The June 2015 long bond contract has jumped nearly 10 full points. Reuters reports that a bid for 500 lots hit at 2:08 pm were the culprit.
Looks like some kind of fat finger. Gotta fade that.
US 30 year June 2015 future
Liquidity is very light outside of the front month but it’s showing bid at 151-05 still.
US 30s table
Update: Now there’s talk that yesterday’s settlement price was wrong and the cheapest-to-deliver basket was wrong. I still struggle to understand why there should be an 11-point difference in the March/June prices.
Update 2: The CME changed the delivery basket. What seems to be the problem, and what could explain the huge difference in price between the March/June contracts is that they’ve changed the cheapest-to-deliver basket.
CME statement via @bondscoop
So if it’s not a fat finger, I’d like to know what that 500-lot was priced at.