Dear CFTC: Presenting Today's E-Mini Market Manipulating "Spoofing"

Dear CFTC commissioners:

Following yesterday's first in a long series of articles showcasing the ongoing manipulation in the S&P courtesy of E-mini spoofing, we are delighted to inform you that even though you heroically used a whistleblower's tip to capture the sole Flash Crash mastermind, Nav Sarao, five years after a flash crash which your peers at the SEC incorrectly claimed was the work of a small Kansas City-based mutual fund, the manipulation - as you called it - of the S&P 500 continues.

While we are confident you are intimately familiar with the details of the whistleblower's, pardon, your own case against Sarao, we will remind you how the FBI summarized his transgressions:

Sarao implemented a strategy to manipulate the E-Mini market. Based on my conversations with representatives of the Consulting Group, as well as my review of documents, I know that, among other activity, SARAO used a "dynamic layering" technique, placing, repeatedly modifying, and ultimately canceling multiple 200-, 250-, 300-, 400-, 500-, 550-, 600-, and 900-lot sell orders (whereas the average market size order, based on a sample analyzed by the Consulting Group, was 7 lots).

Sure enough, while a quick look at the market in the 60 minutes between 11:00 am and noon reveals that the most prevalent ES order size today (unlike yesterday) is in the single digits as it should be, what one can see quite clearly are the tens of thousands of E-mini orders placed, and then immediately canceled, made up of either ~30 or ~50 contract blocks.

And while we are confident that if Nanex can see this, so can you, here is the buy side:

And the spoofing on the sell side:

 

But wait, there's more.

As the following two charts show, the spoofing that has been going on in the S&P daily for years, is just as prevalent in Europe, where the EuroStoxx (ESX) is a veritable spoofer's utopia.

Here are the EuroStoxx buys in during a 140 minute block recorded earlier today courtesy of Nanex:

And sales:

 

Then again, we are certain that you have all this data already and are already preparing the case against the perpetrator(s): after all you are the CFTC - you know "everything" that happens in the futures market. As such we are confident you are already actively investigating the ongoing spoofing in both the US and Europe... unless of course, your interest is only awakened on days when the market drops.

That, and instead of focusing on the Virtus, the Citadels, and the KCGs of the world and their armies of predatory algorithms, you insist on finding the next manipulation mastermind in a basement in a suburb of London.

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