Massive move at 8:15

[Mercor]

Quote from chauncey1:

Its pretty hard to find out a guy caught in a -40 point move that would admit such huge stop.

Anyway, i think "pros" or "experienced traders" may thought that shorting after thursday's close wasn't the best idea, so, may be that's the reason none its making such big deal of it.

In the old days of pit trading all the retail stops would have been run and executed at the top of any large quick move....i would like to see a rundown of the S&P electronic trading during those 3 or 4 minutes.....

i was able to see the time and sales from the YM.......It was so choppy yet traded large ticks in both directions for those first couple of minutes....electronic trading seems safer for pre-set stops.

Remember the last surprise rate change in 2001....I remember the s&p went straight tick up for 30 points...A killer for stops.

 

[stock777]

Quote from Mercor:

Yes, I understand that call also came with a monterary guaranty

It came with a guarantee that every idiot on ET would say something stupid about it.

I didn't have to pay off, since that came true as well.

 

[Mercor]

Quote from stock777:

No one at ET was caught short, as I told them before the close Thursday to expect a 50 point gap up.

Thats why you dont see anyone begging for mercy.

you seem sensible...
.why does everybody hate you....for many it goes beyond hate they would like to destroy you

 

[sim03]

Quote from Mercor:

In the old days of pit trading all the retail stops would have been run and executed at the top of any large quick move....i would like to see a rundown of the S&P electronic trading during those 3 or 4 minutes.....

Not on Globex... it was as orderly as would be expected.

All Globex T&S data are free on the CME website, but only for the most recent 5-8 trading days:

http://www.cme.com/trading/dta/hist/hftp/ftp_gtimeandsales.html

Download gx070817.zip and unzip into 4 files for various futures and options. I took a look at the ES T&S inside gx070817.iom. The discount rate cut news must have come out at 7:15:04 CT, when ESU7=1419.50. By the end of the next second, 7:15:05, ESU7 already traded as high as 1424.50. The high that minute, 1471.50, was set at 7:15:47. Total volume from 7:15:04 to 7:16:00 (56 seconds) was 47,169 contracts, or about $3.4 Billion worth, in sizes from 1 to 500 (max) lots. That's a whole lotta people plugged into real-time news and, more important, ready to trade instantly...

Here's some of the ES T&S raw data just before and after that moment at 7:15:04 CT:

...
ES 0709F 0714560141925 14154600070817ES22 07081700081E 520070900N ES
ES 0709F 0714570141925 14156000070817ES22 07081700002E 520070900N ES
ES 0709F 0714590141925 14157100070817ES22 07081700076E 520070900N ES
ES 0709F 0715010141925 14158900070817ES22 07081700007E 520070900N ES
ES 0709F 0715030141950 14159800070817ES22 07081700010E 520070900N ES
ES 0709F 0715030141950 14160000070817ES22 07081700016E 520070900N ES
ES 0709F 0715040141950 14160200070817ES22 07081700005E 520070900N ES
ES 0709F 0715040141950 14160400070817ES22 070817<font color=red>00130</font>E 520070900N ES <font color=red> 130-lot... maybe</font>
ES 0709F 0715040141950 14160600070817ES22 07081700001E 520070900N ES
ES 0709F 0715040141975 14161300070817ES22 07081700010E 520070900N ES
ES 0709F 0715040141975 14161400070817ES22 07081700004E 520070900N ES
ES 0709F 0715040141975 14161500070817ES22 07081700016E 520070900N ES
ES 0709F 0715040141950 14161800070817ES22 07081700002E 520070900N ES
ES 0709F 0715040141975 14161900070817ES22 070817<font color=red>00312</font>E 520070900N ES <font color=red>1st 500-lot of many...</font>
ES 0709F 0715040142000 14162000070817ES22 070817<font color=red>00188</font>E 520070900N ES <font color=red>now definitely news-driven</font>
ES 0709F 0715040142000 14162100070817ES22 07081700005E 520070900N ES
ES 0709F 0715040142000 14162200070817ES22 07081700001E 520070900N ES
ES 0709F 0715040142000 14162300070817ES22 07081700010E 520070900N ES
ES 0709F 0715040142000 14163000070817ES22 07081700016E 520070900N ES
ES 0709F 0715040141975 14163100070817ES22 07081700005E 520070900N ES
ES 0709F 0715040142000 14163400070817ES22 07081700500E 520070900N ES
ES 0709F 0715040142000 14163800070817ES22 07081700007E 520070900N ES
ES 0709F 0715040141975 14164000070817ES22 07081700004E 520070900N ES
ES 0709F 0715040141975 14164100070817ES22 07081700004E 520070900N ES
ES 0709F 0715040142000 14164300070817ES22 07081700500E 520070900N ES
ES 0709F 0715040142000 14164500070817ES22 07081700016E 520070900N ES
ES 0709F 0715040142000 14164800070817ES22 07081700010E 520070900N ES
ES 0709F 0715040142000 14165000070817ES22 07081700500E 520070900N ES
ES 0709F 0715040142000 14165100070817ES22 07081700015E 520070900N ES
ES 0709F 0715040142025 14165200070817ES22 07081700001E 520070900N ES
ES 0709F 0715040142025 14165300070817ES22 07081700002E 520070900N ES
ES 0709F 0715040142025 14165400070817ES22 07081700003E 520070900N ES
ES 0709F 0715040142025 14165500070817ES22 07081700010E 520070900N ES
...

Best to open the text file gx070817.iom directly with Excel 2007. Either:

1) use the Text Import Wizard to set your columns and formats correctly;
OR
2) simply open as is, then use, e.g., "MID" and "VALUE" Excel functions, together with the file record layout at the above link, to process and analyze the file content, in any way you want. If you look at T&S often, set up a template... much faster than the manual Text Import Wizard.

If you don't have Excel 2007, to avoid truncating the file gx070817.iom (865,306 rows):

1) open it with Wordpad, Word, etc., then copy & paste a subset of interest into Excel 2003 (or older) or another spreadsheet app. Or even view it in Wordpad, as a quick-and-dirty scan.
OR
2) use freeware like Text File Cleaver to split the file into smaller pieces (without breaking up any rows... nice), then open with older Excel or another app.

 

[stock777]

Quote from Mercor:

you seem sensible...
.why does everybody hate you....for many it goes beyond hate they would like to destroy you

A fine and sincere question.

You've answered it yourself.

These idiots don't want sensible.

They want asinine, just like them.

That pretty much sums it up.

Thanks for asking.

 

[Longhorns]

Quote from Mercor:

you seem sensible...
.why does everybody hate you....for many it goes beyond hate they would like to destroy you

Stock777 is ET's resident troll.

Thousands upon thousands of worthless threads and posts. He doesn't even have a real trading account....just alot of spare time to troll this website posting nonsensical babble.

You can view some of his recent "great" calls on this thread....

http://elitetrader.com/vb/showthread.php?s=&threadid=101195

 

[Mercor]

Quote from sim03:

Not on Globex... it was as orderly as would be expected.

The discount rate cut news must have come out at 7:15:04 CT, when ESU7=1419.50. By the end of the next second, 7:15:05, ESU7 already traded as high as 1424.50. The high that minute, 1471.50, was set at 7:15:47. Total volume from 7:15:04 to 7:16:00 (56 seconds) was 47,169 contracts, or about $3.4 Billion worth, in sizes from 1 to 500 (max) lots. That's a whole lotta people plugged into real-time news and, more important, ready to trade instantly...

Thank you very much..........I would call these moves definitely a BLACK SWAN occurrence....happens about every few years.....This was the first move that was all electronic........These used to be account killers big time......now it seems you can manage your way out....at least if you have stops in already they should hit at your price, that is a significant development......

I would say all the shorts in the ES in the minutes after the news were hit at their price........within a few seconds the bids ate up all the existing sell stops......many of those sell stops could have been there to maintain delta positions....certainly most of the 43,000 orders were new buys....and the offers were old existing orders.....

The main point is that I am seeing manipulating in the electronics after hours market....we had the same thing happen in crude recently ,where it moved $3 in minutes of some hyped rumor.

I see some quants figuring a way to run the market in the quiet of the night, with a fraction of the money needed to do it in regular hours.

.....kinda similar to when Baldwin discovered by throwing huge volume during market lull he could move the bonds a few ticks and cash out

 

[Spectre2007]

fx markets are the most evolved markets, price action is truely chaotic most of the time. The recent volatility is very good to see.

But as the markets progress, most of the other markets will look like the fx markets. Hopefully the volatility lasts.

 

[MKTrader]

I can't see why anyone would want to go short at the close of last Thursday...Bernanke or not. A little Tech Analysis 101 re: Thursday:

1) It was a huge reversal candle, up 40 points from the bottom to close in positive territory.

2) The massive reversal occured with the biggest volume we've see since this correction began. Even bigger than the 300+ pt Dow drop days.

Put the two together (textbook reversal candle and huge volume) and why would anyone go short? Makes a lot more sense to be short after the run-up near 50-day MA that almost touched 1500 on S&P...or maybe now, since the S&P can't seem to close above 1450 and 200-day MA. Of course, if you're a position trader holding a short from 1540 or something, more power to you. But why suddenly go short overnight after a major reversal? Don't blame the Fed, even if they were trying to teach some traders a lesson...

 

[Spectre2007]

Quote from MKTrader:

I can't see why anyone would want to go short at the close of last Thursday...Bernanke or not. A little Tech Analysis 101 re: Thursday:

1) It was a huge reversal candle, up 40 points from the bottom to close in positive territory.

2) The massive reversal occured with the biggest volume we've see since this correction began. Even bigger than the 300+ pt Dow drop days.

Put the two together (textbook reversal candle and huge volume) and why would anyone go short? Makes a lot more sense to be short after the run-up near 50-day MA that almost touched 50-day MA...or maybe now, since the S&P can't seem to close above 1450 and 200-day MA. Of course, if you're holding a short from above 1500, more power to you. But why suddenly go short overnight after a major reversal? Don't blame the Fed, even if they were trying to teach some traders a lesson...

I think the asians got killed, remember Nikkei was falling out of the sky. So the asians must have arbed, the US open and ended up getting killed. Europeans too, americans were still stuck in rush hour traffic.