電子迷你市場受到操縱嗎?


11

S-P 500,Russell 2000,EUROSTOXX等電子迷的價格是否受到操縱?也就是說,是否有交易者利用足夠的頭寸進行交易以使價格朝他們想要的方向發展,從而利用了該市場中其他交易者的不公平優勢?

如果是這樣,這對於為那些市場設計任何交易系統有什麼含義?除非您有足夠的錢成為"操縱者"之一,否則它本質上是傻子的事嗎?

我曾經聽說一位經驗豐富的交易員(對零售交易員)說:

The first thing you have to understand about this market is that this market was not created for you to make money. It was created for the big players to make money - from you!

7

Arbitrage absolutely does not prevent a derivative (option, future, or otherwise) driving the price of the underlying. In fact, arbitrage, or the elimination of it, is what causes the "tail wagging the dog" phenomenon of large trades in the derivative causing wild swings in the underlying.

see the may 2010 flash crash that started with some large e-mini futures trades.

http://chicagobreakingbusiness.com/2010/10/may-6-flash-crash-triggered-by-e-mini-trades.html


4

Markets adjust with the impact of incoming orders. A large buyer will send the price up in any market.

Don't let the mini in the name fool you, the emini S&P is one of the most liquid futures contracts in the world. The futures market often has more volume available in the best couple ticks than the equity markets that it is based on.


1

It's like a giant game of tug-of-war except there are many ropes and thousands of participants. The SPY tugs at the ES, which tugs at the SPY, which tugs at other ETFs.

I suppose in theory you could manipulate the ES in a low volume setting by selling a huge block in the thinly-traded period before 12AM PST, selling enough to make the price fall 1/2 -1% and hope the price remains depressed until the liquid normal trading session, and use the depressed price as an opportunity to initiate option trades or buy many more shares at a cheaper price.


1

We will know the answer to this question when Navinder Singh Sarao is put on trial in the United States on charges of doing precisely this.