Bigger and Deeper - 2024Q3

Bigger and Deeper - 2024Q3

Stefan Schlamp Stefan Schlamp

Stefan Schlamp

Head?of Quantitative Analytics

发布日期: 2024年10月6日
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After the 2024Q1 and 2024Q2 leaderboard of largest trades, this quarter's update includes a separate table for the deepest trades of the quarter - inspired by this event.

First, the scoreboard of the largest trades in the previous quarters for a number of products and market segments (Table 1). Nothing truly remarkable at least compared to the previous quarters. But it is still amazing how close to 800 MEUR of notional are matched in a single trade.

Table 1: 2024Q3 largest trade for a range of equity index/fixed-income futures on Eurex, and DAX/MDAX/SDAX constituents on Xetra.

On cash side, the fact that 7 MEUR of liquidity are available on the touch at Xetra is pretty impressive.

A bit more "feature rich" is Table 2 below which shows the trades which ate through the most levels. A few are obviously related to a news release (12:30Z) where the liquidity typically intermittently dries up.

Table 2: 2024Q3 deepest (most levels) trade for a range of equity index/fixed-income futures on Eurex, and DAX/MDAX/SDAX constituents on Xetra.

Others seem to come out of the blue. Take the BASF 66-level trade, for example. At no point prior to the trade was there a time with the sought-after liquidity available at or near the touch. Whether or not this was a smart trade depends on the horizon.

Figure 1: Chart 66-level BASF trade on 20240910 with subsequent volatility auction.

After the triggered volatility auction, the market had mostly reverted back. But moved in the direction of the trade again over the next 15 minutes.


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