Banging the Close, from anonymous

September 3, 2013 |

In August 1998, I ran foreign brokerage for Refco out of Moscow, and most of my local clients kept averaging down in Russian Ruble futures, as the currency accelerated in its worst bear ever. Personally, I was a lucky Short from around 9.0000 of months ago and I patiently hung on through daily slides, as they were now breaching 7.0000.

This futures contract was now listed at the CME, but participation was still spotty. So that Friday the contract gapped down slightly below 7.0000 at the open, but it began slowly rising through its six-hour session, creating a possibility of a key reversal bar near the close around 7.0300. However, I noticed that with 60 seconds left on the clock, there were no bids showing in the book higher than the stale 6.9811 bid unabled un the morning. So with second remaining, I call the floor and ask the broker to post 6.9812 offer for a single lot. He barely managed to post it to the board, as the bell rang. Well, I sold nothing — but the day's settlement price has now shifted back below the 7.0000 for the first time in history, and it was the week's close no less!

So lo'n'behold, some heavy currency hedging activity kicks in as the Russian exchange opens next Monday. It was even rumored to have Palindrome fund connection to Vimpelcom purchase, where he ended up losing hundreds of millions during the ensuing government default. The official Russian default/devaluation declaration followed that week, gapping the devalued Ruble all the way to 4.0000 handle!


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