原标题：Flash崩溃！ 它在3秒内暴跌了10％。 这个品种发生了什么？ 乌龙手指又来了？ 事实是…
概括
[Shockedaflashcrash!A10%plungein3secondsWhathappenedtothisvariety?Oolongfingeragain?】February10isthelasttradingdayoftheChinesemarketintheYearoftheRatWhileA-sharesarerisingthecommodityfuturesmarketisnotcalmFueloilfutureshadaflashcrashlateinthetradingsessionwhichplungednearly10%inthelast3secondswhichwassurprising(BrokerChina)
February 10 is the year of the rat in ChinamarketOn the last trading day, while A shares rose,ProductThe futures market is not calm. Fuel oil futures experienced a flash crash late in the trading session, which plunged nearly 10% in the last 3 seconds, which was surprising.
As international crude oil and related products have not seen significant fluctuations, the flash crash of fuel oil futures is unusual.From the analysis of transaction data, some insiders speculate that the sharp drop may be due toBig familyMultiple single-end marketsLiquidationCaused and triggered further suppression of programmatic trading.
Black for three seconds
Fuel oil futures start to appear black for three seconds!
On February 10, Nenghua Futures showed a relatively weak performance after the opening under the background of a weak spot, similar to the previous year before the holiday.Commodity marketThe overall situation is calm and light.Until the last three seconds before the close, the fuel oil futures suddenly crashed. In just three seconds, the fuel oil futuresMain forceThe 2105 contract plummeted from 2270 yuan/ton to 2057 yuan/ton, a drop of 9.4% during the period.
In the end, the fuel oil 2105 contract closed at the lowest price of 2057 yuan/ton throughout the day, a drop of 10.84% on the day, which was only one step away from the 11% limit. The sub-mainstream 2109 contract closed down 7.72% simultaneously. However, fluctuations in the international crude oil market and related products during the same period were not obvious, and the drop of low-sulfur fuel oil was less than 2%. This phenomenon has attracted great attention from all parties.
Industrial Futures Investment Consulting DepartmentGeneral managerLi Guangjun said that on February 10, 2021, in the last 3 seconds before the close of the main fuel oil (RU) futures contract on the Shanghai Futures Exchange, more than 3,000 lots were closed, and the flash crash was close to 10%. By the end of the close, the main unilateral position of fuel oil futures was held. 305,900 lots, a decrease of 57,132 lots from the previous trading day. The market has more speculation on the late flash crash of fuel oil (RU).
Li Guangjun said that from a fundamental point of view, the recovery of shale oil production in the United States will need to wait until the second half of the year, and the latest OPECmeetingSaudi Arabia also clearly conveyed the signal of restricting production in order to digest excess inventory, which further supported the tight supply structure of heavy oil and high-sulfur fuel oil. Before the release of Iran’s crude oil and fuel oil supply, the high-sulfur fuel oil market will continue to suffer. Support from the supply side. After the second quarter, power generation demand in the Middle East and other places will also usher in a seasonal pick-up. Therefore, from a fundamental point of view, high-sulfur fuel oil is expected to be optimistic in the first half of the year, and the late flash crash of fuel oil may be more of a financial behavior.
The industry speculates the cause of the flash crash:longLarge accounts close their positions and trigger programmatic trading?
What happened behind the flash crash of fuel oil futures?
Some clues can be seen from the transaction data in the last three seconds. The data shows that starting from 14:59:57 on February 10th, there have been four large and concentrated liquidation of long positions in the market.DealThe numbers were as high as 4741 lots, 6535 lots, 3011 lots, and 2785 lots. It was these long positions that directly suppressed the futures price of the fuel oil 2105 contract from 2271 yuan/ton to 2074 yuan/ton.Since then, the market has made two short movesOpen a position, So that the futures price fell further to 2057 yuan / ton.
“There are speculations in the market that the probability of this event being an Oolong indicator is not high, and it is more likely that large investors concentrated on closing long positions in late trading, leading to programmatic follow-up shorts/closing longs. However, there is no definitive conclusion yet.” Li Guangjun said.
South China FuturesEnergyAnalystGu Shuangfei believes that there were a lot of active closing deals in the fuel oil 2105 contract in the late trading, and the contract fell sharply in a short period of time and was close to the limit. At present, the fuel oil itself has not undergone major fundamental changes. We believe that part of it is approaching the Spring Festival holiday. Funds to circumvent the originalOil priceRisk disposal based on the risk of volatility, but wrongly judged the liquidity status of the market at the time close to the close of the market, failed to manage the order, and the order volume was not enough to support a large number of sell orders.priceDiving instantly.
Topix Derivatives Research InstituteCommoditythe studySupervisorJin Xiao also believes that the dramatic changes in the market are actually only in the last three seconds. In the two seconds from 14:59:57 to 14:59:59, a total of 4871 long lots of 2105 contracts were actively closed. And before the holidays, market liquidity is obviously insufficient. The reason why the bulls take the initiative to liquidate their positions may also be worried about the sharp drop in oil prices in the external market during the Spring Festival holiday. After all, the Brent oil price has already stood at $60 per barrel, and a correction is possible.The price can eventually be hit close to the limit position, the reason may be activeLighten upLong oolong refers to, or programmatic conditional stop loss orders are centralized to stop loss, which may also have some bugs.
There will be human errors, and the market will quickly correct them
Fuel oil futures have experienced strange and violent fluctuations, and human error will inevitably pay.
The latest crude oil price has risen again, which means that fuel oil, which is highly correlated with crude oil, is likely to repair the previous decline.The end result is likely to be that the long positions that have been concentratedly closed cannot be closed at a good price and regret it; the short positions chasing short positions are not small in the short term.Loss.If the futures price returns to the price of 2270 yuan/ton before the flash crash, the loss of the last two 2507 short positions on the 10th may be as high as 5.34 million.GuaranteeThe proportion of gold losses is staggering.
In addition, the current price flash crash may bring certain short-term disturbances to the overall risk control of the fuel oil futures market, but considering that such short-term disturbances may end soon, it will not have a substantial impact on the market.
“On the last trading day before the Spring Festival holiday, most of the funds chose to liquidate their positions and lighten their positions to avoid the risks of the long holiday. The reason for the large market volume should be the result of actively lightening their positions. It is an active risk control and will not affect the Spring Festival. There are obvious guidelines for the price trend in the later period. The main factor for the future rise and fall of fuel oil prices still needs to be based on the original trend during the holiday. The fundamentals of high-sulfur fuel oil itself are weaker than that of low-sulfur fuel oil, especially in China. It is more obvious that China’s main low-sulfur fuel oil tanker bunkering, high-sulfur lack of domestic depot channels. If crude oil continues to strengthen in the future, low-sulfur fuel oil generally has a better upward drive. But in terms of long-month contracts, With the demand for power generation from high-sulfur fuel oil, the demand for secondary processing in refineries, and the gradual restoration of ship fuel demand for desulfurization tower vessels, Yuanyue high-sulfur fuel oil also has a certain opportunity for multiple allocations.” Gu Shuangfei believes.
Jin Xiao also said that despite such spectacles before the holiday, the price of high-sulfur fuel oil is still anchored by crude oil.Unreasonable before and after the holidayPricingIn the end, the first trading will return after the holiday, and it can be realized at the opening, because market participants in fuel oil futures do not need to worry too much.
(Article Source:BrokerageChina)
(Editor in charge: DF512)
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