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This article doesn't even try to answer the only relevant question: Are trades of this magnitude in the last 10 minutes before close unusual? The time leading u

by darawk 7y ago

This article doesn't even try to answer the only relevant question: Are trades of this magnitude in the last 10 minutes before close unusual? The time leading up to market close tends to be the highest volume period in the trading session. These are big trades to be sure, but the S&P e-mini futures contract is extremely liquid. It's an easy question to answer if you have the volume data. I don't happen to otherwise i'd run it myself, but the author of this article really should have before publishing this.

erikig 7y ago
That would be a reasonable starting point. Also, it would be great to see how these trades relate to the expected amount of volatility for the weekend (also public). For funds that don't want to trade out of and in to large positions on Friday and Sunday the e-minis are a great way to hedge your risk especially around high volatility events (of which there have been an increasing amount).