) told an Amaranth natural gas trader, Matthew Donohoe, to "make sure we have lots of futures to sell MoC ( на закрытии рынка ) tomorrow." When trading commenced on February 24, the expiration day for the March
2006 natural gas futures, Amaranth had a short position in more than 1,700 contracts. But by the start of the closing range, defendants had reversed their position to long in more than 3,000 contracts.
At about 12:15 p.m. on February 24, Hunter sent an instant message to Amaranth trader Matthew Calhoun, stating that the March 2006 contracts needed "to get smashed on settle then day is done." Less than half an hour before the closing range, Hunter disclosed his trading strategy to another trader, who expressed astonishment that Hunter had so many March 2006 contracts left to sell:

Hunter: We have 4000 to sell MoC
Hunter: shhhh
gloverb: come on
Hunter: y
gloverb: unless you are huge bearish
gloverb: position
gloverb: why the f would y do that
Hunter: all from options yesterday
Hunter: so we'll see what the floor has
Hunter: bit of an experiment mainly
gloverb: what the f
gloverb: that is huge

At about 2:11 p.m., Hunter sent another message to "gloverb," stating that he had "alot more to sell . . . waiting until 2:20."
On February 24, defendants sold more than 3,000 March 2006 contracts during the closing range.
From April 21 to April 26, defendants began acquiring May 2006 contracts so that by the closing range on April 26, the expiration day for the May 2006 contracts, they held a long position in more than 3,000 May 2006 contracts.
At the beginning of the closing range on April 26, Hunter sent Calhoun an instant message, stating that he was "waiting to sell". Also early in the closing range, Hunter told an Amaranth risk manager that he had "yet to sell" despite the presence of many buyers. He was mainly referring to the hedge fund Centaurus Advisors LLC ("Centaurus"). Hunter believed that Centaurus was planning to purchase a large number of May 2006 natural gas
futures in the closing range, which "would tend to exert upward price pressures." In several instant messages, Hunter expressed concern that Centaurus's purchases would affect the settlement price:

Hunter: FYI Arnold (a trader at Centaurus)
is getting scary short . . .
Chasman: what u think arnold has?
Hunter: we are rolling size into may
Hunter: and I am worried that Arnold has
taken the other side of everything

Hunter knew that selling his May 2006 contracts would "mute the effect of the buyers." Halfway into the closing range, defendants placed two
different orders to sell their May 2006 contracts, but with instructions to hold the execution of the orders until the last
eight minutes of the closing range. At 2:22 p.m., with only eight minutes left before the close of trading, defendants placed a third order to sell 2,000 May 2006 contracts, which comprised two-thirds of the long position Amaranth had going into the closing range. The last order was "so
large, and came so late in the closing range, that the broker was not able to execute the entire order," and only 1,675 of the contracts were sold before the close of trading.

Defendants' trading strategy of purchasing a substantial number of futures contracts leading up to the closing range on expiration day, followed by the sale of those contracts several minutes before the close of trading, is known as "marking the close."
Defendants had at least two motives for attempting to manipulate natural gas futures prices. First, defendants were trying to "mute the effect" of Centaurus's large purchases of the May 2006 natural gas futures.
Second, and ultimately, defendants sought to profit from their large short positions on natural gas swaps, the prices of which depended on the closing price of natural gas futures. On February 24, it had a short position in at least 12,000 swaps, and on April 26, it had a short position in more than 19,000 swaps. A low settlement price of natural gas futures would have benefitted these short positions.





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like a halo in reverse


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Ex_dreamer
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Re: Падение Amaranth Advisors [re: Ex_dreamer]
      #334097 - 28/05/2011 08:41

еще одна интересная история) теперь спреды на WTI
http://pda.rbcdaily.ru/2011/05/26/world/562949980309859_news.shtml
тут детально)
http://www.scribd.com/doc/56186221/Arcadian-CFTC

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like a halo in reverse


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