Anybody Noticed A Change In The Eurodollars?

Discussion in 'Index Futures' started by dsguns1, Sep 25, 2005.

  1. dsguns1


    Ever since Hurricane Katrina when the market was having wild swings, the dynamics of the trade in the Eurdollars has seemed to change dramatically. I think it is because there is a much larger automated presence. Anybody else agree or have a thought on it?
  2. the market's just freakin'.

    lots of screwups being made by the quantitative finance PhDs, institutional "traders" and the loser masses.

  3. +

    I don't trade them but the same thing has happened to the S&P. Much choppier, a lot more suprises and the automated systems just flood the book.
  4. tomcole


    I think the last set of stats were that NYSE arb trades were around 70%
  5. FredBloggs

    FredBloggs Guest

    i noticed a change a few weeks back but it was roll over week so thats what i put it down to - wasnt that about the same time as katrina & the waves??
  6. Is there some connection between NYSE program trading and ED?
  7. FredBloggs

    FredBloggs Guest

    if a foreign fund puts a load of cash into the nyse markets, they may well use ed to hedge the interest exposure of the money used to finance the nyse position.

    thats all that comes to mind at the moment!!

    otherwise it could be some exotic derivatives spread we are all blissfully unaware of!!!
  8. Well, GE is mainly Globex, whether automated I am not as sure. But the nature of GE (liquidity, fill algo, etc) is highly suited for simple order book based automated trading (of sufficient size).

    I should really run my analyzer against the current GE data set (it usually is fairly easy to scan out half-dozen or so automated systems, of their existence).

  9. On the pure strategy-similiarity side, probably not, most of the NYSE prog trading is focused on index arb and replication anyways.

    But, given the liquidity of GE (and the size based fill algo) is tempting for fairly standard order-book system (that would do sizes of, I would think > 500).