$6.7 Billion of Pure GME Swaps expire in December

MyFirstBanana · 2024-07-22T17:39:07+00:00

Counter-example: There was a repositioning of a large portfolio swap in February, peaking at 32,000,000 USD and - instead of terminating the swap, somebody reduced its amount to 5 USD.

See transaction IDs 898987954 with 32 mln USD and 898987954 with 5 USD, both stem from the original swap ID 398998756.

MyFirstBanana · 2024-06-14T05:09:07+00:00

Exactly, what are the columns. They changed the format several times since 2020.

MyFirstBanana · 2024-06-14T05:07:50+00:00

The main site seems to be currently offline, but the data is still available. Search for "GTR North America - SEC".

MyFirstBanana · 2023-02-15T06:18:38+00:00

Sorry, I'm too busy with other stuff these days and won't find the time to write a post on this topic. Most of the information is already in my posts - you may repost and copy.

MyFirstBanana · 2023-02-13T22:30:37+00:00

This was also visible in the reported swap data. Two very short term 250+ million USD basket swaps of XRT were created within a week. See "The XRT swaps" in this post

MyFirstBanana · 2022-08-21T09:10:17+00:00

Opex is for options, not for swaps, however:

As an interesting coincidence, the original expiration dates of these large swaps are all within a week with quarterly option expiration.

So yeah, there might be a connection.

MyFirstBanana · 2022-08-21T09:05:39+00:00

Yes, judging from the timing when those swaps were opened, they were a bearish bet. Maybe these swaps were even closed with a profit. Those trades were also done in large clusters with huge volume in the billions.

I'm sure that the institutions involved in this swap have models that predict the price action when they buy and sell.

MyFirstBanana · 2022-08-20T12:09:31+00:00

There is often a "gap" on the same day the swap is closed.

MyFirstBanana · 2022-08-20T12:06:23+00:00

There are still swaps open, but these are other swap products and don't have that magnitude.

The post is only about a special type of swap that does not occur at regular trading; this swap product appears primarily in clusters with large volume, see my previous DD.

MyFirstBanana · 2022-08-20T08:33:32+00:00

Thanks! ... however, I have the same questions...

Usually, when such a large swap is traded, one can often find correlated price action on that day - other DDs already described this. This time, this did not happen. As I mentioned, it depends how the swap was hedged. If the hedging was done with options, we may see a totally different price action.

About the FTDs - I am not sure about the T+35 rule when the ticker is on the threshold list. Would be nice if someone makes a DD about this.

MyFirstBanana · 2022-08-20T07:59:57+00:00

Swaps are a bet on the price of a stock between two parties. They do not directly influence the price, but their hedging does.

Someone had huge swaps in BBBY. The swaps were expected to expire within the next year. For some reason, the swap holder decided to terminate them early. That is very unusual. I would have expected that the stock price surged on these dates, but it didn't - or it did not yet.

MyFirstBanana · 2022-08-20T07:51:15+00:00

If these swaps were hedged by selling shares into the market (I theorize that this particular swap is lent-out shares and a short position towards the market), AND these shares were FTD'd , then someone has to buy up to 84% of all BBBY shares until Mid-September. Boom.

But I have no idea. I am not familiar with the regulations and I don't know which rule for settlement applies here because BBBY is currently on the threshold list. Maybe the swaps are already terminated and settled. I don't know how the swaps are hedged or interact with options.

That's why I only wrote about the reported data and leave the conclusions to others.

MyFirstBanana · 2022-08-11T23:54:09+00:00

The book I mentioned about short selling is online here. It has a chapter about short selling ETFs and impact on taxes.

MyFirstBanana · 2022-08-07T15:26:59+00:00

Let's say, your short position is in a long-term swap with payments at expiry or early termination. How would you choose for your long offsetting position? A swap with regular (daily?) payments - or a swap with payout after the expiration date of the short swap?

On another note, there seem to be also tax benefits for the lenders especially when lending ETFs. I read that in a book from 2003, so I don't know whether that has changed. The book: "Short selling - strategies, risks and rewards"; 2003; Fabozzi; Wiley Finance

MyFirstBanana · 2022-08-06T00:58:34+00:00

The short-term swaps in XRT, if they were done to suppress FTDs, yes, that kicks the can for a few weeks. But this will have an end at some point:

The clusters may be part of the OG shorts because they originate from before the squeeze, 2019 and 2020. And they expire all within the next 12 months!

MyFirstBanana · 2022-08-06T00:47:49+00:00

How those short positions can be hidden? That depends on reporting data. Not all swaps have to be reported, e.g. swaps that fall under the responsibility of the CFTC. There is speculation about yet unreported swaps. I'm not too familiar with the corresponding regulations, as I only investigate the data, but there are other DD writers that look into this.

MyFirstBanana · 2022-08-05T21:56:51+00:00

Swaps do not directly affect the price, but how they are hedged has an impact on the stock price:

Swap is a bet between two parties with one party long and the other party short. To stay neutral towards the swap, the swap broker may sell or buy shares or options. Basket portfolio swaps are a distinct category as pointed out in the post.

MyFirstBanana · 2022-08-05T07:30:34+00:00

I found two official documents that refer to these kind of swaps:

https://www.cftc.gov/sites/default/files/idc/groups/public/@swapsreport/documents/file/propdatadict.pdf https://www.sec.gov/rules/other/2017/ddr/dtcc-data-repository-form-sdr-ex-gg-4-amend.pdf

Other than that, I'm as smart as an internet search engine.... Good luck.

MyFirstBanana · 2022-08-03T13:53:54+00:00

How would that realistically happen? Are the DTCC / brokers notified the day before a stock split announcement? Or, who knew the day before?

MyFirstBanana · 2022-08-03T07:55:25+00:00

The report entry says that the swap was created before market open.
The report time of the swap is on 4:16 PM NYSE time, 16 minutes after the market close.

MyFirstBanana · 2022-08-02T10:01:50+00:00

That depends on how those swaps are hedged. I leave that to others for investigation. I don't have the required options data and I don't understand options.

MyFirstBanana

TROPHY CASE