how many contracts...

S

saschabr

hey traders,

i have a question for you:

what do you think, how many e-mini contracts do you need
to sell "marketable" within 10-20 minutes to _reasonably_ push the S&P down 10 pts on a normal-volumed day (350.000 ctrct/day) during regular hours, say at 10.00 am.

i mean not throwing away 5000 at market, i mean what a
reasonable bank/prop trader would do, namely selling
these suckers as good as he can get it within 10-20 minutes.
(remember: down 10 pts in 10-20min - how many contracts
to hit the bids with ???)

the deal is, i found a method to estimate this well,
but i am unsure if i am right, i want your opinions first,
later i will post my result.

regards,
sascha
 
If your expressed intent is to drive the market to a specific level, this is known as "manipulation." It sounds like you are trying to trigger someone's stops.

I don't think you should be soliciting people's opinions regarding potential illegal behavior.

(Just a word to the wise)
 
Interesting question. Varies day to day obviously, today a heck of a lot, last Friday, not as many. I suspect that it would take more e-mini's than the comparable number of pit contracts because you wouldn't be as obvious. If the Goldman pit broker immediately starts hitting every bid, you can bet every local will be offering too. What might well happen in your scenario is the premium would drop enough that sell programs would fire, giving you a big drop. Not that any traders would ever try to do that of course.
 
Six weeks ago I remember that Refco sold 1,000 Spoos in the pit in about 45 minutes. They just waited until the market was within their 5-point price target range. They let it crawl up, as I recall, and then started to scale them off. They did this again and again until they were done. We have an arb clerk who was counting them off. Morgan Stanley took about half of them (index arbitrageurs).

Firms who do size in that market (and there are many) SCALE. If you're smart and scale the order, you can do 1,000. If you told a floor broker to sell 1,000 at market, he would get about 200 done, and then locals would race him until they were limit down. Just ask George Soros.
 
A futile mental exercise on your part. Ask Deutsche-Bank with that monstrous DAX futures sale that got busted. Too many fair value index arbitrageurs that are willing to take'em. Even if you got through all of the stop-sell orders, those index arb bids would dog you all the way down.

Now, interest-rates are a different story. Many more available.
 
Originally posted by thetraderprofit
If your expressed intent is to drive the market to a specific level, this is known as "manipulation." It sounds like you are trying to trigger someone's stops.

I don't think you should be soliciting people's opinions regarding potential illegal behavior.

(Just a word to the wise)
More...

Since when is manipulation illegal?
 
...I'd say that it is impossible to answer that question. Why? Well one is that you really have no idea what your selling would cause to trigger. You also would not know if the day is going to be "normal" until after the day is over with. I'd say there is no "set" answer as it would vary greatly day to day depending on prevailing market conditions.

I'm willing to listen to your theory though. Prove me wrong.

:)
 
hello again,

arrgg... only 1,2,3 serious replies.
however, the 1000 big contracts stated here are a good
starting point.

i developed several market indicators, one of them
telling as a side effect, how many traded contracts
actually influence the market.

i found out the following: in the e-mini, you will need
about 6000-8000 contracts to get the market down
7-10 pts during the specified time frame.

originally, i was shocked that so little power is needed,
in contrast, 350.000 ct. trade per day.

regards,
sascha
 
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