Market Protect order on ES futures option filled at 4.50 while Time & Sales showed ~32/35 (proof included)— What ACTUALLY happened here? Worth pursuing?
I’m looking for feedback from futures/options traders who understand CME Globex execution mechanics, ES futures options, Market Protect orders (perhaps Rule 588 if done in 8 minutes time frame required?). I am a very experienced trader, a licenced fiduciary wealth manager and financial planner in my day job (Series 7 and 66 licenses. )
Yesterday I opened and closed 7 ES futures call options (1 day DTE) within three minutes:
Product: ES FOP / E3B
Contract: May 19, 2026 7405 Call
Ticker: E3BK6 C7405
Exchange: CME
Platform/Broker: Interactive Brokers TWS
Internet: 1.5 Gig via 8 CAT Ethernet
Here is the sequence:
I bought 7 CALL contracts at 15.90 STRIKE 7405 at approximately 15:01:20 ET, roughly 13 points OTM (Out-the-money).
I got very lucky (or did I? I saw unusual movement across my indicators, probably by the usual insider traders). About 45 seconds later Trump made a post about delaying his planned military strikes on IRAN. ES had moved sharply higher and the option premium was trading around the low/mid 30s. Bid/Ask is highly unstable/wide spreads when indices move that quickly. So I waited for it to stabalize at the usual spreads for about 20 seconds. You can see from the attached Time & Sales screenshots that the bid/ask did stabalize like I say it did. I submitted a Market Protect sell order to close the position.
Instead, my closing fills were:
15:03:15 — Sell 1 at 5.00
15:03:15 — Sell 1 at 4.50
15:03:15 — Sell 5 at 4.50
Average sale price: 4.571429
Multiplier is 50x, so if the fair exit was around 34, the economic difference is roughly:
34.00 × 50 × 7 = $11,900 expected proceeds
4.571429 × 50 × 7 = ~$1,600 actual proceeds
Difference: about $10,300
What makes this especially confusing is the Time & Sales / NBO data I pulled afterward. Around the exact time of my fills, the displayed market appears to show roughly 32.00 / 35.00 or similar. My 4.50 and 5.00 fills print at 15:03:15, while nearby quote data still appears to show a bid/ask nowhere near 4.50.
Then shortly afterward, the quotes appear to flicker down to bizarre levels like 0.95 / 34.50, 1.00 / 34.25, etc.
I contacted IBKR immediately. The rep reviewed Time & Sales and said:
“the market right before your order went in was 0.95 bid at 34.75 then no bid at 34.75 then no bid at your 4.50 then 5 bid where you traded it”
That explanation doesn’t make sense to me because the screenshots seem to show the 4.50/5.00 prints occurring while the displayed market was still around 32/35, and the 0.95 bid quotes appear after or around the same second. Obviously milliseconds matter, but the visible sequence looks extremely questionable.
I filed a trade adjustment request with IBKR and separate complaints with CME and IBKR. I understand CME Rule 588 review windows are extremely short, and I was already outside the formal bust window – which is only 8 minutes and I did not know that you have to call CME within the eight minutes to have the trade bust considered (learned something new and valuable).
Anyone experienced enough rever experienced something similar, or have the expertise to give me their opinions? Please chime in.
My questions:
- Can a CME Globex Market Protect sell order fill at 4.50 if there was a displayed bid around 32.00 at the same timestamp?
- Is it possible the TWS quote display/Time & Sales is visually misleading because of quote sequencing within the same second?
- Could this be a stale quote / pulled bid / no real liquidity situation? I doubt it considering ES E Mini contracts are the most liquid futures options contracts that exist.
- Does this look like something that should have qualified for CME Rule 588 review?
- What specific audit data should I demand from IBKR to reconcile the fill?
Attached Proof:
- Screenshots of the Time & Sales/NBO around and at the execution.
- The trade displayed from my entire day’s audit trail (redacted)
I’d appreciate serious feedback from anyone who trades ES options or understands Globex order matching. I’m angry, obviously, but I’m mostly trying to figure out whether this was a legitimate thin-market disaster or an execution/data problem that should be challenged. I filed a complaint with CME and IBKR, which are pending.
