Someone pointed out to me this unheard of action on the close. Oddly size did NOT move the market. 40000 contracts trade in the Tnote in one minute across a few ticks only during settlement at the 9pm mark local time, dwarfing the entire days action. Over these few minutes its the same volume as after the recent FOMC where it moved a full point. Massive size across all markets. There is a 100000 offer in the 2 year.. crazy. This was the last settlement before debt deadline too so maybe somethings up with that. Its a bit jumpy as is replay data.
EDIT: I asked some prop traders what the deal is here - This is end of month volume occurring at the close. Prop traders look for this to occur, which is all the funds closing out their positions for the sake of accounting, then immediately reopening the position. As funds are doing this on the long and short side it occurs in a very tight range, on massive volume. Some traders look for this end of month trading to get out of balance and trade the breakout. They look for the same thing at end of quarter and annually, with more extreme volume on these occasions.
EDIT: I asked some prop traders what the deal is here - This is end of month volume occurring at the close. Prop traders look for this to occur, which is all the funds closing out their positions for the sake of accounting, then immediately reopening the position. As funds are doing this on the long and short side it occurs in a very tight range, on massive volume. Some traders look for this end of month trading to get out of balance and trade the breakout. They look for the same thing at end of quarter and annually, with more extreme volume on these occasions.
