"...nobody was willing to sell into that massive
bid..."
Of course they were willing to sell, how do you think the trades
got completed, someone HAD TO SELL and someone had to buy!! What
was the open interest at the end of the day was it up down or
unchanged...there is where you will find the real
answer.....helicopter ben and the PPT notwithstanding.
Posted by doctormike on 14th of Jan 2010 at 04:27 pm
I saw the same thing. I really doubt that the volume is all
buying or all selling. I believe that it's in and out with high
speed trading. If that trade does stay in the es system. The future
should either shoot up and shoot down very strongly, and it will
influence s&p cash since people arbitrage between es and
cash.
Posted by foolwise on 14th of Jan 2010 at 04:47 pm
You are correct and that was the exact point I was trying to
make this morning. The market tested that area and bounced nicely
from there. That will be a key level to watch for a while.
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Here is a chart of the volume spike I mentioned.
Posted by foolwise on 14th of Jan 2010 at 03:37 pm
volume spike
Posted by x100 on 15th of Jan 2010 at 12:23 am
this is from larry levin's Secrets of traders web site
2:03 p.m. EST
What happened at 12:03pm Eastern Time? There were no reports out, the 10-YR
Note auction wasn’t until 12pm, and the S&P500 was a bit stonewalled just
under 1137.00 after a rally from the day’s low. As the market advanced
slowly through the congestion it hit: a MASSIVE order, or series of orders,
lifted the offer in the e-minis. But it wasn’t your garden variety large
order of 2,000 mini’s - I’m talking about 114 times that size.
At 11:03am today at the Chicago Board of Trade (12:03pm EST) over a quarter
of a million mini-S&P500 orders traded north of 1137.00! (228,000 last
count)
I looked at the attached chart in disbelief. (Please see attached chart for
more info.)
Could this be real I wondered? Was it some sort of computer malfunction
that added too many zeros to the reported, yet smaller, trades?
No, that’s not what happened. In fact, a bit of a hullabaloo occurred
around my trading booth on the floor of the CBOT as many locals, brokers,
and compliance members stared at the aforementioned volume chart in
disbelief. As it turns out, all of the trades were indeed valid. None were
busted. Moreover, as one of the compliance members told me, he saw the
trades listed sequentially (1,000 or 2,000 lot orders) and they all occurred
with milliseconds of one another until the massive order was completed.
This order size takes a SERIOUS bankroll to get done. If you are wrong by
one-point on a 228,000 lot ES order, you can say goodbye to $11,400,000.00.
If you contemplate this size your margin requirement is $1,282,500,000.00,
while the notional value is $12,961,800,000.00.
Has a new “playha” hit the scene? Is his nickname “Helicopter?” Has high
frequency trading (HFT) taken root in the mini-S&P in a huge way?
In the end it may turn out to have been a “cross trade,” where one
institutional firm prearranges a large order with another to clear it in an
orderly fashion.
As of now I don’t have a firm answer, but whether it was HFT activity, the
“Helicopter,” or a massive cross trade, it sure set the bottom in for the
afternoon. Everyone in the Dow, Nasdaq, and S&P pits were talking about it
and nobody was willing to sell into that massive bid.
volume spike---what about open interest?
Posted by perthx on 15th of Jan 2010 at 05:54 pm
"...nobody was willing to sell into that massive bid..."
Of course they were willing to sell, how do you think the trades got completed, someone HAD TO SELL and someone had to buy!! What was the open interest at the end of the day was it up down or unchanged...there is where you will find the real answer.....helicopter ben and the PPT notwithstanding.
I saw the same thing.
Posted by doctormike on 14th of Jan 2010 at 04:27 pm
I saw the same thing. I really doubt that the volume is all buying or all selling. I believe that it's in and out with high speed trading. If that trade does stay in the es system. The future should either shoot up and shoot down very strongly, and it will influence s&p cash since people arbitrage between es and cash.
You are correct and that
Posted by foolwise on 14th of Jan 2010 at 04:47 pm
You are correct and that was the exact point I was trying to make this morning. The market tested that area and bounced nicely from there. That will be a key level to watch for a while.