Help me understand Time and Sales and large orders

Discussion in 'Trading' started by IronFist, Oct 11, 2008.

  1. Program buyers are buying the cash market and selllng the premium in the futures all the way up. It's called stock-index arb.

    Corporate treasuries will often deploy a percentage of their cash flow in this manner because it is a "hedged" strategy with a specific rate of return.
     
    #11     Oct 14, 2008
  2. Syprik

    Syprik

    FWIW, that form of cash-future arbitrage is essentially extinct.
     
    #12     Oct 14, 2008
  3. I thought it was that simple with an electronic order book market like the eminis, where you don't have a specialist or block trades or anything like that to complicate things. Unless a stale quote is getting picked off, a trade at the bid means somebody is paying the spread to sell and vice versa. What am I missing?

    I am not implying knowing that is enough to trade on, but I think it is enough to figure out which side is paying for liquidity at the moment.

    I also just replied because of your handle - let it snow!
     
    #13     Oct 21, 2008
  4. lately large orders havent done much
     
    #14     Oct 21, 2008
  5. TraDaToR

    TraDaToR

    How do you know that? Cash and futures still move in unisson...
     
    #15     Oct 21, 2008