Overnight Futures 'Fat-Finger' $750mm Notional In One Minute

Tyler Durden's picture

First we saw some shenanigans in Gold and Silver this morning, followed by some very jerky moves in S&P 500 futures off the lows. Tonight while everything was gliding along quietly, someone in their infinite wisdom decided that 0005ET was the perfect time buy around 11,000 S&P 500 e-mini contracts (or around $750mm notional exposure); instantly devouring the entire stack of orders. This move was not in any way followed by any other asset class (EURJPY twitched a little at it) and as far as we can see there was/is absolutely no news to accompany the flash-smash. That is all...

 

The early evening Abe chatter had come and passed without event so this is unrelated to that. Surely noone left a resting buy-stop order at 1410 for 11,000 contracts?

 

Why not wait til Europe came in? Why not wait til the US came in? If you want buy $775mm notional exposure - wait for a pull back to VWAP? Or was it forced buybacks?

 

 

and a look at the tick-data tells the story - a totally human-looking trading pattern...NOT! looks like perfectly executed stop run...

 

 

Equity futures were alone in their exuberance...

 

Charts:Bloomberg