Yesterdays action

Banjo · Jul 25, 2003

http://www.siliconinvestor.com/stocktalk/msg.gsp?msgid=19144485

inandlong · Jul 25, 2003

"....sitting in the breakroom playing spades when the selling started...."

Ooops!

Tea · Jul 25, 2003

From SI:

"Two brokerage firms sold 200 to 300 contracts apiece beginning around 2:15 p.m. New York time, said Citigroup's Ruffat. The sales pushed prices lower in part because there were relatively few traders in the pit, he said. The decline caused futures to drop to prices at which other firms had pre-set sell orders, he said.

The retreat began at midafternoon in the pits of the Chicago Mercantile Exchange amid the sale of hundreds of Standard & Poor's 500 Index futures, said traders such as Citigroup Inc.'s Philip Ruffat. The September contracts declined far enough below the index's value to make it profitable to buy them and sell the underlying stock at the same time. "
More...

Sounds exactly like what happened in the E-mini spike on 7-14.
Though yesterday was a more orderly decline due to the built in delay that pit trading has structured into it.

Perhaps some type of delay needs to be built into the E-mini when the futures exceeds cash by a certain amount to give people time to arb - thus a more orderly market (avoiding stop avalanching).

indahook · Jul 25, 2003

It is certainly no secret that big players will take out a "crowded" stop level.

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Yesterdays action

Banjo

inandlong

Tea

indahook