Jesse's Café Américain Fri 2010-01-29 16:15 EST
Why Are 86% of the NY Fed's MBS Purchases Occurring During Option Expiration Weeks?
My friends at ContraryInvestor have published some remarkable data...This data suggests that the Fed's purchases of Market Backed Securities serves not only to artificially depress mortgage rates and the longer end of the yield curves. The purchases occur, with a remarkably high correlation of 86%, during monthly stock market options expiration weeks in the US...Talk about timing of liquidity injections to get maximum effect in the equities market...option expiration in the US stock indices occurs on the third Friday of every month. We have pointed out in the past that this monthly event is often the occasion of some not so subtle racketeering by the funds and prop trading desks.
86; Jesse's Café Américain; NY Fed's MBS Purchases Occurring; options expirations week.