Monday, October 23, 2006

ES Spike Last Night

For the curious I have some additional information about the spike from 1375 to 1398 and back down again last night in the December S&P e-mini futures. (Thanks to Tim Mack.)

Apparently a fairly large short futures position connected with options with a 1375 strike was covered at the Globex open. According to the Merc the painful fills that resulted were not errors.

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