Electronic Market Making at high volatility
Trades done using the TREMMORS™ algo on a record-swing (368 point range) day of Thursday August 16th and the following strong trending (230 point spike) day of August 17th.
The CBOE Volatility Index shot to 37.5 by noon on Thursday the 16th and closed near its lows around 30.8. A wide range day that swung violently between deep losses and the flat marks within the span of 3 hours. We applied TREMMORS™ to five large-cap names with the following results on the day:
On Friday the 17th, the market gaps sharply up on news that the Fed had cut the discount rate by half a percentage point to 5.75% ending the day up 233 points from the Thursday session. We again ran TREMMORS™ against the same five names with the following results:
The algo exhibits a great balance between the Long and Short sides of the trade with a good ability at extracting profits under fast spiking and equally receding volatilities.