CME Trading Distruption

This afternoon the  CME experienced a trading quoting problem that caused multiple market quotes to disappear.  (The number of offers shrunk from 114 to 39).   It seems that the algorithm that combines an outright and calendar spread market weren’t adding two to get to a second outright level.

For example, the BOSX13 market is quoted 159.0/163.8 and the Nov 13/14 calendar spread market is quoted -7.8/-4.4.  Normally the CME system would generate a bid for Nov ’14 of 163.4 (someone wanting to sell the calendar spread at -4.4 would sell the front contract 4.4 points lower than where they’d buy/bid the Nov ’14 contract) and an offer of 170.6 (the 163.8 outright offer on Nov ’13 is 7.8 points below where someone would sell the Nov ’14 contract).  Only the bid (163.4) is showing.

The problem may extend to other contracts.

The CME is aware of the problem and will hopefully have this issue fixed in the very near future.

Please contact me (johnhdolan@homepricefutures.com) if you need any explanation.