Jun DAX volume at 4597

qazwsxedc · Jun 10, 2005

Volume at that one price is 16500 at the time of writing, totally dwarfing volume at all other prices today. Who does that much business at one price in one shot?

just21 · Jun 10, 2005

Why has the dax been so strong lately? Are they looking forward to a more business friendly CDU government in September?

5yrtrader · Jun 10, 2005

Quote from qazwsxedc:

Volume at that one price is 16500 at the time of writing, totally dwarfing volume at all other prices today. Who does that much business at one price in one shot?

That was weird looks like someone had something to do

qazwsxedc · Jun 10, 2005

Quote from 5yrtrader:
That was weird looks like someone had something to do

16,500 DAX cars is 1.9 Billion Euros in underlying value. That's *something* alright. Any guesses?

just21 · Jun 10, 2005

On 911 a 2000 lot bid stopped the fall, didn't trade. No one any views on Dax strength?

qazwsxedc · Jun 10, 2005

Quote from just21:

On 911 a 2000 lot bid stopped the fall, didn't trade. No one any views on Dax strength?

The 16,500 I mentioned isn't a bid below the market, it's actual contracts traded at that single price today of which 15,043 traded between 09:59 and 10:00 German time. So this isn't some PPT bluffing, it's a real trader doing business, and not caring that he's highly visible.

It didn't move the market so it will have been pre-negotiated business crossed on-exchange. I'm trying to get an idea who and why.

Re: strength - no idea ;-)

just21 · Jun 11, 2005

Dax is rising on Euro weakness, exporters make larger profits.

no-problem · Jun 11, 2005

I am also wonder when I saw one long volume bar for more than 15000 contract, but mkt did not move.

Secondly dax is too strong right now and making new highs every day comparing to ES. ES down too much after dax closed but when dax open it went down just few ticks. Like on June 10, ES made lower low intraday, but dax did not. It is happening every day now. Something fishy. I am still holding short dax from 4560 area I will cover if it go higher from 4604 but I think pull back is due for 60-100 points anyday.

FuturesTrader71 · Jun 11, 2005

Quote from qazwsxedc:

The 16,500 I mentioned isn't a bid below the market, it's actual contracts traded at that single price today of which 15,043 traded between 09:59 and 10:00 German time. So this isn't some PPT bluffing, it's a real trader doing business, and not caring that he's highly visible.

It didn't move the market so it will have been pre-negotiated business crossed on-exchange. I'm trying to get an idea who and why.

Re: strength - no idea ;-)

If all that volume was done at one price in that short a time, then it is a block-trade or cross trade (most likely a cross trade). Here is the definition of what that is:

9.2 Cross Requests and Pre-Arranged Trades:
A market member is required to enter a cross request to inform the market about his intention to execute a cross or pre-arranged trade. A cross trade is a trade where a member trades against an own order in the order book. As for pre-arranged trades, orders from at least two members are executed against each other as previously negotiated. The exchange may stipulate at any time a maximum size for a cross trade.

Market members are required to inform the market about their intention to execute a cross trade above a certain quantity. Accordingly, as soon as a cross request is entered into the system, all market participants have the opportunity to enter corresponding orders (or quotes, depending on the product and the status of the market member). After entering a cross request, the initiating market member may only enter the matching orders (or quotes, depending on the product and the status of the market member) within a certain time frame: there is a minimum amount of time the market member has to wait before entering matching orders/quotes, and there is also a maximum amount of time the market member can wait before the cross request expires. Both of these time periods are specified by the exchange. For options and futures, the time window is 5 to 65 seconds after the cross request entry.

Cross requests are possible for both options and futures contracts; combination cross requests can only be entered for futures contracts. For option combinations cross requests must be entered in the respective legs.

This is not extraordinary and an outright trade of that magnitude is highly unlikely in the FDAX. There is no liquidity for that kind of trade. A cross of that amount could be the result of a simple transfer of assets from one fund to another but must be done across the exchange (Eurex needz to getz paid).

fader · Jun 11, 2005

futures - thx for posting - where is this quoted from - a few months back i searched eurex's site for this but did not find anything that has this much deail.. tia.