ESH0 Volume Spike Explained: Fat Finger Results In 2 Point Jump In Market
Courtesy of reader vertek7, we find out that today's crowning moment of S&P manipulation was purely a function of yet another fat finger. We say manipulation, because while according to the CME the two 200,000 ESH0 block trades allegedly offset each other, the market ended up shooting higher as a result, which was likely driven purely from favorable robotic interpretations of the volume spike. This market is so broken, and so upward biased, the mere observation of abnormal volume activity is sufficient to gun it higher. Also, can someone please explain how 200,000 e-mini contracts can possibly trade without soaking up all of the advertisied bid and offer side on the NBBO? HFT - meet e-minis. We hope the SEC is reading and comprehending (albeit ever so slowly) all of this, while it solicits public commentary to find out just how fucked up this market is.
From: CME Globex Control Center
Sent: Wednesday, January 13, 2010 4:54 PM
Subject: ESH0 Event
Between 11:03 and 11:04 CT today, there were a series of transactions in
ESH0 in which a market participant appears to have inadvertently traded
approximately 200,000 contracts as both buyer and seller. CME maintains
trade practice and risk management rules and procedures respecting such
In keeping with standard practices and CME's self-regulatory
responsibilities, CME is reviewing the circumstances of this event.