CASE NUMBER: 2016-092: SETTLEMENT OF CHARGES AGAINST CONDOR ALPHA ASSET MANAGEMENT EXCHANGE RULE Rule 6.20(b) - Position Limits, Conditional Limits and Position Accountability for Energy Contracts No Person may exceed the position limits specified in the Position Limit Table for any Energy Contract unless an exemption has been granted by the Exchange in accordance with these Rules. SUMMARY A subcommittee of the Exchange’s Business Conduct Committee determined that, between July 2016 and August 2017, Condor Alpha Asset Management (“Condor Alpha”) may have violated Exchange Rule 6.20(b) in six (6) instances by holding positions in the Henry LD1 Fixed Price Future in excess of applicable spot month position limits during various expiration periods. PRODUCT Henry LD1 Fixed Price Future PENALTY In accordance with the terms of settlement, in which Condor Alpha neither admitted nor denied the rule violation, Condor Alpha paid a fine in the amount of $44,342.52, which included disgorgement of profits in the amount of $29,342.50, and agreed to cease and desist from future violations of Rule 6.20(b). They got hit by the CME last year.
Real time position limit monitoring It's not hard to setup. Real time feeds from the exchanges and near instant calculation of the position limit.
Here's the interesting quirk - Henry LD1 is an ICE Exchange cash settled future based upon a monthly price published by NYMEX. Being cash settled, it is definitely harder to squeeze than a fungible contract. Secondly, it would require a ridiculously ludicrous amount of balls and capital for a single entity to manipulate the Henry Hub natural gas monthly delivery price published by NYMEX. Having said that, in no way am I defending Condor Alpha AM.