Are you saying that much larger trades get better rates? (And better from which perspective - long or short?)This is not that large of a spread. There are a lot of factors that influence this. Largest factors are size of trade and how patient one would be to get their trade filled. You can likely get a few bps of price improvement from ask if you wait a few hours and you send an order at current bid or mid.But looking at all the trades on 12/20/24 for Jan 17 boxes on boxtrades.com, there's a huge dispersion: many boxes done as low as 995.35 and as high as 995.75. What explains such a wide gap within the same day?
The spread seems quite wide to me. On the single day in question, millions of dollars (in single blocs) traded hands at 995.30 (implied rate of 6.33%), millions of dollars at 995.70 (5.78%), and millions of dollars at 996.10 (5.23%). What would explain that? Do certain brokers get better execution? Does PFOF come into play here at all? As someone who has been bitten by this, I'd really love to understand it better.
Statistics: Posted by johnanglemen — Wed Dec 25, 2024 1:52 pm — Replies 660 — Views 100081