Who is controlling TRANSTHERA-B (02617)? Quantitative game behind the 45 billion trading volume of the four-stage disassembly.

On September 16, the Hong Kong stock market witnessed an extreme market movement that was astonishing. TRANSTHERA-B (02617) experienced a rollercoaster-like trend within a single day, surging nearly 60% in the morning session but plunging rapidly by over 58% in the afternoon, with a total daily volatility close to an astounding 124%. By the closing bell, its stock price fell to 192 Hong Kong dollars, and its total market value dropped from its peak to 76.204 billion Hong Kong dollars. With a turnover of over 4.5 billion Hong Kong dollars and a turnover rate of 4.13%, there was an intricate battle led by quantitative funds behind the scenes. Extreme volatility reveals liquidity trap From the perspective of the stock market data, there were several abnormal characteristics in the performance of Therabody that day. The stock opened at 477.2 Hong Kong dollars, a 15% gap up from the previous day's closing price of 415 Hong Kong dollars, indicating a strong bullish sentiment overnight. The stock continued to rise after opening, reaching a historical high of 679.5 Hong Kong dollars with a nearly 60% increase. Of note, in response to the abnormal price and volume fluctuations in the early trading session, Therabody issued an announcement during the midday break, stating that the company's trading price and volume had experienced abnormal changes recently. The Board of Directors confirmed that they were unaware of any reasons that could have led to such abnormal fluctuations in stock prices and volumes. However, the good times did not last long, and the stock price took a sharp turn in the afternoon, plummeting freely to a low of 165 Hong Kong dollars, ultimately closing at 192 Hong Kong dollars, resulting in a daily decrease of 53.73%. This kind of extreme volatility is extremely rare in mature capital markets, and the 123.98% volatility clearly indicates that the market's price discovery mechanism completely failed in a short period of time. Furthermore, despite a turnover of 45.43 billion Hong Kong dollars, the turnover rate of the stock was only 4.13%. This combination of low turnover rates and high volatility reveals the typical characteristics of quantitative trading true panic selling and buying only occurred in a few select stocks, while most stocks remained essentially "locked" with very shallow market depth. The market data further reveals the existence of liquidity trap. The extreme ratio of 90.91% buy orders in the ten rows vs. 9.09% sell orders in the ten rows indicates that buy orders were all placed at lower levels far from the market price, waiting to "buy cheap," while lacking active buying interest at current levels. From the perspective of investor structure, Therabody's shareholder group showed a clear polarization: one side was strategic investors who were optimistic about the company's fundamentals and held stable positions without easily selling; the other side consisted of short-term traders represented by quantitative funds who utilized algorithms for high-frequency trading. When the latter group collectively shifted to selling, and the former group held their positions, there was insufficient buying interest in the market, causing a few sell orders to trigger a significant decline in stock prices. Order flow data provides more details. At 15:59, there were multiple tiny trades of 500 shares (exactly the standard lot size) executed at 187.7 Hong Kong dollars. This "one trade at a time" pattern is usually a result of algorithmic trading testing market liquidity or attempting to precisely control the closing price, serving as a reference anchor for algorithms on the next trading day. Deconstructing the operational mechanism behind algorithmic gaming Therabody's extreme market movement perfectly showcased the typical operational path of domestic quantitative institutions borrowing from US stock practices, in four stages. In the first stage, liquidity attraction and short squeeze layout. Quantitative funds initially utilized the unique high valuation and low liquidity characteristics of biotech stocks to slightly boost the stock price through algorithms, attracting trend traders and retail investors chasing momentum to enter the market. The surge to 679 Hong Kong dollars at the opening was likely to trigger algorithmic buy orders and short-covering stop orders, forming an artificial short squeeze. In the second stage, liquidity withdrawal and flash crash trigger. After the stock price was pushed to an extreme high level, the main quantitative funds would instantly remove all buying orders providing liquidity, while initiating algorithmic sell orders. Due to the shallow depth of market buy orders, the first sell order would lead to a significant price drop. The low of 165 Hong Kong dollars was likely to have touched the risk control line of certain quantitative models, triggering a chain reaction of programmatic selling. In the third stage, multi-kill and spiral downward. The rapid decline in stock prices will trigger a series of risk control stop-loss orders (either institutional programmatic risk control or retail stop-loss orders). These stop-loss orders turning into market sell orders further impact the market. Meanwhile, algorithms will accelerate selling based on real-time data (such as an active trading rate of 1.49), forming a self-reinforcing downward spiral. In the fourth stage, low-level turnover and position adjustment. When the stock price drops to a low enough level (close to 170 Hong Kong dollars), the previously prepared short positions begin to cover for profits (buying), engaging in trades with funds attempting to "buy low." Quantitative programs have also completed a perfect "sell high, buy low" cycle. The latest disclosure of broker seat data provides crucial insights into this sudden drop, revealing the behind-the-scenes battle of funds. There were starkly opposite operations through the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect channels. China Investment (Shanghai-Hong Kong Connect) recorded a net purchase of 497,500 shares, while China Chuangying (Shenzhen-Hong Kong Connect) saw a significant net sale of 801,500 shares. This indicates a significant disparity in the internal value judgment of mainland funds towards the stock. The resolute sell-off by Shenzhen-Hong Kong Connect funds became an important short-selling force that day. On the net sellers list, top international investment banks such as Morgan Stanley (-258,000 shares), J.P. Morgan (-41,500 shares), and ING Bank (-90,500 shares) were prominently featured. They typically represent the trends of overseas institutional investors, hedge funds, and quantitative funds, and their coordinated selling actions indicate that professional fund groups chose to realize profits at high levels or engage in short-selling that day. In conclusion, behind the "one-day ice and fire tour" of TRANSTHERA-B lies the market battle dominated by quantitative funds. The stock's daily volatility close to 124%, turnover exceeding 45 billion Hong Kong dollars with only a 4.13% turnover rate, highlights the gaming mechanism of algorithmic trading in a market with shallow depth: through short squeezes, liquidity withdrawals, stop-loss triggering, and low-level replenishment, a series of precise operations are conducted to complete a cycle of "sell high, buy low." Investors need to be highly vigilant of the risks of price fluctuations driven by algorithms.