CME pit volume sharp DROP

S

saschabr

Hi Guys,

has anybody else noticed this sharp decline in CME-pit traded
equitity index futures during the last days ?

I think it started with the last rollover into June, but the
development over the last 3 days is - let me call it - dramatic.

While in February 100.000 "big" S&Ps changed hands during RTH and 240.000 Globex-Minis were traded, yesterday + day before yesterday around 250.000-300.000 Minis traded while the pit volume was hammered down to a pointless 40-50k.
Volume in the NDX has gone electronic long before, the pit contract was traded about 15000 (150-200k minis) times yesterday, that thing is a dead cat.

Is the market really going electronic now ? It would be a great advance, in my opinion at least.

IF YOU HAVE ANY DETAILED INFO ON WHAT IS GOING ON THERE,
PLS SHARE IT, WOULD BE REALLY NICE.
 
well, volume was very low for the markets NYSE and Nasdaq for the past days.
So the past days are not really indicative imo.
Although the trend going toward electronic markets I think is real.
 
NEO,

you are perfectly right considering cash market trade volume.
however, i download + read the CME trade statistics every day
and i do this now for some months, and i can tell you nearly for sure that there is something going on. 40000 big S&P during
RTH is - BY FAR - the lowest figure i remember.
Also, volume in the minis remained at it's levels or increased,
only the pit was affected by this drop.
 
Bachelier: at least you will be rewarded by a more fair market:cool: (i point out: i have nothing against pit traders. the only point is: i am not one of them and i do not want them to have an unfair advantage)
 
The only thing that I know of that may be a factor in the decline in volume is the holiday shortened week. No trading on Good Friday. Volume should be even lighter tomorrow.
 
1- holiday
2- end of quarter and other admin things affecting trading and CTAs/funds/etc
3- Volume will pick up in full Moon (was already up today)
 
saschabr: I've noticed the same but not as dramatic a thing happening with bonds and 10yr. at CBOT. Every day since rollover ACE picks up on a % basis. Now up to about 60% of RTH volume. And by the way, if DEF is viewing, how about seat prices at the CBOE. $235,000!!
Can't remember when they were that low.
 
Pabst: Very good point with the seat prices here.
I just checked CME's site, and voila, an IMM seat changed its owner at $370,000, which is far beyond the $5/600,000 paid in 2000/2001. An IOM seat was thrown away for $275,000, i think traders paid something around 400k some months earlier.
By the way: the bid prices for the seats were "hit", so somebody
wanted to get out of this seat soon :) , however the spreads are awfully wide...

There was an interesting article posted in Reuters news last weekend, i will try to find it again, then post it here, it stated some nice comments of bank/brokerage bosses about the steal which takes place due to the dual systems. Fimat (SocGen- one of the real big players in derivatives) was complaining heaviliy and urging CME to go electronic for all contracts now.

However, let's hope change has begun.

Sascha
 
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