January 24, 2008
Oh Such a Hungry Yearning Burning Inside of Me
Here’s a look at the 10-minute chart of the S&P futures over the last couple days *including* the after-hours trading sessions. You have to look at both the night and day (paging fellow Cole Porter fans) sessions to get a complete picture in many futures markets, including the S&Ps.
Cat: | Time: 11:26 am (utc+8)
January 24th, 2008 at 2:40 pm
The line that the S&P futures “held” was the limit down.
January 24th, 2008 at 2:44 pm
Brian: Ha! Now I know why it held so well. :)
January 24th, 2008 at 4:28 pm
I wonder how much of the market turmoil in the past few days is related to SocGen’s fraud trade.
January 24th, 2008 at 4:39 pm
Brian: Just saw it (from Bloomberg):
“The bank found out last weekend that a trader in Paris had secretly set up positions that will cost the company 4.9 billion euros before tax…. The trader, who wasn’t identified, went beyond permitted limits on futures linked to European stock indexes.
Societe Generale said that it’s already closed all the positions set up by the trader, who had used his experience working in the back office to hide his trades through fictitious transactions. The fraud was discovered Jan. 19 and 20.”
Yeah, sounds like unwinding those might have stirred things up a bit, but who knows how much? Must have been a massive long position put on near the peak? Can’t WAIT to hear the details of this one!
January 25th, 2008 at 7:15 am
if you want to trade the ES in the overnight session, be careful of the extreme volatility sometimes.
most retail folks don’t realize you can make a little bit of money trading ES just after the close in earnings season etc.
for example tonight with MSFT earnings that are positive, i have already picked up just over 6 points in just about half an hour.
January 25th, 2008 at 7:26 am
andrew: How thin is the trading in the after-hours session as compared to the regular session in the ES? Do you know the 1-minute volume or trade count comparisons between the two sessions? Thanks.
January 25th, 2008 at 9:15 am
ES volume/minute in the regular market hours is at least double the amount traded in the hours immediately before market open and after market close. Trading during the night can get down to under 10 contracts/minute, but spreads stick close to 1-tick throughout.
January 25th, 2008 at 9:43 am
Brian: Thanks. 10 contracts per minute: Eeek! When I was day trading stocks I looked for trade count of at least several hundred per minute and got most excited when it got over 1000 trades a minute. :)
January 25th, 2008 at 9:50 am
“i’m not sure where thee guys were placing their stops to take hits like this”
The interwebnet is full of guys blowing out this week with the common thread being - NO STOPS.
Insanity.
January 25th, 2008 at 9:59 am
stops are tricky using IB as they don’t handle “synthetic” stop orders after-hours.
i had a major issue over last weekend with some ER, NQ and ES losses and wiped out a big chunk of one of my trading accounts.
it’s near impossible to scalp in the overnight, and i tend to put positions on only if there’s a very definite fundamental trend going on.
one more thing is that volume spikes when the german traders start, and then an hour later when the english traders start.
what’s scary sometimes is when someone dumps a large sell order when volume is so low and the ES drops 10-15 points in a minute. “large” is relative, and can even be as little as 200 contracts.
maoxian: if you want to see volumes, check out t&s data on cmegroup.com, or i can send over some screendumps etc.
January 25th, 2008 at 10:20 am
C. Maoxian: ES typically trades a minimum of 1,000 contracts/minute during regular market hours. 10,000+ is the norm when things heat up. ;)
January 25th, 2008 at 10:24 am
@Cap: Someone (andrew?) explained that there are no hard stops possible on Globex and you have to be sitting in front of the screen, so I can understand people getting stuck there. Gaps down can be killer but with liquid stocks you should be able to judge how bad the slippage will be. Take Box pick VRSN this past week, a 1.6R loss (at best) given the gap below the fixed stop — bad but not the end of the world.
@andrew: sure, send me some screenshots since I’m too lazy to scroll through old T&S data. :)
@Brian: OK, and I guess that’s why it makes such an excellent trading vehicle. :)
January 25th, 2008 at 10:35 am
i got screwed big time last week with a large position on AAPL that gapped down and never looked back. my stop on IB turned out to be a Market on Open order and was filled very badly to make things worse.
there are no hard stops possible using IB other than in the regular session.
will send screenshot for the last few hours via email direct :)
January 25th, 2008 at 10:52 am
andrew: What was your original stop price in AAPL, where did it open and where were you finally filled? Can I also ask the # of shares if that’s not too nosey? I love to hear the details of executions (no pun intended). Thx for the incoming screenshots.
January 25th, 2008 at 11:26 am
i trade SSFs.
the position was 10 lots of AAPL @159.1 with a stop set at 155.
i didn’t expect the big gap down and it was filled at 132.24.
that was a very painful experience after my ER/NQ/ES realized loss the day before.
January 25th, 2008 at 11:29 am
andrew: Ah, single security futures: those are super-illiquid, no? Even for a stock like AAPL, aren’t they? What was the opening print compared with the fill?