Don here.
Kevin Warsh spoke Friday morning, and Wall Street’s algorithms read every word before he opened his mouth.
Here’s how it works. The exact text of the speech gets released fractions of a second before the speaker hits the stage.
Bloomberg charges $1 million a year for algorithmic access to that feed. The machines trade it in thousandths of a second.
So watching the speech live gives you zero edge. Your edge is the order flow that plays out after, and that’s exactly what I traded in today’s session.
Volatility told the story before he said a word. The SPX carried a $43 expected move into Thursday’s close with no vol crush overnight, because the market knew this speech was the event.
Here’s what today’s video breaks down:
- The SPX expected move contracted from $43 to $38 to $33 as the speech played out.
- Fed Fund futures repriced live: October now leans toward a hike and December looks all but certain.
- My Peabody Energy spread showed a $1.02 mid. I calculated 72 cents of intrinsic value and routed at 88 cents, refusing to pay past 89.
- 31,000 contracts traded on one at the money strike with almost no open interest. Pure gamma, in and out all day.
- The S&Ps pumped 5,000 to 6,000 contracts a minute while sitting unchanged on the day.
There’s a confession in this one too. I’m still short 100 shares of CRM by pure accident, and I walk through exactly how it happened and what it cost me.
Markets that look quiet on the surface can hide real violence underneath. Friday had both, and the tape showed you how to tell the difference.
