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Based on my riskless arbitrage theory, I have conducted the following forensic studies:
The rights started trading on 1 Jul and the following are the turnover in units:
Mother shares: 4.924m shares
Rights: 4.721m
The theoretical ex rights price on 24 Jun was $34.21
The day before rights started trading on 30 Jun, mother shares ended at 33.10
Today's intraday low is $28.78
Total JC&C paid up cap is currently 395.236m
Assuming 80% of 4.721m rights were related to algo based arbitrage = 3.776m shares
Average margin of $0.10, the arbitrage profits before SGX clearing is $0.3776m
The mkt cap wipe out from the 30 Jun to today's intraday low is S$1707m
It is amazing how for less than S$0.4m riskless profits, mkt cap in excess of S$1707m can be wipeoff a bluechip and resulting in all sorts of noise and nerve wreck on a stock.
A remiser friend of mine was asking - doesn't watch dog investigate such erratic market movements? Is this part of normal business?
It also bring me back to my broken recorder: What is the investigation outcome of the crash of the 3 msian penny stocks? Is someone sleeping?
Is this part of normal business?
Vested
J C&C
[Modified by Admin : (33.1 - 28.78)*395.236m = 1707m, not 170.7m as stated previously by GG]
The rights started trading on 1 Jul and the following are the turnover in units:
Mother shares: 4.924m shares
Rights: 4.721m
The theoretical ex rights price on 24 Jun was $34.21
The day before rights started trading on 30 Jun, mother shares ended at 33.10
Today's intraday low is $28.78
Total JC&C paid up cap is currently 395.236m
Assuming 80% of 4.721m rights were related to algo based arbitrage = 3.776m shares
Average margin of $0.10, the arbitrage profits before SGX clearing is $0.3776m
The mkt cap wipe out from the 30 Jun to today's intraday low is S$1707m
It is amazing how for less than S$0.4m riskless profits, mkt cap in excess of S$1707m can be wipeoff a bluechip and resulting in all sorts of noise and nerve wreck on a stock.
A remiser friend of mine was asking - doesn't watch dog investigate such erratic market movements? Is this part of normal business?
It also bring me back to my broken recorder: What is the investigation outcome of the crash of the 3 msian penny stocks? Is someone sleeping?
Is this part of normal business?
Vested
J C&C
[Modified by Admin : (33.1 - 28.78)*395.236m = 1707m, not 170.7m as stated previously by GG]
(07-07-2015, 06:16 PM)greengiraffe Wrote: Its computer driven algo trading...
Once the computer long the rights, it will just sell the mother shares with borrowed scripts which will be return once the rights are subscribed.
U can see the fairly constant trading spread between the rights and the mother shares.
There are plenty of big bank backed traders that are using their computer trading systems to get this riskless arbitrage.
On ASX, such a phenomenon seldom exists as rights are non renounceable.
Rights trading last day on Thursday.
J C&C steep decline started when rights were first announced and when actual rights trading started, all hell break loose. Trading volume is also extraordinarily high.
Many companies with rights issues have experienced such selloff before.
Basically, its human against computers and in a relentless decline, negative sentiment and hence all sorts of justifications emerges and hence feed through to the vicious cycle.
Don't believe too much in my conspiracy theories. Do check against Astra and JC
&C share price over last 5 yrs via bloomberg.
Trading Vested
GG