27 Feb Interest rate spike

Discussion in 'Index Futures' started by FGBS, Mar 2, 2007.

  1. FGBS


    At 20:02 (london time) there was a massive spike in all interest rate products. Anyone have any information as to who made the mistake? and where the move was first initiated? Euribors, Eurodollars etc?

    Any information would be much appreciated!

  2. The reason has been all over the news. Global Equity Sell Off, starting in China with a 9% drop in their index.
  3. Dogfish


    Sure but this was a was a massive stop which went off over a few seconds before returning back to where it started, check out your euribor dec07 and march shatz charts, he wanted to know who was behind that single trade.
  4. My bad.... :D

    I trade the longer end, particularly the Bund. As far as Euribor goes, I do not monitor it because it is too short term an interest rate and lacks the volume for me to use as an indicator. Also, I see nothing out of the ordinary in the Eurodollar contracts other than a Flight-to-Quality.


    That was quite the spike in the schatz!!!

    That appears to be a massive stop. But I think it's tough to know who did that order, other than thru rumor/speculation.
  5. Dogfish


    We all love a good rumour!
  6. Heres one for ya.....

    It was me! :D

    Little old 5 lot Bund trader, Xavier Cougat, bored with Anna Nicole Smith stories, looking for some action now that she has passed. :(

    Weak rumor, huh ?
  7. i think this is what happened.correct me if im wrong.

    dow stops triggered dowm to 550.
    eurex and euribor both open to 9.00pm with very little volume trading generally and not a lot on the upside or downside in the order books.

    i checked the quote recap on bloomberg on wednesday morning and initially small amounts between 50 and a couple of hundred were triggering stop after stop with price gaps of 5 to 10 ticks on euribor.

    the bobl and shatz lost all their topside quantities apart from a 11500 offer in the shatz at 103.985 which all traded out.
    a couple of bits traded at 104.00 then there were no offers and the contract closed.
    shatz went into preopen with some 104.10/20/50 prints and then traded straight down to 103.70 area.

    absolute free money if you were in.
    not many were but if you trade any euribor bobl/shatz spreads most of them traded about 30 to 80 spread ticks higher or lower.

    so that was basically it really.
    a few people were in my firm and some did very well.
    lesson to be learnt.if you put the hours in and were at your desk you made the money. if you were not then tough luck.
    i was the same as every one else.went home about 6ish.

    looked at the charts and trades the next morning and was gutted.
  8. FGBS


    Can totally imagine that anyone that was in totally raked it in, but looking at all the euribor months, the schatz, the eurodollars, the two year, five year and ten year the trade was absolutely sick for whoever set the stop off (oops I just bought 100k short time interest rate contracts 20 ticks above the market, and oh look the market is back again.)

    But great for the guys that have been putting the hours in lately and not getting any reward!