SPI cornered

Discussion in 'Index Futures' started by Trader5287, May 27, 2003.

  1. by a program. Best bid and ask for nearly every contract is the same party. It can crush or juice the market at will. Awesome. Never saw anything like it in action.

  2. What are you talkng about?

    Michael B.
  3. Yes can you fill us in with some details please.

  4. Load both the JUN and SEP and watch. Unless you trade, say, 15 to 60 contracts, I don't see how you can trade it short term. Take a look and tell me what you think. It has been running for about 10 days or so.

  5. def

    def Sponsor

    Are you sure you're not looking at the roll markets orders being posted on the respective futures books?
  6. You tell me def. Last night the spread was 1 tick at times. It or he trades the exact same number of contracts on both the JUN and SEP. My system, which basically goes on reversals and looks for 125$ per contract consistently and within an hour (so I don't fall asleep) no longer works. Trading starts at 7:47 PM EDT.

  7. def

    def Sponsor

    assuming we are talking about the same product (sydney futures) then that might make sense if it is the roll trading or the system is creating markets based upon the roll bid/ask. I know our prop side and other clients do a fair amount of volume on that exchange and thus know it isn't rigged.

    the size of the bid/ask will adjust in relation as the front month future trades and what markets can be created from the roll markets. I''ll take a look tomorrow but my guess is that the roll market tightened up to 1 tick wide. I'm having a tough time trying to explain this right now and I've got to run. I'll take another crack tomorrow after looking at it.
  8. I haven't noticed anything more bizarre than usual in the SPI lately. Wasn't impressed with the insider trader fiaso at the end of last month (put on my biggest ever SPI position few minutes before it got caned). And to think they are going after Rene Rivkin for a few grand when this sort of thing happens.
  9. SFE official called in response to my query. Said most likely a market maker handling, as def says - "the roll". He listened to my small time trader concerns about going up against that kind of size and spread in a thin market. Also he said they were looking at putting up more informative charts on the SFE site. He was well aware of their unique position at the end of our day and start of Asian trading in the new day and said several times SFE committed to generating more interest in US.

    I told him I believed the future was with small pikers like me and he didn't laugh me off the phone but that could be because of that famous Aussie congeniality!

  10. def

    def Sponsor

    To their credit they really are interested in retail volume and attracting US business. I'm not too suprised that they even called. One problem of attracting US retail business is that the majority of US citizens probably couldn't name one Australian company.

    In any event don't get bogged down that the future is often 1 tick wide and may show some size. If the roll is dictating the spread, the market will still move and you'll get your fills.
    #10     May 28, 2003