"the evidence for this conspiracy theory is not even that sometimes there were big futures trades shortly before big geopolitical events. The evidence for this conspiracy theory is that there were futures trades shortly before big geopolitical events. Like, a lot of futures contracts traded, but not all in one big trade. Not one person buying 386,000 contracts, but 386,000 contracts trading, in thousands of individual trades between unrelated traders. The evidence for the theory is essentially “people traded S&P futures the day before weird Trump stuff happened.” But people trade S&P futures every day! Lots of them! Billions and billions of dollars’ worth, in lots of trades! It’s an incredibly active and liquid market! This is … I mean, this is what a market is. People buy stocks, and people sell stocks, and if you just add up all the people who buy stocks before the stock market goes up then they will have made a lot of money, but that’s not because they were all tipped off, it’s because there is no other way anything could possibly work, come on."
Everything I am reading (especially the Vanity Fair article) heavily suggests that the large trades in question are a single trader or group of traders. How else could they mean, when they say "10 minutes before market close, this trade of XX,XXX e-Mini's happened"? Is there some dark-pooling going on that I'm not aware of, where transactions clear in bulk, that's making it look like it's a "single trade"? Otherwise, Matt Levine's argument doesn't seem like it's addressing the elephant in the room.
The electronic order book at the CME is completely anonymous. Unless the CME provided the de-anonymized dataset, there's no way for a third party to know that two separate trades were initiated by the same person. None. Nada. Zero.
The fact that the Vanity Fair article is just making the assertion that separate trades belong to the same person without explaining how they know this is pretty strong evidence that the journalist is just making shit up. Or at least is being hoodwinked by a supposed expert who is just making shit up.
I'd be like me claiming that every single slot machine jackpot in Vegas last Tuesday was won by the same person. Then when I get challenged to provide evidence of it, saying "no, you provide evidence that it wasn't."
Even if they got the exchange's order-book they'd probably just see a bunch of orders from some guys named Morgan Stanley and JP Morgan. So many of these trades are routed or entered by brokers or other large firms.
Due to regulations like MIFID you can’t hide trades behind a brokerage all the parties involved in the trade including the actual individuals (as in their passports or other government identifications) are recorded for each trade and reported to the regulators.
You can’t have a broker issuing orders on your exchange without knowing who they are for and who were the individuals involved in requesting and approving the trade.
JPM has also a responsibility in ensuring the trades it issues through its brokers aren’t tainted with insider trading.
Even without it I’m not sure that a dark pool is even possible on Globex or any of the large exchanges, these are usually reserved for smaller exchanges that are set up as an alternative trading system.
CME is also pretty pedantic in regards to who can trade on its platform.
Overall looking at the historical trade data there doesn’t seem to be any unusual trading patterns in the trades that VF reported as suspicious either in volume or position.
As far as the last minute trade goes this is very common not only on Fridays but at the end of every trading day where traders push a large number of trades just before the bell hits it’s pretty common practice it’s pretty much like taking out the trash.
At least one person* has claimed that some of the numbers were just obvious lies; that the 386,000 e-Minis Vanity Fair says "someone" bought in the closing 10 minutes on Friday was close to the total volume of thousands of trades in that interval.
Note also that Vanity Fair used an extraordinarily loose definition of "group"; they don't mention any evidence that traders were collaborating, other than that they made the same trade near the same time.
On Friday near the close the volume is much higher. I repeat the same question that I asked in another comment, why they didn’t wait until Monday morning to buy it when the price was much lower? And they would have known it given the current market trend.
I think that Occam’s razor gives the answer in this instance.
If everyone knows that the price will be lower on Monday, then the price will be lower on Friday. You can’t look at a “trend” and know where the price will go, otherwise the price would already be there!
Nobody can know for certain whether the market will be higher or lower on Monday. If you think it’s so easy to infer market trends where’s the billion dollars you made trading the e-mini?
This market opens late Sunday and closes late Friday. People trade a lot of /ES in the final hours before the close, because it's the last opportunity to hedge and set the portfolio before the weekend. Like every week.
"the evidence for this conspiracy theory is not even that sometimes there were big futures trades shortly before big geopolitical events. The evidence for this conspiracy theory is that there were futures trades shortly before big geopolitical events. Like, a lot of futures contracts traded, but not all in one big trade. Not one person buying 386,000 contracts, but 386,000 contracts trading, in thousands of individual trades between unrelated traders. The evidence for the theory is essentially “people traded S&P futures the day before weird Trump stuff happened.” But people trade S&P futures every day! Lots of them! Billions and billions of dollars’ worth, in lots of trades! It’s an incredibly active and liquid market! This is … I mean, this is what a market is. People buy stocks, and people sell stocks, and if you just add up all the people who buy stocks before the stock market goes up then they will have made a lot of money, but that’s not because they were all tipped off, it’s because there is no other way anything could possibly work, come on."