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Looking at some level 1 quotes data (QRM) on the bloomberg terminal for a DAX index option. Why is there always a 1 lot quote for 450 just popping in every other tick? Seems like there is a single MM quoting these elevated prices in hopes that someone will enter a market order and then get a ridiculously bad fill at 450 when it should have been 124.50? What exactly is going on here?

If level 1 data is supposed to show best bid/ask prices, how are the 1 lot quotes @ 450.00 allowed to be periodically making their way to the top of book when the 100+ lots @ 124.50 clearly have not been hit yet?

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  • $\begingroup$ Ticker? I assume you already asked the help desk (F1F1). $\endgroup$
    – AKdemy
    May 24, 2022 at 10:53
  • $\begingroup$ I suspect 124.50 is the market maker and 450 is the second best offer. When the market maker removes his offer, the second best one becomes the best. It's not unusual for market making algorithm to "ping" the market like that. $\endgroup$
    – assylias
    May 24, 2022 at 11:01
  • $\begingroup$ could it be the same MM? i.e. when the mm algo cancels the 124.50 quote, it immediately puts on a 450 1 lot? what is the purpose of this pinging? $\endgroup$
    – des224
    May 24, 2022 at 12:56

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