A question for any folks here who have insight in the arb industry: I was quite suprised to see the 150tick spike down in YM on 23-June and AGAIN the next day. (See chart below). Other contracts were all well-behaved, the problem was only in YM. I would think that arbs (ES/YM, YM/DIA etc) would have kicked in and prevented this fiasco. And yet, it happened again on the very next day! I think it (150pt) must have been the largest deviation from fair value during RTH since I've watched the contract.
I looked closer and apparently intraday DIA chart shows similar move as YM (which explains the YM/DIA thing). Still the EOD data (esignal) of DIA doesn't, it shows LOD 104.00 (vs 103.00 per intra DIA chart). Bad data from esignal? Notice that the plunge was preceded by a big block (1m shares) in DIA, a few minutes in advance.
it happened so fast that you had to look twice before reacting... it was so off that you thought it was a bad print.... turns out some people got lucky and otherts got fried.... why it happened was never formally discussed...
They are out there. You can see it in the total lack of volatilty in the spoos in the early am. Nothing moves unless the YM's move and that's rare these days. The CBOT must be losing money on the overnight session. I dont' know why they don't get rid of it or open it at 5 chicago time or something.
I think that the arbs did kick in - isn't that why it returned back to value so quickly? the reason that it went so far is because there were no resting buy orders down there (or very few) and an overwhelming number of stops being fired at it as market orders.