Reuters names e-mini S&P âflash crashâ seller
- Thread starter ASusilovic
- Start date
Stick to stocks. You know squat about futures.
Sept. 30 (Bloomberg) -- U.S. regulators have concluded that Waddell & Reed Financial Inc.âs trading of Standard & Poorâs 500 Index futures spooked traders on May 6, turning an orderly selloff into a crash that erased $862 billion from the value of American equities in less than 20 minutes, according to two people with direct knowledge of the findings.
Waddell & Reedâs selling of the E-mini futures was part of a normal hedging strategy, according to a report from the Securities and Exchange Commission and Commodity Futures Trading Commission that may be released as soon as today, said the people, who declined to be identified before the findings are made public. The Overland Park, Kansas-based company didnât attempt to do anything nefarious, and its actions may not have prompted a retreat had there not been other concerns in the market, such as the European debt crisis, the people said.
....
About 250 trading firms processed transactions in E-mini S&P 500 futures from 2 p.m. to 3 p.m. New York time on May 6, regulators said in their May 18 preliminary report on the rout. One of the largest firms selling the E-mini contract accounted for about 9 percent of volume from 2:32 p.m. until 2:51 p.m., they said. The firm, which wasnât named, sold the contract short to hedge other positions and âonly entered orders to sell,â according to the May 18 report.
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âPrior Tradesâ
âThe trader sold on the way down and continued to do so even as the price level recovered,â the report said four months ago. âThis trader and others have executed hedging strategies of similar size previously.â
Regulators said in their earlier report they were examining possible linkages between price declines in equity index futures, exchange-traded funds and individual securities and the âextent to which activity in one market may have led the others.â
CME data indicate trading volume in E-mini S&P 500 futures was high on May 6, with many more sell orders than buy requests from 2:30 p.m. to 2:45 p.m., according to the May 18 report from the SEC and CFTC. Data also showed that the bid-ask spread, or difference between the highest price at which investors can sell contracts and the lowest at which they can buy, âwidened significantly at or about 2:45 p.m. and that certain active traders partially withdrew from the market.â
Half a Second
E-mini S&P 500 futures are the largest contract by volume traded on the Chicago Mercantile Exchange, owned by CME Group Inc. Chief Executive Officer Craig Donohue said on June 22 that volume in the June E-mini S&P 500 futures on May 6 was 5.7 million contracts, with about 1.6 million, or 28 percent, trading from 2 p.m. to 3 p.m. New York time. At about 2:45:28 p.m. the contracts declined 12.75 points in half a second when 1,100 were sold by multiple traders, he said.
âConsiderable selling pressure at this vulnerable period in time may have contributed to declining prices in the E-mini S&P 500 -- and other equivalent products such asâ the SPDR S&P 500 ETF Trust, an exchange-traded fund tracking the benchmark measure of U.S. stocks, the report said.
âAll of these markets are closely linked by a complex web of traders and trading strategies,â regulators wrote four months ago. âThe precipitous decline in price in one market on May 6 may have influenced a sustained series of selling in other financial markets.â
http://noir.bloomberg.com/apps/news?pid=20601087&sid=a3HtKw.JDp7Q&pos=2
ROFL ! LOL ! Buahahahahahaha...Ridiculous ! Ridiculous ! Ridiculous !
Waddell & Reedâs selling of the E-mini futures was part of a normal hedging strategy, according to a report from the Securities and Exchange Commission and Commodity Futures Trading Commission that may be released as soon as today, said the people, who declined to be identified before the findings are made public. The Overland Park, Kansas-based company didnât attempt to do anything nefarious, and its actions may not have prompted a retreat had there not been other concerns in the market, such as the European debt crisis, the people said.
....
About 250 trading firms processed transactions in E-mini S&P 500 futures from 2 p.m. to 3 p.m. New York time on May 6, regulators said in their May 18 preliminary report on the rout. One of the largest firms selling the E-mini contract accounted for about 9 percent of volume from 2:32 p.m. until 2:51 p.m., they said. The firm, which wasnât named, sold the contract short to hedge other positions and âonly entered orders to sell,â according to the May 18 report.
....
âPrior Tradesâ
âThe trader sold on the way down and continued to do so even as the price level recovered,â the report said four months ago. âThis trader and others have executed hedging strategies of similar size previously.â
Regulators said in their earlier report they were examining possible linkages between price declines in equity index futures, exchange-traded funds and individual securities and the âextent to which activity in one market may have led the others.â
CME data indicate trading volume in E-mini S&P 500 futures was high on May 6, with many more sell orders than buy requests from 2:30 p.m. to 2:45 p.m., according to the May 18 report from the SEC and CFTC. Data also showed that the bid-ask spread, or difference between the highest price at which investors can sell contracts and the lowest at which they can buy, âwidened significantly at or about 2:45 p.m. and that certain active traders partially withdrew from the market.â
Half a Second
E-mini S&P 500 futures are the largest contract by volume traded on the Chicago Mercantile Exchange, owned by CME Group Inc. Chief Executive Officer Craig Donohue said on June 22 that volume in the June E-mini S&P 500 futures on May 6 was 5.7 million contracts, with about 1.6 million, or 28 percent, trading from 2 p.m. to 3 p.m. New York time. At about 2:45:28 p.m. the contracts declined 12.75 points in half a second when 1,100 were sold by multiple traders, he said.
âConsiderable selling pressure at this vulnerable period in time may have contributed to declining prices in the E-mini S&P 500 -- and other equivalent products such asâ the SPDR S&P 500 ETF Trust, an exchange-traded fund tracking the benchmark measure of U.S. stocks, the report said.
âAll of these markets are closely linked by a complex web of traders and trading strategies,â regulators wrote four months ago. âThe precipitous decline in price in one market on May 6 may have influenced a sustained series of selling in other financial markets.â
http://noir.bloomberg.com/apps/news?pid=20601087&sid=a3HtKw.JDp7Q&pos=2
ROFL ! LOL ! Buahahahahahaha...Ridiculous ! Ridiculous ! Ridiculous !
Had a recent phantom print of gcz2 at $2000.
When I used to actively trade stocks about 10 years ago, the mm's used phantom prints to signal where they wanted to take the stock that day. Good on you for posting your observation. I have been expecting a large pull back in stock indicies for few months. Few equities I'd like to see the bottom buyers drive up a little higher so I can stuff them with puts. Aapl at 650 would be a godsend. Gonna stuff it with 10K worth of longer term puts and walk away with 100k once it goes to 500. Might buy YG outright as a hedge as gld calls look overpriced here.
Good point. In 2010 the average daily volume was 2.2 million for ES so assuming most of it was traded in RTH, that is 300K per hour, or 100K per 20 minutes.
So 75K in 20 minutes looks average or even below average volume... Now if they meant that an extra 75K by 1 market participant, then obviously that is a little extra volume, but probably not much more than around economic releases...