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151k IN ES @ 37.50
- Thread starter jax88
- Start date
Quote from nevadan:
I haven't found anything in the rules yet about how the volume for these trades are reported. I think the European exchanges put off-floor volume in the tape some time after the trades occur but I didn't think it was done in the US.
That would have been an option but that is not what the tape says. What we have here is a myriad of 0.1k - 1.1k trades.
CME Rulebook
Chapter 5. Trading Qualifications and Practices
Rule 526. BLOCK TRADES
The Exchange shall designate the products in which block trades shall be permitted and determine the minimum quantity thresholds for such transactions. The following shall govern block trades:
A. A block trade must be for a quantity that is at or in excess of the applicable minimum threshold. Orders may not be aggregated in order to achieve the minimum transaction size, except by those entities described in Sections I. and J.
B. Each party to a block trade must be an Eligible Contract Participant as that term is defined in Section 1a(12) of the Commodity Exchange Act.
C. A member shall not execute any order by means of a block trade for a customer unless such customer has specified that the order be executed as a block trade.
D. The price at which a block trade is executed must be fair and reasonable in light of (i) the size of the block trade, (ii) the prices and sizes of other transactions in the same contract at the relevant time, (iii) the prices and sizes of transactions in other relevant markets, including without limitation the underlying cash market or related futures markets, at the relevant time, and (iv) the circumstances of the markets or the parties to the block trade.
E. Block trades shall not set off conditional orders (e.g., Stop Orders and MIT Orders) or otherwise affect orders in the regular market.
F. The seller must ensure that each block trade is reported to the Exchange within five minutes of the time of execution; except that block trades in interest rate futures and options executed outside of Regular Trading Hours (7:00 a.m. â 4:00 p.m. Central Time, Monday â Friday on regular business days) and Housing and Weather futures and options must be reported within fifteen minutes of the time of execution. The report must include the contract, contract month, price, quantity of the transaction, the respective clearing members, the time of execution, and, for options, strike price, put or call and expiration month. The Exchange shall promptly publish such information separately from the reports of transactions in the regular market.
G. Block trades must be reported to the Clearing House in accordance with an approved reporting method.
H. Clearing members and members involved in the execution of block trades must maintain a record of the transaction in accordance with Rule 536.
I. A commodity trading advisor ("CTA") registered or exempt from registration under the Act, including, without limitation, any investment advisor registered or exempt from registration under the Investment Advisors Act of 1940, shall be the applicable entity for purposes of Sections A., B., C., and D., provided such advisors have total assets under management exceeding $25 million and the block trade is suitable for the customers of such advisors.
J. A foreign Person performing a similar role or function to a CTA or investment advisor as described in Section I, and subject as such to foreign regulation, shall be the applicable entity for purposes of Sections A., B., C., and D., provided such Persons have total assets under management exceeding $25 million and the block trade is suitable for the customers of such Persons.
Section F seems to rule out a block trade hitting the tape. "The Exchange shall promptly publish such information separately from the reports of transactions in the regular market."
Interesting trades. It's obvious they chose the time specifically so that people in all US markets would see and react to these trades, like a poker player loudly declaring their raise. If they wanted to hide it, they could have done it a lot better, but choosing the middle of the day where they must report it within 5 mins shows that they really wanted everyone in the US to notice.
As well, if I'm not mistaken this is just after Frankfurt closes, so they really only wanted it to shake the US markets.
As well, if I'm not mistaken this is just after Frankfurt closes, so they really only wanted it to shake the US markets.
Either:-
(1) Don Miller flipped 200k for a quick scalp!
or
(2) Fed flipped over from long 100k to short 100k, Paul Tudor Jones taking the other side...perhaps the Fed has been told by PBOC that they're adjusting the RMB peg this week... (going from +100k to -100k would keep you within the position limits)
It makes you wonder if the position limit still applies to the Plunge Protection Team or Fed's 'off balance sheet' activities...
A question for the CME perhaps..
Like everyone else I assumed it was an IB data feed problem at the time.
(1) Don Miller flipped 200k for a quick scalp!
or
(2) Fed flipped over from long 100k to short 100k, Paul Tudor Jones taking the other side...perhaps the Fed has been told by PBOC that they're adjusting the RMB peg this week... (going from +100k to -100k would keep you within the position limits)
It makes you wonder if the position limit still applies to the Plunge Protection Team or Fed's 'off balance sheet' activities...
A question for the CME perhaps..
Like everyone else I assumed it was an IB data feed problem at the time.
Quote from lurefo:
That would have been an option but that is not what the tape says. What we have here is a myriad of 0.1k - 1.1k trades
here is what TS shows right after it happens:
that volume chart looks incredibly smooth...surely only an algo trading system could generate something like that..?
Could it be an algo offering 1137.25 and bidding 1137.5 at the same time? Or some variation? And another algo picking them off for the an 0.25 arb? Is that feasible?