CME says to adjust bond futures trades after overnight trading spike
NEW YORK Dec 23 (Reuters) - The CME Group said on Monday that it will adjust the clearing levels of some bond futures trades after the contracts saw unusual price spikes in overnight trading.
After a lengthy lull, a burst of activity in the March 2014 U.S. 30-year Treasury future hit just after 2:30 a.m. EST.
The contract was trading around 130-6/32 and started ticking higher shortly after the trades started crossing. By 2:37 a.m., the contract had climbed 9/32 in price to 130-15/32, and by the end of that minute it began rapidly rising in price.
In the space of 13 seconds starting at 2:37:51 a.m., the contract shot nearly 5 full points in price to reach a high of 135-23/32 by 2:38:04 a.m. It retraced most of that gain over the next 56 seconds, falling 4-13/32 in that time, back to 131-10/32. By 2:58 a.m., the price had fallen back to 130-10/32.
The CME said on Monday that it will adjust the clearing levels for trades over 131-12/32 to that level.
The futures move caused a corresponding 10-basis point plunge in thirty-year bond yields to as low as 3.74 percent. The yields quickly rose back and last traded at 3.83 percent.
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