Sunday, 30 March 2008

Fat Finger Friday

Before I go on to preview next weeks market I though I would make an entry about Fridays price action in the Bund. The market had been relatively quiet for most of the morning, the range was an average 30 ticks on volume of about 265k lots by 11:00 gmt. This is relatively light for the bund, but with a lack of any decent economic news, to be expected. Then at 11:17 gmt the Bund fell out of bed in the biggest way I have ever seen. It dropped 172 ticks in 4 seconds!!!. I have never seen the Bund do this and no other instrument really responded because it all happened so quickly. This was a bigger move than those of the Sept 11th attacks. The exchange closed the contract for 2 minutes and when it re-opened it was only 20 ticks lower than where it had been before the strange move. Given that the Bund is one of the most liquid futures contracts this has all the hall marks of a fat finger or error trade to me. The total volume transacted during that minute was 44k lots, but some of that would have been other electronic stops all tripping over each other. All in all a quite extraordinary move.

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