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2021-05-28

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The Fed Explains Why Stocks Melt-Up In Overnight Trading<blockquote>美联储解释股市在隔夜交易中融化的原因</blockquote>

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The time stamps on the X axis are East Coast US time, starting at 6 pm local. As you can see, the largest returns (when the red line goes parabolic) are from 2am to 3am. During regular trading hours (930 to 1600, right side of the graph) average cumulative returns are basically flat.<blockquote>首先，这是美联储所谓的“隔夜漂移”。下图显示了1998年至2019年按小时划分的标普500期货日均回报率。X轴上的时间戳是美国东海岸时间，从当地时间下午6点开始。如您所见，最大的回报（当红线呈抛物线状时）是在凌晨2点到3点。在常规交易时间（930至1600，图表右侧），平均累积回报基本持平。</blockquote> <img src=\"https://static.tigerbbs.com/8bff0195f2ddcfa83057abf5b0d8431b\" tg-width=\"500\" tg-height=\"421\">The Fed attributes this “Drift” to US equity market makers absorbing excess supply during selloffs at discounted prices going into the 4:00 pm close, which in turn creates an artificially low S&amp;P closing price.The chart below shows the “Overnight Drift” broken down by days with high “RSV” (Relative Signed Volume, the percent of sell imbalances) versus those with no RSV or negative RSV (lots of buy interest at the close).Sure enough, days with high levels of selling at the close have a more pronounced positive “Overnight Drift”.<blockquote>美联储将这种“漂移”归因于美国股市做市商在下午4:00收盘时以折扣价抛售期间吸收了过剩供应，这反过来又人为地制造了较低的S&amp;P收盘价。下图显示了“隔夜漂移”，按“RSV”高（相对签约量，卖出失衡百分比）的天数与没有RSV或RSV为负（收盘时有大量买入兴趣）的天数进行细分。果然，收盘时抛售水平较高的日子有更明显的积极“隔夜漂移”。</blockquote> <img src=\"https://static.tigerbbs.com/14e7c06d0a9ffaff14246b05ed6d472c\" tg-width=\"500\" tg-height=\"436\">Takeaway: to the Fed’s thinking, the Overnight Drift is caused by non-US traders sniffing out artificially discounted closing S&amp;P prices and arbitraging them away (albeit with some risk) before the next trading day in the States.As for a practical takeaway, the first chart we showed you says that on average you’re often better off selling equity positions at the open and putting in your Buy tickets in the middle of the afternoon. Market events can always subvert that approach, of course, but on average it has been a productive rule set to follow.<blockquote>要点：在美联储看来，隔夜波动是由非美国交易员嗅出人为贴现的标准普尔收盘价并在美国下一个交易日之前套利（尽管存在一些风险）造成的。至于实用的要点，我们向您展示的第一张图表显示，平均而言，您通常最好在开盘时卖出股票头寸并在下午中旬买入。当然，市场事件总是会颠覆这种方法，但平均而言，这是一条值得遵循的富有成效的规则。</blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>The Fed Explains Why Stocks Melt-Up In Overnight Trading<blockquote>美联储解释股市在隔夜交易中融化的原因</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; 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}\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nThe Fed Explains Why Stocks Melt-Up In Overnight Trading<blockquote>美联储解释股市在隔夜交易中融化的原因</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-05-28 10:31\n\n</h4>\n</header>\n<article>\nBy now everyone has seen some iteration of this chart (most recently discussed here), which shows that whereas stocks are generally flat over longer periods of time during the regular \"cash\", or day session, they tend to melt up during the overnight hours when liquidity is far lower and when the \"pajama trades\" come out and play.<blockquote>到目前为止，每个人都已经看到了这张图表的一些迭代（最近在这里讨论过），它显示，尽管股票在常规的“现金”或日间交易中通常在较长时间内持平，但它们往往会在流动性低得多和“睡衣交易”出现时融化。</blockquote> <img src=\"https://static.tigerbbs.com/f6f35b3e516f95ea35d0b5a48b973719\" tg-width=\"500\" tg-height=\"287\">And while there is no single, widely accepted reason for this \"overnight drift\", the post-closed meltup phenomenon has been one of the most popular and recurring strategies in equity markets, with many traders selling spoos when the day session begins and then re-buying at the market close in pursuit of scarce alpha.<blockquote>虽然这种“隔夜漂移”没有单一的、被广泛接受的原因，但收盘后的熔化现象一直是股市中最受欢迎和反复出现的策略之一，许多交易者在当日交易开始时卖出SPOO，然后在收盘时重新买入，以追求稀缺的阿尔法。</blockquote> Today,DataTrek's Nicholas Colasgoes right after the $64 trillion question and asks \"why do US stocks so often seem to rally overnight rather than during regular trading hours?\"&nbsp;He answers by pointing to an analysis published today by the New York Fed which has some notable observations and makes an interesting conclusion..<blockquote>今天，DataTrek的尼古拉斯·科拉斯(Nicholas Colas)紧随64万亿美元的问题之后问道：“为什么美国股市似乎经常在隔夜而不是在正常交易时间上涨？”他指出了纽约联储今天发表的一份分析报告，其中有一些值得注意的观察结果，并得出了一个有趣的结论..</blockquote> First, here is what the Fed dubs the “Overnight Drift”.&nbsp;The chart below shows average daily S&amp;P 500 futures returns by hour from 1998 – 2019. The time stamps on the X axis are East Coast US time, starting at 6 pm local. As you can see, the largest returns (when the red line goes parabolic) are from 2am to 3am. During regular trading hours (930 to 1600, right side of the graph) average cumulative returns are basically flat.<blockquote>首先，这是美联储所谓的“隔夜漂移”。下图显示了1998年至2019年按小时划分的标普500期货日均回报率。X轴上的时间戳是美国东海岸时间，从当地时间下午6点开始。如您所见，最大的回报（当红线呈抛物线状时）是在凌晨2点到3点。在常规交易时间（930至1600，图表右侧），平均累积回报基本持平。</blockquote> <img src=\"https://static.tigerbbs.com/8bff0195f2ddcfa83057abf5b0d8431b\" tg-width=\"500\" tg-height=\"421\">The Fed attributes this “Drift” to US equity market makers absorbing excess supply during selloffs at discounted prices going into the 4:00 pm close, which in turn creates an artificially low S&amp;P closing price.The chart below shows the “Overnight Drift” broken down by days with high “RSV” (Relative Signed Volume, the percent of sell imbalances) versus those with no RSV or negative RSV (lots of buy interest at the close).Sure enough, days with high levels of selling at the close have a more pronounced positive “Overnight Drift”.<blockquote>美联储将这种“漂移”归因于美国股市做市商在下午4:00收盘时以折扣价抛售期间吸收了过剩供应，这反过来又人为地制造了较低的S&amp;P收盘价。下图显示了“隔夜漂移”，按“RSV”高（相对签约量，卖出失衡百分比）的天数与没有RSV或RSV为负（收盘时有大量买入兴趣）的天数进行细分。果然，收盘时抛售水平较高的日子有更明显的积极“隔夜漂移”。</blockquote> <img src=\"https://static.tigerbbs.com/14e7c06d0a9ffaff14246b05ed6d472c\" tg-width=\"500\" tg-height=\"436\">Takeaway: to the Fed’s thinking, the Overnight Drift is caused by non-US traders sniffing out artificially discounted closing S&amp;P prices and arbitraging them away (albeit with some risk) before the next trading day in the States.As for a practical takeaway, the first chart we showed you says that on average you’re often better off selling equity positions at the open and putting in your Buy tickets in the middle of the afternoon. Market events can always subvert that approach, of course, but on average it has been a productive rule set to follow.<blockquote>要点：在美联储看来，隔夜波动是由非美国交易员嗅出人为贴现的标准普尔收盘价并在美国下一个交易日之前套利（尽管存在一些风险）造成的。至于实用的要点，我们向您展示的第一张图表显示，平均而言，您通常最好在开盘时卖出股票头寸并在下午中旬买入。当然，市场事件总是会颠覆这种方法，但平均而言，这是一条值得遵循的富有成效的规则。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/fed-explains-why-stocks-melt-overnight-trading\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"SPY":"标普500ETF",".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index",".DJI":"道琼斯"},"source_url":"https://www.zerohedge.com/markets/fed-explains-why-stocks-melt-overnight-trading","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1135914889","content_text":"By now everyone has seen some iteration of this chart (most recently discussed here), which shows that whereas stocks are generally flat over longer periods of time during the regular \"cash\", or day session, they tend to melt up during the overnight hours when liquidity is far lower and when the \"pajama trades\" come out and play.\nAnd while there is no single, widely accepted reason for this \"overnight drift\", the post-closed meltup phenomenon has been one of the most popular and recurring strategies in equity markets, with many traders selling spoos when the day session begins and then re-buying at the market close in pursuit of scarce alpha.\nToday,DataTrek's Nicholas Colasgoes right after the $64 trillion question and asks \"why do US stocks so often seem to rally overnight rather than during regular trading hours?\" He answers by pointing to an analysis published today by the New York Fed which has some notable observations and makes an interesting conclusion..\nFirst, here is what the Fed dubs the “Overnight Drift”. The chart below shows average daily S&P 500 futures returns by hour from 1998 – 2019. The time stamps on the X axis are East Coast US time, starting at 6 pm local. As you can see, the largest returns (when the red line goes parabolic) are from 2am to 3am. During regular trading hours (930 to 1600, right side of the graph) average cumulative returns are basically flat.\nThe Fed attributes this “Drift” to US equity market makers absorbing excess supply during selloffs at discounted prices going into the 4:00 pm close, which in turn creates an artificially low S&P closing price.The chart below shows the “Overnight Drift” broken down by days with high “RSV” (Relative Signed Volume, the percent of sell imbalances) versus those with no RSV or negative RSV (lots of buy interest at the close).Sure enough, days with high levels of selling at the close have a more pronounced positive “Overnight Drift”.\nTakeaway: to the Fed’s thinking, the Overnight Drift is caused by non-US traders sniffing out artificially discounted closing S&P prices and arbitraging them away (albeit with some risk) before the next trading day in the States.As for a practical takeaway, the first chart we showed you says that on average you’re often better off selling equity positions at the open and putting in your Buy tickets in the middle of the afternoon. Market events can always subvert that approach, of course, but on average it has been a productive rule set to follow.","news_type":1,"symbols_score_info":{".SPX":0.9,"SPY":0.9,".IXIC":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":308,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":4,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/135582035"}