There must have been a problem somewhere along the chain. Here's what we saw, looking at our Time & Sales data (you can do this too, if you are curious):
We were clipping along getting our usual 4 update ticks per minute on the TYX. We got a tick at a regular value, 62.80 at 13:55:06. Then, at 13:55:21 a tick comes in at 2.78. All of a sudden, every tick across the wire is at 2.78. Our server filters them out. This continues until 13:59:28 when a good tick comes in again at 62.84 and then nothing for 6 minutes. Then another one at 2.78 at 14:05:34, and then nothing for another 5 minutes. At 14:10:09, another good value at 62.78. Then nothing till 14:23:00 when 62.78 prints again and we are back to normal.
I know for a fact that this is what we got from our feed. Whether the problem is at our feed provider or at the source (the CBOE calculates this index) is yet to be determined.
Anyway, the bad values were filtered out in our intra-day data, but are evident in the Daily bar because the S&P Comstock feed thinks that the bad 2.78 value is the low for the day. We can override this bad value ourselves and we will.
In the meanwhile, though, you can use a 400-minute intra-day chart as a proxy, since the trading day for the TYX options (as well as the other interest rate options, IRX, FVX & TNX) is 400 minutes long, from 8:20 - 15:00 EST.
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Gibbons |
