The nature of the beast

Discussion in 'Index Futures' started by qazwsxedc, Oct 4, 2005.

  1. Beast being Bund. I seem to see more but smaller overshoots, as if additional paper is dampening intraday moves. Has anyone else noticed it changing in recent weeks?
  2. BKuerbs


    There certainly have been worse days than in the last weeks, but on the whole I don't think so.

    Just today the market opened lower than it should and was pushed down several times till it lifted off.

    When a similar behavior showed last Wednesday (someone dumping 30K contracts after the open?) the market moved up much more slowly and cautiously.

    Have a nice evening

    Bernd Kuerbs
  3. That's (Intraday highs being sold into hard, intraday lows being bought in size) what I'm talking about. I've noticed a lot of this happening intraday the last few days and I was wondering whether the change had anything to do with the end of quarter last week, or whether there's some other structural reason.
  4. BKuerbs


    What changed in my view is the behavior of DoM: in the last weeks you could routinely see a figure of 2-3 to 1 in the ratio of the cumulated bid/ask. This not only at day's high/low but at some in between swing high/lows too. The market usually bounces off 1 or two times off these price areas to be driven right through them a bit later.

    Have a nice day

    Bernd Kuerbs