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Date: Fri, 27 Nov 1998 11:34:03 -0800
To: Richard <olfogey@xxxxxxxxxxxxx>
From: Phil Lane <logical@xxxxxxxxxxxxx>
Subject: Re: But seriously
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Would you be able to post this to the Omega list? A couple of people were
interested...
Best regards
At 01:28 PM 11/25/98 -0800, you wrote:
>Dear Phil,
>
>Last July, I went to Chicago and spent three days on the floor. My first
day,
>I spent at the Dow, on the Board. My second day, I spent at the
commercial S&P
>desk of my primary broker (they also have a second, retail desk about 90
>degrees around the pit to the left --- it handles most of the onesies and
>twosies and all of their E-minis). With around 15 minutes to go in the day,
>the main desk clerk received an order from one of their investement house
>clients to B 900 MOC. The clerk split the 900 cars among 5 top step brokers
>around the pit. All orders were executed within the last 30 seconds of
>trading, and the range of fill prices was 50 points (half a basis point).
The
>clerk told me that this was usual, and in fact, he was a little surprised
that,
>in his opinion, this range was "a little large".
>
>I was astounded.
>
>My third and last day I spent with Jeff Jacobsen, the creator of the LOS
>Squawkbox and the guy who calls it on the S&P. When I told him about my
>experience, he didn't batt an eye and told me that except during the doldrums
>of the market (the "noon ballon", when all of the commericals and many of the
>locals go to lunch), a 100-lot order could be filled without any notice.
After
>listening to the Squawk since last May, I have come to agree. The S&P, as
well
>as Bonds, just seems to have tremendous capacity to absorb size. When I
follow
>Bonds on the Squawk, 1000-lot orders are routine pretty much throughout the
>day.
>
>A day or two ago, in the middle of the day, I heard Jeff say that a
commercial
>(I don't recall whom, Solly or someone like that) was bidding on 1000; he
took
>perhaps 30-60 seconds to get his order off, and did so all at the same price.
>Within a minute or two later, he was back bidding on 800 at the same price,
>which he filled within 30 seconds, again at his price.
>
>Until I spent some time on the floor and now after listening to the Squawk
for
>a while, I have gotten what I believe to be a much more realistic idea of
what
>goes on on the floor, and my impression is that there is far more $$$
changing
>hands that I ever imagined, and it is doing so very quickly and silently.
>
>Sincerely,
>
>Richard
>
>Phil Lane wrote:
>
>> If anybody has an estimate of the number of SP contracts traded on the
>> close or in the last 5-10 minutes I'd love to hear about it. Just trying to
>> estimate slippage for potential "large" trades.
>>
>> Best regards,
>> Phil
>
>
>
>
>
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