July VIX futures @ 5.40 - Have nice weekend

[Cdntrader]

Bad data? So probably also bad volume

I have heard from friend of mine that one guy managing serious amount of money forgot to switch off his VIX Futures ATS and because markets were not moving (holiday), its ATS "calculated" that fair VIX Fut price is supposed to be just little bit above 5
This guy is probably in serious trouble now - he realized what has happened and now nobody can't find him, his cell phone is off... who knows if this story is true... ;-)

market was closed. test trades apparently = non event......back to the dock.

 

[tom_czr]

market was closed. test trades apparently = non event......back to the dock.

Interesting - I am around trading from 2006, from 2008 first trades, from 2009/2010 full time trader and I have never heard about "test trades"... some additional info somewhere? I have not found anything googling...

 

[gamblingman]

Interesting - I am around trading from 2006, from 2008 first trades, from 2009/2010 full time trader and I have never heard about "test trades"... some additional info somewhere? I have not found anything googling...

I think it's strange either way. It's unlikely that the vx dropped 50% after being this low to begin with, but it's also strange that they would push trades through and confuse everyone

 

[Zr1Trader]

Interesting - I am around trading from 2006, from 2008 first trades, from 2009/2010 full time trader and I have never heard about "test trades"... some additional info somewhere? I have not found anything googling...

I read that they were "test trades" as well. via twitter.

WTF are they doing "test trades" for and why at that price?

Someone from CBOE chime in?

As a note and very weird. Last time I saw a bad tick for VIX on my TOS charts ...the bad tick went to $16.5 on 1/16/14. This bad tick showed about a week before it actually did spike up that high.

 

[gamblingman]

I read that they were "test trades" as well. via twitter.

WTF are they doing "test trades" for and why at that price?

Someone from CBOE chime in?

As a note and very weird. Last time I saw a bad tick for VIX on my TOS charts ...the bad tick went to $16.5 on 1/16/14. This bad tick showed about a week before it actually did spike up that high.

I wonder if brokers were informed or if you had a long VX position on IB and it dropped 50% it may have triggered a forced liquidation. IB isn't very "understanding" in those situations.

 

[athlonmank8]

I wonder if brokers were informed or if you had a long VX position on IB and it dropped 50% it may have triggered a forced liquidation. IB isn't very "understanding" in those situations.

Im curious about that too. Obviously would have a broader impact

 

[Zr1Trader]

I wonder if brokers were informed or if you had a long VX position on IB and it dropped 50% it may have triggered a forced liquidation. IB isn't very "understanding" in those situations.

OMG that would suck bad. I can totally see IB being.............. well....... IB about it .


I also remember that ZB spike up, about half a year to a year ago. It went up and down like $5k a contract in seconds. Then they cancled all trades beyond a certain point. but still .....you just know tons of people got effed .

The thing is, they canceled some trades for that ZB instance, but not flash crash in may 2010. Someone is picking winners and losers , which I don't like to see.

 

[VolArb]

I read that they were "test trades" as well. via twitter.

WTF are they doing "test trades" for and why at that price?

Someone from CBOE chime in?

As a note and very weird. Last time I saw a bad tick for VIX on my TOS charts ...the bad tick went to $16.5 on 1/16/14. This bad tick showed about a week before it actually did spike up that high.

I believe the test trade information originally came from the following post by HankMoody at Zero Hedge:

Fri, 07/04/2014 - 20:54 | 4925846 HankMoody

FWIW, spoke to the CBOE just now via their helpline, they are claiming these were test trades and there was no actual trading that occurred today. Here's the help desk 877-226-3773

CFE Help Desk
ehelpdesk@cboe.com
877-226-3773

The test trade scenario seems plausible to me. This is the first holiday since they extended the hours for VIX futures trading, and maybe they wanted to check something. I would guess they selected the price they did so it would be obvious (well, to them maybe) the data weren't real.

If anyone is sufficiently motivated, I encourage you to contact the CFE to attempt to verify the test trade explanation and report their response here.

I wonder if brokers were informed or if you had a long VX position on IB and it dropped 50% it may have triggered a forced liquidation. IB isn't very "understanding" in those situations.

How would IB liquidate anything with the market closed? I don't think there's a snowball's chance in hell of the futures actually opening at these prices. What kind of fool would sell them as such a discount? (Please don't say IB's liquidation algorithm... )

Everything I've said here is of course just my thoughts on the matter. As usual, I probably don't know what I'm talking about. I don't recommend using anything I say for anything important.

 

[mskl]

Some clarity on what I saw:

1) It wasn't just the VIX futures that were quoted at $5 ish. There were many single stock futures and other futures contracts as well.

2) I informed IB and they did a reset to the previous closing prices around 3 PM EST

Typical American attitude - why does it matter?? - nothing is trading anyways. Really?

How about the guy who has positions in the Canadian markets as well as the US? The Canadian markets were open. A trader could be forced into liquidation due to so many incorrect prices. For example - GOOG SSF's were quoted at $5 instead of $580. Imagine getting liquidated on all your Canadian positions because some NIMROD doesn't think it matters because all the exchanges are closed. Someone should get fired for this.

And I did hear of at least one customer who had positions liquidated and had no idea why.

So to my American friends - don't forget about us to the north. And please don't dick around with the data feeds.

respectfully

mskl

 

[VolArb]

Some clarity on what I saw:

1) It wasn't just the VIX futures that were quoted at $5 ish. There were many single stock futures and other futures contracts as well.

2) I informed IB and they did a reset to the previous closing prices around 3 PM EST

Typical American attitude - why does it matter?? - nothing is trading anyways. Really?

How about the guy who has positions in the Canadian markets as well as the US? The Canadian markets were open. A trader could be forced into liquidation due to so many incorrect prices. For example - GOOG SSF's were quoted at $5 instead of $580. Imagine getting liquidated on all your Canadian positions because some NIMROD doesn't think it matters because all the exchanges are closed. Someone should get fired for this.

And I did hear of at least one customer who had positions liquidated and had no idea why.

So to my American friends - don't forget about us to the north. And please don't dick around with the data feeds.

respectfully

mskl

It would be nice if they would be more careful not to disseminate bad data. Maybe if all products traded on multiple competing exchanges, it would be less of a problem. Also, in this age of global electric trading, I don't see why they can't keep all markets open 24/7, even on weekends and holidays. I think it's fair to say the markets still have a long way to go in their evolution.

One would hope that a brokerage's liquidation decision (whether by human or algorithm) ignores data from markets that aren't actually open, but who knows...

Thanks for getting IB to reset their data. You made my net liquidation value look significantly better...