Anyone who had the pleasure of trading the long bond March future ZB H4 [5]just before 1:40 am Central witnessed one of the more abnormal fat fingers seen in recent months, one that did not involve equities but instead was all bond.... long bond, which soared from 130 to over 135, after a large clip was traded on what was apparently an erroneous buy order put through during very illiquid trading. Then again, with no trades busted by the CME (yet), maybe it was intentional.
They saw this:
[6]
And, zoomed in, this.
[7]
It is unclear who or why executed the fat finger: we expect to learn more today, although we do know that a move like this during regular trading hours would have had an unprecedented and very adverse impact on not only bonds, but absolutely all risk-chasing asset classes. Let's just hope it's not a test, and certainly not a harbinger of what's in store for bond traders now that HFT algos have firmly moved into the asset class and where "price action" is determined solely by what someone else's "price" does.
Update: The CME will "revise" all trades above 131.12 down.