While getting a hearty chukcle reading how averging down is the holy grail, someone posted a Niederhoffer article that said he invested a billion in futures on a hunch. Can someone easily invest a billio dollars in futres in one day without moving the markets far against them? If not, what would he buy to invest a billion that fast? It obviosuly bit him.
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How to invest a billion in futures?
- Thread starter bontrjd
- Start date
presumably they are talking about a billion in face-value futures.
so a billion would be, for example, in the S&P emini futures, 12,800 contracts, or 10,000 contracts in the 30yr Bonds.
whilst this is pretty hefty size, its not unworkably large - on the 30yr bonds I'm seeing 18,000 contracts offered on the 15 inside prices, so if you wanted an instant fill, you could fill 10,000 contracts with about 8 ticks slippage.
If you wanted to work a price, you could probably sweep three or four prices and work the rest which would likely be eaten by arbitrageurs on the calendar spreads in a matter of seconds.
so not difficult to bet a billion if you really wanted to.
so a billion would be, for example, in the S&P emini futures, 12,800 contracts, or 10,000 contracts in the 30yr Bonds.
whilst this is pretty hefty size, its not unworkably large - on the 30yr bonds I'm seeing 18,000 contracts offered on the 15 inside prices, so if you wanted an instant fill, you could fill 10,000 contracts with about 8 ticks slippage.
If you wanted to work a price, you could probably sweep three or four prices and work the rest which would likely be eaten by arbitrageurs on the calendar spreads in a matter of seconds.
so not difficult to bet a billion if you really wanted to.
Likely any stockbroker would ask you for collateral when trading futures, even if you show up with one billion. LTCM provided a good lesson about collateral margin.Quote from bontrjd:
While getting a hearty chukcle reading how averging down is the holy grail, someone posted a Niederhoffer article that said he invested a billion in futures on a hunch. Can someone easily invest a billio dollars in futres in one day without moving the markets far against them? If not, what would he buy to invest a billion that fast? It obviosuly bit him.
So you would buy, at most, 500 or 300 million in futures, the rest in treasury bonds or stocks.
About 13,000 ES contracts have a notional value of $1,000,000,000. The ave daily volume in ES is about 1 million contracts, so your order size is a little over 1% of the daily volume. While significant, it's not that large. Take a look at ES bid/ask size during heavy trading. It's often 2000 contracts bid, 2000 contracts ask. So it would not be that difficult to buy/sell 13,000 contracts in a single day.