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Block trade

A large, privately negotiated futures trade executed away from the order book at a permitted price and reported to the exchange within minutes.

Blocks let institutions move size without walking the order-book. Each product has a minimum block size and a reporting window, and the price must be "fair and reasonable" relative to the screen at the time.

Blocks print into the volume record but never appear as a traded price on the depth ladder, which is why a large tick on the tape sometimes has no matching book activity.

Example: CME may set a 100-contract minimum for blocks in a given index product with a five-minute reporting requirement during regular hours. A 4,000-lot pension hedge is done as one block rather than 4,000 screen fills.

Related: exchange-for-physical, efrp, order-book, liquidity, globex

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