First of all, as other people have already pointed out in recent posts you cannot sell 5,000 ES contracts in "one-trade" because the CME/Globex rules limit you to 250 contracts, max. Second of all, you are also incorrect about the amount of volume that traded on Thursday, AND your assumption that it was just another "typical" day of trading volume. The fact of the matter is that Thursday, July 3rd saw 433,116 ES contracts having cleared, and 37,461 Full S&P contracts having cleared. THESE NUMBERS ARE DOWN BY 34.5% and 40% RESPECTIVELY FROM THE AVERAGE DAILY CLEARED VOLUME NUMBERS FOR THE PREVIOUS 5 TRADING DAYS! ( 659,000 and 61,400 ) Thus, you are wrong once again. Your theory is ridiculous. As for my knowledge base on this subject, I used to trade stock-index futures as an independent floor trader from 1984 - 1993.
Quah, These links don't work for me. the *.pdf files appear as a small icon in the upper left corner of an otherwise blank web page. Using just the notebook link returns a page not available message. Can you help me out here? TIA. Bruce
As for why anyone would want to sell 100 ES at the market, (which is only $4.9 million in equity value and could very well have been part of an option or equity hedge ) go ask George Soros why he wanted to sell 5,000 full S&P Futures "at the market" on the opening of the Thursday after Black Monday in October of 1987. Answer: Some people have no idea about the "mechanics" of the marketplace and are too caught up in theory.