Sunday, April 13, 2014

Saturday morning outtrade session

The above photo is from a Saturday morning outtrade session which was called due to extraordinary trading circumstances on the prior Friday.  I've written about the outtrade process previously so won't rehash it, but clearly this goes to show how much smoother electronic trading has made the audit trail along w/eliminating outtrade risk now. 

What lead to traders giving up their Saturday morning to make sure trades balanced?  The prior day was February 4, 1994 and any fixed income trading veteran has plenty of memories of that day as the Fed raised rates unexpectedly for the first rate hike in 5 years.  Eurodollar volumes did 1.4 million contracts that day which was about 3X the recent daily average, but now is on the low side of volume for the same contract.  S&Ps traded 'only' one hundred thousand contracts which really shows how times have changed!  At the time, the multiplier on the S&P contract was $500, the minimum tick was 0.05, the contract level was around 480 and this was clearly years before the emini launch. 
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