Eurex announced today that it had cancelled around 200 trades in futures on the Dow Jones Euro STOXX 50 and Dow Jones STOXX 50 indices on Wednesday. The cancellation only affected certain trades that occurred within a 45 second period at 5.48 p.m.
According to Eurex, order entries by market participants had disrupted orderly trading in these contracts. As a consequence, Eurex cancelled the trades ex officio. Eurex informed all participants that the respective transactions were “under Investigation” immediately after they were placed.
Following these orders, prices for the Euro STOXX futures fell from 2,400 points to a low of 493 points and rose back to the previous level within a minute, from 5.48 p.m. to 5.49 p.m.
In the Euro STOXX 50 futures trades were cancelled that traded below 2,342 points for the December 2002 expiry, below 2,356 points for the March 2003 expiry and below 2,328 for the June 2003 expiry. In the STOXX 50 futures trades were annulled that traded below 2,447 points for the December 2002 expiry, below 2,446 points for the March 2003 expiry and below 2,434 for the June 2003 expiry.