I haven't found anything in the rules yet about how the volume for these trades are reported. I think the European exchanges put off-floor volume in the tape some time after the trades occur but I didn't think it was done in the US.
That would have been an option but that is not what the tape says. What we have here is a myriad of 0.1k - 1.1k trades.
Section F seems to rule out a block trade hitting the tape. "The Exchange shall promptly publish such information separately from the reports of transactions in the regular market."
That would have been an option but that is not what the tape says. What we have here is a myriad of 0.1k - 1.1k trades here is what TS shows right after it happens:
They took out the extended hours high with that one. Well done, hit a ton of stops I'm sure. You need some serious cash to treat the ES like gamed penny stock.
Interesting trades. It's obvious they chose the time specifically so that people in all US markets would see and react to these trades, like a poker player loudly declaring their raise. If they wanted to hide it, they could have done it a lot better, but choosing the middle of the day where they must report it within 5 mins shows that they really wanted everyone in the US to notice. As well, if I'm not mistaken this is just after Frankfurt closes, so they really only wanted it to shake the US markets.
I like that idea. Bot gone bonkers. That would explain how all that volume came to the market without moving price all that much.
Either:- (1) Don Miller flipped 200k for a quick scalp! or (2) Fed flipped over from long 100k to short 100k, Paul Tudor Jones taking the other side...perhaps the Fed has been told by PBOC that they're adjusting the RMB peg this week... (going from +100k to -100k would keep you within the position limits) It makes you wonder if the position limit still applies to the Plunge Protection Team or Fed's 'off balance sheet' activities... A question for the CME perhaps.. Like everyone else I assumed it was an IB data feed problem at the time.
that volume chart looks incredibly smooth...surely only an algo trading system could generate something like that..? Could it be an algo offering 1137.25 and bidding 1137.5 at the same time? Or some variation? And another algo picking them off for the an 0.25 arb? Is that feasible?