Shrinking ES bid/ask sizes (2007/11/9)

ES average bid/ask size, bid/ask number of changes, and the number of small trades has declined drastically since Nov 9 . ( Plus average trade size went up)

Anyone heard which major program bailed out ?

 

I don't trade the ES, but a few days ago I was shocked as to how thin the book was - I looked at it during lunch hours. Only 400-700 contracts per level on the 2-3 closest levels. What happened?

 

As said, exactly since 9 of November.

Anyone, maybe ?

 

Local - Have you been watching the March ES contract too?

 

No. Why? Did you see any anomalies in far month contracts ?

 

we will see question asking why dec contract frozen!.

 

Maybe I have to clarify, that the issue descibed here is __ by no means __ related to rollover !

 

There may be some larger funds/algos/black boxes/arbs that have stopped trading for the year in order to have some extended vacation time and not jeopardize year end bonuses. They'll be back the first Monday in January.

 

Notice the size changes with the state of the market.

Who thinks there is always a certain 'size' out there no matter what?

 

What you see on DOM is nothing but a game. True big players do not show their hand. It is up to you to find their actions thru time and sales. The spoofing is used to hold the market up or down short term in order for them to execute their true intent.