Globex FX Futures 16th Aug

Discussion in 'Automated Trading' started by Businessman, Aug 16, 2007.

  1. I just noticed on the EUR (6EU7) that spread has widened to between 1 and 3 pips and number of contracts on market depth has droped from the typical 500 cum size five levels deep to around 50 each in total each size.

    Its like the machines that arb between futures and cash have been turned off, normally this happens for a few minutes around news but they been off for atleast half an hour now (the time is currently 3 hours before the US markets open)

    December contract is even worse.

    Either the are down due to technical reasons or recent volatility has scared them off.

    Since i started writing things have improved at bit, now there are 200 contracts each side on market depth.