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I observe regularly some huge volume spikes on the DAX (7K contracts on 1 tick in this chart)
Question is : how come the market doesn't move ? Where does all this huge volume come from ?
Can you help answer these questions from other members on NexusFi?
Another interesting point on the DAX : on rollover periods you see rollover volume from one contract to the other.
Of course if you are using only one contract to calculate the delta, you are getting a false idea of what is happening because you're not aware of the opposite volume happening on the other contract.
I'm not sure about the DAX but some exchanges allow 'adjustments' to be made.
All trades must be logged and accounted for during a trading day and must actually trade.
So those could be the brokers/clearing house balancing trades.
Since they are representing both buys and sells from the same basket, the price is not likely to move because the orders never show in the market. They just hit the bid/ask with the same bulk order on both sides. Most traders never even notice the trades.
Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
There is an extra book on Eurex for Block Trading for larger traders (OTC Block Trade EntryWindow). For the DAX the traded contracts must be greater than 250. These trades dont affect the order book as the counterparty is always there.
The reason there is no mention on the order book is not because they already have a buyer, but it's because they are dealed off-the public market.
There are proposals to put these orders on the public market. Since they might move the market but it's not known to the other investors, such as retail trades as we are.