Themis Trading Blog

What Really Happened in the US Government Bond Market on the Morning of October 15th?

21

Oct, 2014

ust

What happened in the US government bond market on the morning of October 15th?  We have been hearing veteran bond traders say that they had never seen anything like it and that the bond market doesn’t work that way.  Did the US Treasury market, arguably the most liquid market in the world, experience a Flash Crash (or actually a Flash Dash since prices rose and yields fell)?

The NY Times wrote an excellent article yesterday chronicling the events of last Wednesday:

After the Treasury market opened, the yield on the 10-year Treasury, which moves in the opposite direction of
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Athena – Goddess of War on the Close

17

Oct, 2014

athena

 

Do you, as fund managers and traders, trade The Close? Do you target The Close? Do you trade in the last 10 minutes of the day? If so, then this morning note is for you.

While Modern Markets has lately been quite active defending high frequency trading by orchestrating television appearances for Bart Chilton, and puff pieces in the WSJ about Hudson River Trading, the SEC has been quite busy. Yesterday it announced its first ever action against a high frequency…
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