Computer Madness

This on bloomberg . . .

BUNDS: Some talk doing rounds that Eurex are investigating the sellof
in June Bund futures, and rumour it may bust trades below 115.13 --
traded between 12:17.39CET to 12:41CET. Also under investigation are
trades in Bobl contract after 12:17.39CET to 12:41CET, add traders.
 
in discussion in bund thread... Eurex have let the trades stand it would seem.

(Story: nL2813590 on retuers)
 
Our head of bund trading just confirmed to me that all trades stand.
He heard it was a fat-finger trade of around 11,500 that set off stops.
 
A Dashing Blade said:
Our head of bund trading just confirmed to me that all trades stand.
He heard it was a fat-finger trade of around 11,500 that set off stops.
Click to expand...

YEs ...

Decision on FGBL Vola interrupt

28.03.2008 13:53 1


Eurex Management decided the following:

ALL trades in FGBL which were under investigation will stand.
No trades will be reversed

For further inquiries please address to [email protected]
 
Anyone heard who it was yet? If we can get a liquidation of various positions coming into the close could be interesting.
 
In fact I've decided to stay here until 9 just on the offchance... bit drunk but can't see that being a problem with the massive price movements I may see on Euribor. I *really, really doubt* they'll occur but for the possibility of 50 grand on a 100 lot position seems worth it :)
 
if stops were in place, its a horror story

if not, then you wait for the upturn and return to sanity and get back the losses on the upside move

mp
 
Must admit I called them up and asked who it was... They wouldn't say but the nice german man seemed happy enough to accept my offers of a good weekend, so we'll see.
 
As I was not trading today, I made some calls to people who often know things, nobody else knows :)

Here is their take:

The Bund "spike" on Friday was traded by an "algo-machine".
Market talk is, that they hit the 114 level to kill a huge "if touched" option and made - market talk again - around 5 times, what they lost on the future.

Eurex had a lot of complaints, BUT as nobody made a "mistrade request", they had to adhere to their rules. As the machine made sure by "rolling down", that no too big gaps were traded, all trades were correct. The volatility interruption hit only as market traded WITH GAPS to the upside.

This could never have happened on the floor.

One Eurex source says, after this happened some times in the DAX and now in the Bunds, they might work on their rules.

Let's see.

Anybody here with a different take?

Please take care ;) it gets nasty outside!
 
DaxDestroyer said:
. . .
Market talk is, that they hit the 114 level to kill a huge "if touched" option and made - market talk again - around 5 times, what they lost on the future.
Click to expand...
Hmmmm, no inside knowledge at all my side but, if I were the counterparty to that OTC then I'd be crying foul big time with probable litigation in the works.
 
X-Posting from here:

What I got mailed to me this morning was that 'someone sold 44000 lots at market'. I doubt the 44000 figure however, since on the 1min chart, the volume during that drop stood at 44068.
Given the state of affairs however, the 'If touched' Options theory sounds plausible.

Kobeyashi
 
I have somebody, who records the book. And he pulled all his orders as he noted unusual movements down in the book some minutes BEFORE the spike.

And the thing started stepping down first a bit than quicker - no chance to be an "at market" order.

This was computerized fraud IMHO :mad:



kobeyashi said:
X-Posting from here:

What I got mailed to me this morning was that 'someone sold 44000 lots at market'. I doubt the 44000 figure however, since on the 1min chart, the volume during that drop stood at 44068.
Given the state of affairs however, the 'If touched' Options theory sounds plausible.

Kobeyashi
Click to expand...
 
Just out of interest how is it fraud? If the bloke has submitted a MIT or a market order then all orders in the book are fair game. Obviously the market can go limit down but that's why there are parameters set by the exchange.

If this was a 'fat finger' the trader involved would tell the exchange and i'm fairly sure trades would have been busted. Seeing as thought they were't I suspect this was a genuine order (stupid or not) and again all orders in the book are fair game. Yes I do realise that it is not nice being stoppped out or being hit but if you're in there you're in there.

As for unusual movments the seller may have just been teeing up the market or sticking in icebergs/invisibles etc....
 
I like the theory actually - when option writers or anyone else get caught out by their "clever" models I can't help but feel some extreme schadenfreude.
 
gooseman said:
Just out of interest how is it fraud? If the bloke has submitted a MIT or a market order then all orders in the book are fair game. Obviously the market can go limit down but that's why there are parameters set by the exchange.

If this was a 'fat finger' the trader involved would tell the exchange and i'm fairly sure trades would have been busted. Seeing as thought they were't I suspect this was a genuine order (stupid or not) and again all orders in the book are fair game. Yes I do realise that it is not nice being stoppped out or being hit but if you're in there you're in there.

As for unusual movments the seller may have just been teeing up the market or sticking in icebergs/invisibles etc....
Click to expand...

IF this Friday move in the BUND is fair in your view, then we have quite different views on fairness :eek:

Not everything, which is possible due to regulations or thin markets is fair ... it is exploiting systemic problems/errors to maximise profits on the back of honest market participants.

The mentality of these people sucks BIG TIME (n)
 
GammaJammer said:
Agree that it shouldn't be labelled fraud just because they gunned the book to ko the option. As it's an exchange traded product the market is transparent and there is one official price. Different to FX where you can pull all sorts of tricks, often credit related, to get a price to print.

Just my $0.02 as always.

GJ
Click to expand...

Sorry, but in this case ;) your 2 cts. are on the wrong side of the trade.
We talk here about a trade WAY OFF the market 160 TICKS!!!

I have a different view, what is fair and what is crooked.

This trade stinks!!!
 
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