A big mystery seller of futures contracts during the market meltdown last week was no

Discussion in 'Automated Trading' started by MGB, May 14, 2010.

  1. MGB


    A big mystery seller of futures contracts during the market meltdown last week was not a hedge fund or a high frequency trader as many have suspected, but money manger Waddell & Reed Financial Inc, according to a document obtained by Reuters.

    Waddell sold on May 6 a large order of e-mini contracts during a 20-minute span in which U.S. equity markets plunged, briefly wiping out nearly $1 trillion in market capital, the internal document from CME Group Inc said.

    Regulators and exchange officials quickly focused on Waddell's sale of 75,000 e-mini contracts, which the document said "superficially appeared to be anomalous activity."

    Gary Gensler, chairman of the Commodity Futures Trading Commission, said in congressional testimony Tuesday that it had found one sale was responsible for about 9 percent of the volume in e-minis during the sell-off in the U.S. markets.

    The e-minis are one of the most liquid futures contracts in the world, providing holders exposure to the benchmark Standard & Poors 500 Index. The contracts can act as a directional indicator for the underlying stock index.

    Gensler said there was no suggestion that the trader, who he did not identify, did anything wrong in only entering orders to sell. Gensler said data shows that the trades appeared to be a bona fide hedging strategy.

    The CME document shows that during the sell-off and subsequent rally, other active traders in e-minis included Jump Trading, Goldman Sachs , Interactive Brokers, JPMorgan Chase and Citadel Group.

    During the 20-minute period, 842,514 contracts in e-minis were traded while Waddell from 2 p.m. to 3 p.m. traded its contracts, CME said. The CME document did not provide a break-out of Waddell's trading during the crucial 20 minutes.

  2. olias


    he must have some fat fingers


    That's interesting they can break it down like that.
  3. amazing that kind of volume can go through — 842,514 702/sec 42,125/min
  4. this is what computers can do for you. why the hell i'm still trading manually. can never compete with them and always donate my hard earned money to them.