June E-mini S&P 500 Futures May 6th 2010

June E-mini S&P 500 Futures May 6th 2010

How's this for a wild day
Open 1,163.75
High 1,168.75
Low 1,056.00
Last 1,122.75
Change -41.50
Settle 1,122.50
Estimated Volume 5,674,895
Prior Day Open Interest 2,591,435

 

Thanks for the roller coaster ride Waddell & Reed.

http://www.reuters.com/article/idUS...ters/businessNews+(News+/+US+/+Business+News)

 

How could they trade that volume of e-minis in that short a period of time ? Isn't there a limit of 1000 or 2000 contracts per trade ?

 

Well...here it is:
http://www.cmegroup.com/rulebook/CME/IV/350/358/02.html
35802.D. Position Limits

A person shall not own or control more than 20,000 Standard and Poor’s 500 Stock Price Index contracts or equivalent contracts net long or net short in all contract months combined. For purposes of this rule an E-Mini Standard and Poor’s 500 Stock Price Index futures contract shall be deemed to be equivalent to one-fifth (0.20) of a Standard and Poor’s 500 Stock Price Index futures contract. For positions involving options on E-Mini Standard and Poor’s 500 Stock Price Index futures, this rule is superseded by the option speculative position limit rule

So it appears Waddell-Reed was able to thwart this limit by sending the sell orders from different traders (i.e. persons) within the firm. This did not violate the above rule. I can't believe the CFTC or SEC did not pick-up on this. The rule needs to be amended and the software needs to be updated to aggregate the trades per firm.

Am I smart or are they stupid ?