busted trades
Someone who knows more than I has suggested that likely someone entered a market sell at the same moment as the bids happened to dry up. Most likely, also, the best bid was a customer, rather than a member of the board of trade; if it was a member, they'd likely let the trade stand, but have fewer qualms about screwing a customer.

He points out that CBOT is still primarily an open-outcry exchange, and if a trader goes to the floor to do a market sell, it's actually visible to the other traders for a finite period of time — a few seconds, say — before it executes. If the bids have momentarily dropped away, they will come back in response to a market sell. There may be a sense, then, that for members to have missed such an opportunity because the electronic execution is immediate "isn't fair". Someday maybe the traders will grow up and learn that if you mean "sell at no worse than $420", you should say that instead of "sell at any price", and that if you don't you should be taken at your word.
- posted by dWj @ 1:59 PM