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Trade the DAX future on the Eurex and you will see this happen once a week.
DAX volume never exceeds 60,000 contracts a day, average 35,000. That is
because of empty orderbooks. Nothing else.
Ed
----- Original Message -----
From: <KIMBOLEGSA@xxxxxxx>
To: <simtrader@xxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Wednesday, April 18, 2001 10:34 PM
Subject: Re: Fed aftermath ES vs SP
In a message dated 04/18/2001 10:49:43 AM Central Daylight Time,
simtrader@xxxxxxxxxx writes:
<< ESM1 high: 1325
SPM1 high: 1270
Like most folks, I'm well aware of the chaos that ensues on ES and NQ in a
fast market as compared to their pit counterparts. But I've yet to see a
lucid technical explanation of exactly WHY the price gets so far
out-of-line. Anyone car to divulge?
Simon. >>
Most of the volume on the mini comes from 'arbs' trading against the full
S&P.
As a result, the mini has great liquidity but only in a narrow range, near
the current price, compared to the full S&P.
If the price ever gets outside the narrow range quickly, it's in very thin
air.
Any Stop order that is hit that does not have a Limit placed with it will
keep going until it hits a resting order to fill it.
If your broker defaults a limit to any Stop order you place, the range will
be limited to that defaulted range thereby limiting your risk.
If not, then today you got filled at 1325 as someone found out.
Rgds,
Kim
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