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Why did the DAX do a 5 point jump this morning
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Why did the DAX do a 5 point jump this morning

  #1 (permalink)
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Why did the DAX do a 5 point jump this morning

Hi,

I was watching the DAX on IG this morning , and something surprised me.

At the open the premium vs the future was 16 points, and the IG price was in line with the LMAX price.

Suddenly at 9:24 Paris time, the premium was 11, and it had a 5 point gap with LMAX, which replicates the future.

I checked on the XETRA page, and IG's price seems in line with the Xetra official index price, so it means the index gapped 5 points, but not the future.

Anybody would know why ? If you long the bottom on the future, 1 min later you're +10, but with IG 1 min later you're +15.... Reverse results if you go short :-)

Top : LMAX, Middle : Future, Bottom : IG
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  #3 (permalink)
Market Wizard
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gomi View Post
Anybody would know why ?

Can see nothing similar here. eSignal data for FDAX from Eurex and cash Dax from Xetra are an exact match for IG 5 min or 1 sec data. Maybe a local or transient aberration.

Sometimes the data can look strange as the cash price for many CFD platforms is calculated from the nearest future and a calculated premium rather than the underlying cash price itself, but it's usually very close.

Cheers

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I agree with Ratfink

DAX index & future around that time this morning

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@gomi

As @ratfink mentions: the DAX is a BEAST

but

"il y a toujours des anomalies dans les dérivatives"

Bonne journée
GFIs1

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  #6 (permalink)
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Sure the DAX is a beast, but there must be some reason the IG quote had a steady spread vs the future of 16 at the beginning of the session from 8 to 9:24, and is now at 11...

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gomi View Post
Sure the DAX is a beast, but there must be some reason the IG quote had a steady spread vs the future of 16 at the beginning of the session from 8 to 9:24, and is now at 11...

You can be sure, that IG quotes the Cash DAX and not the DAX-futures.

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gomi View Post
...there must be some reason the IG quote had a steady spread vs the future of 16 at the beginning of the session from 8 to 9:24, and is now at 11...

The Eurex future-> Xetra cash spread has dropped from around 30 at the start of last month to around 11 now, but I can see no evidence of the jump you saw in the IG data for either Spreadbet or CFD, it matches eSignal. I still suspect a transient data loss or anomaly in what you are looking at, although I'm not sure what you are using to view it or if you are using the IG API.

Spreadbet in new platform:

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CFD in old platform:


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tr8er View Post
You can be sure, that IG quotes the Cash DAX and not the DAX-futures.

No so, both are available in several forms and, as I said earlier, the cash price is a representative price based on the nearest future with fair value and dividend adjustments, it is usually close enough to be indistinguishable from the actual cash index value, except around rollover times when it will drift.

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See their full notes pages:

https://www.ig.com/uk/indices-spread-bet-product-details

https://www.ig.com/uk/indices-cfd-product-details


Cheers

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If you check on the IG web site, from the bottom of the 9:20 (12435.3) to the top of the 9:55 (12461.3) you have 26 points.

The futures did 12452-12473 ie 21 points.

So a 5 points difference appeared, and it appeared arout 9:24. At least that's what I understand

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gomi View Post
If you check on the IG web site, from the bottom of the 9:20 (12435.3) to the top of the 9:55 (12461.3) you have 26 points.

The futures did 12452-12473 ie 21 points.

So a 5 points difference appeared, and it appeared arout 9:24. At least that's what I understand


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Sure, there is a single spike down on IG (08:24 for us slowcoach brits) but the following climb and the rest is all in sync with eSignal, to be exact the future did 21 and cash did just over 18, and around the 12461 level IG cash price was identical to the underlying. This is normal behaviour to me, given that hedge positions can be being unloaded, internal stops taken out, fair value adjusted, etc. IG does generate a significant amount of FDAX volume by its own hedging operations.

I still don't see the 'jump/gap' that you have on the chart you first posted (I'm guessing that's in Sierra?), it doesn't appear in either of IG's own platforms.

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