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Who Painted Ambac’s Tape?

Posted By Barry Ritholtz On March 10, 2008 @ 7:30 am In Derivatives,Legal,Trading | Comments Disabled

Have a look at this run of transactions in the stock of Ambac (ABK) on Friday:

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Sg2008030761196_2 [1]

Source: Bloomberg Data Services

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Here’s why this is filed under category "Legal" — who on earth is painting the tape at 4:05pm more than 25% over the last price? 

Note that this was the day of the $1.5 Billion share offering . . .

Thanks, Scott!   

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UPDATE: March 10 2008, 11:00 am

My head trader tells me that there was a huge market-on-close buy imbalance, and there were attempts to find  sellers at $8.00 – 8.50, and $9.00.  No sellers appeared until $9.50, and the specialist went out short ABK for the weekend.   

Friday afternoon (3:40pm), the specialist posted a Market on Close Imbalance to Buy 8.1million shares; at 3:50, that was down to 6.7million shares.

None of the institutions were around to hit that bid at $9 ?

Current price: $7.15


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