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Who Just Dumped $220 Million Nasdaq Futures In 1 Second?

Tyler Durden's picture




 

At 10:27:21 ET, the Nasdaq 100 e-mini futures contract suddenly dropped on extreme activity as someone decided it was an opportune time to dump 3000 contracts or around $220 million notional. As Nanex notes, the ETF - QQQ - also collapsed (with over 1200 trades in 1 second) as bids and offers were crossed and markets went flash-crashy for a few tenths of a second. The questions is - who was it? Waddell & Reed?

 

Via Nanex,

1. QQQ Trades (cicles) and NBBO shaded red when crossed (bid > ask), yellow when locked (bid = ask), or gray when normal (bid < ask).
Note how the trades print way ahead of quotes. Chart shows about 140 milliseconds of time.



2. June 2014 Nasdaq 100 (NQ) Futures trades and quote spread.
NQ trades in Chicago - comparing the activity to the QQQ's traded in NY, we see that NQ futures initiated the drop. QQQ's reacted about 4 milliseconds later - the time it takes light to travel between the two cities.



3. Nasdaq non-ISO trades (dots) and quote spread (shading).
ISO trades can appear slightly ahead of quotes, so we only show non-ISO trades. These trades should appear after quotes: the dots should be on or to the right of the gray shading.



4. Nasdaq and BATS non-ISO trades and quotes.
We can see that Nasdaq quotes are lagging BATS quotes: the gray shading (Nasdaq quote spread) appears offset to the right of the pink shading (BATS quote spread). This tells us that some of the delay was caused BEFORE Nasdaq quotes reached the SIP. Because Nasdaq trades appear ahead of Nasdaq quotes (and BATS trades), we know direct feeds got that information faster than the SIP did. We call this condition fantaseconds



5. Zooming out on QQQ trades and NBBO.



6. Zooming out on the June 2014 Nasdaq 100 (NQ) futures trades and quote spread.



 

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Fri, 03/21/2014 - 15:43 | 4578218 qazwsx
qazwsx's picture

"SELL SELL SELL"

Fri, 03/21/2014 - 15:45 | 4578231 Payable on Death
Payable on Death's picture

James Montier?

Fri, 03/21/2014 - 15:49 | 4578243 TruthInSunshine
TruthInSunshine's picture

Fat (Finger Yellen) Friday.

Fri, 03/21/2014 - 15:55 | 4578264 idea_hamster
idea_hamster's picture

PUUUUUUUUUUUUUUUTIIIIIIIIIIN!

(But you have to say it with that special Shatner flair....)

Fri, 03/21/2014 - 15:55 | 4578268 Newfie
Newfie's picture

Yellen flap fart!

Fri, 03/21/2014 - 16:03 | 4578287 Headbanger
Headbanger's picture

Russian tanks heading for Kiev?  No? Da?

Fri, 03/21/2014 - 16:07 | 4578306 El Oregonian
El Oregonian's picture

"This is only a test If this had been an actual emergency crash you would been instructed by your local broker to run to your nearest broker for further instructions. I repeat, this is only a test"

Fri, 03/21/2014 - 16:41 | 4578361 TruthInSunshine
TruthInSunshine's picture

If one agrees with me, on an admittedly basic (but critically important) fact, then once the equity "market" tanks it's lights out not just economically (goodbye any remaining shreds of naive consumer confidence, even absent consumer purchasing power - goodbye to publicly traded corporation games of borrowing at artificially suppressed yields in order to buy shares back), but politically, too (destroying whatever remaining "hope" that the naive have vested in either of the red-blue nonsensical political parties/politician puppets).

Given my view that the economy is literally only alive because of the massive, unprecedented (aside of WWII) printing of debt & deficit spending by the central fiat fractional reserve "bank" & Treasury (via POTUS & Congress) over the last 5 years, and we've never really left the downturn of 2008 in any sustainable way (the Fed merely created reflationary bubbles that WILL bust), and given that the equity "market" run-up is now so deeply catalyzed by a record amount of record margin debt...

...what happens when the last symbol and illusion of recovery tanks?

Think about the ramifications of it all crashing even while we're living in an ongoing highly contractionary economy as things stand already -

It will lead to liquidity starvation, especially given existing levels of government, corporate & consumer debt -

- which leads to an even larger crash than 2008 (since you take 2007 debt levels, mark them up by 7 trillion USD, and then leverage that total debt level by the appropriate multiplier ...

(I didn't even touch on China's crisis, Japan's illness, the EU's woes, the woes of BRIC - and since I already mentioned China, India or Brazil in particular, or a myriad of other critical issues that will create a much larger downward cascade the MBS-triggered downturn in 2008.)

Fri, 03/21/2014 - 16:48 | 4578465 UggSmash
UggSmash's picture

Yep, I can see that, TruthInSunshine. 

A reasonable addition to your proposed scenario is that, once equity markets tank, the problem of underfunded pensions gets much, much more serious. There's a serious underfunding problem now - imagine what the funding levels will look like if stawks drop 50%+!

Underfunded pension links:

http://reason.com/archives/2013/09/06/taxpayers-on-the-hook-for-trillion...

(John Mauldin wrote a good email newsletter on this; here's a link to a similar discussion by him): http://ltinvesting.com/investing-blog/us-pension-unfunded-liabilities-by...

Fri, 03/21/2014 - 22:41 | 4579404 Ranger4564
Ranger4564's picture

Yes. This is why the FED and other central banks have been printing. So that when they stop, the cliff is extremely high and extremely steep.

Fri, 03/21/2014 - 16:03 | 4578288 dontgoforit
dontgoforit's picture

Heh, heh, heh.....Dodge & Cox.

Fri, 03/21/2014 - 16:04 | 4578291 Joe Davola
Joe Davola's picture

Better start icing the Nebuchenezzars right now!

Fri, 03/21/2014 - 16:05 | 4578299 Headbanger
Headbanger's picture

I'm icing a bottle of some good tequila right now!

Fri, 03/21/2014 - 16:07 | 4578304 dontgoforit
dontgoforit's picture

Gonna' be a Bloody Monday.

Fri, 03/21/2014 - 17:06 | 4578513 mac768
mac768's picture

fuck the robots

Fri, 03/21/2014 - 15:44 | 4578223 McMolotov
McMolotov's picture

My bad.

Fri, 03/21/2014 - 15:44 | 4578224 One And Only
One And Only's picture

Erroneous trade. Do over.

Fri, 03/21/2014 - 15:44 | 4578226 SWCroaker
SWCroaker's picture

Putin?

Fri, 03/21/2014 - 15:51 | 4578255 Missiondweller
Missiondweller's picture

Lame Russian attempt at retaliation.

 

They just don't have the mad skills our own banker criminals have.

Fri, 03/21/2014 - 15:46 | 4578232 agstacks
agstacks's picture

Is the Monkey Hammer Gold button, right next to the Moneky Hammer the S&P? Oh, wait there is no such button.. Nevermind, there goes that theory..

Fri, 03/21/2014 - 15:48 | 4578235 SheepDog-One
SheepDog-One's picture

FED in there 'gifting' to the peasants (anyone not a TBTF bankster) again I'd guess.

Fri, 03/21/2014 - 15:47 | 4578239 nelsonmandella
nelsonmandella's picture

heres what i would do if i was putin sell (dump)   20% on the open market 

then get china to buy that 20% whilst deflating the yaun  

 

 

 

Fri, 03/21/2014 - 15:48 | 4578240 nelsonmandella
nelsonmandella's picture

heres what i would do if i was putin sell (dump)   20% on the open market 

then get china to buy that 20% whilst deflating the yaun  

 

 

 

Fri, 03/21/2014 - 15:50 | 4578252 starman
starman's picture

Putin?

Fri, 03/21/2014 - 15:54 | 4578257 ebworthen
ebworthen's picture

Hal 9000 is busy today.

"Fantaseconds"...hmm...sounds bubbly and sweet...that is - if you're on the right side of the speed of light "trade".

Fri, 03/21/2014 - 15:52 | 4578258 wjkins
wjkins's picture

I needed a little spending cash for spring break in Siberia. 

Fri, 03/21/2014 - 15:54 | 4578260 SheepDog-One
SheepDog-One's picture

LOL, right next to the article is an add for 'How to trade e-mini futures'....gee I wonder if they included a DVD on the 1 second mega dumps and how to trade those?

Fri, 03/21/2014 - 15:53 | 4578261 Yen Cross
Yen Cross's picture

     Apparently there's an ALGO that can react faster than the speed of light... </sarc>

Fri, 03/21/2014 - 15:53 | 4578263 Spungo
Spungo's picture

That ain't good. Someone with money wants a crash.

Fri, 03/21/2014 - 16:05 | 4578295 dontgoforit
dontgoforit's picture

Soros

Fri, 03/21/2014 - 16:22 | 4578362 NotApplicable
NotApplicable's picture

Vinnie?

Fri, 03/21/2014 - 15:58 | 4578275 Hindenburg...Oh Man
Hindenburg...Oh Man's picture

Would have been a good day to be holding some SQQQ. 

Fri, 03/21/2014 - 16:02 | 4578284 TheRideNeverEnds
TheRideNeverEnds's picture

NQ downgraded to strong sell, price target lowered to 1000

Fri, 03/21/2014 - 16:09 | 4578317 tom a taxpayer
tom a taxpayer's picture

Honey, was it good for you?  Did I come too quick?

Fri, 03/21/2014 - 16:10 | 4578326 Boomberg
Boomberg's picture

I confess. It was me. 

Fri, 03/21/2014 - 16:11 | 4578327 _ConanTheLibert...
_ConanTheLibertarian_'s picture

Sorry, I won't do it again.

Fri, 03/21/2014 - 16:35 | 4578410 medium giraffe
medium giraffe's picture

We've all been there.  Last time I made the FTSE jump 1.3% whilst snorting coffee all over my keyboard following a Banzai post.  Bloody Banzai.

Fri, 03/21/2014 - 16:18 | 4578348 Cornholiovanderbilt
Cornholiovanderbilt's picture

No doubt an alphabet agency is behind this

Fri, 03/21/2014 - 16:19 | 4578352 Frank N. Beans
Frank N. Beans's picture

don't know if it's related, but watched my GSS (gold stock) spike suddenly up 5%, then finish with a spike down 11% for the day, with over 4 times average volume.  something volatile this way cometh.

wtf

 

Fri, 03/21/2014 - 17:16 | 4578537 greatbeard
greatbeard's picture

That was some weird action.

Fri, 03/21/2014 - 22:50 | 4579434 Ranger4564
Ranger4564's picture

Chinese and Russian Hackers?

Fri, 03/21/2014 - 16:21 | 4578359 Downtoolong
Downtoolong's picture

Maybe it was the E-Trade Baby lashing back after reportedly being fired recently.

http://news.msn.com/pop-culture/etrade-bids-goodbye-to-its-iconic-baby

He probably went and started a hedge fund so he can lose other people’s money instead of his own.

Fri, 03/21/2014 - 17:55 | 4578658 Tim_
Tim_'s picture

E-Trade Baby Loses Everything

E*Trade failed to censor this video.

Fri, 03/21/2014 - 16:32 | 4578401 pound the vix
pound the vix's picture

Awe fuck I said 3 contracts!

Fri, 03/21/2014 - 16:39 | 4578423 Chuck Knoblauch
Fri, 03/21/2014 - 17:13 | 4578526 HFBondsTrader
HFBondsTrader's picture

It's index futures expiration day. Not a big mystery. Somebody was rolling exposure. This is standard trading activity. NANEX wouldn't know that because Hunsader is an armchair referee.

Fri, 03/21/2014 - 17:20 | 4578549 Carl Popper
Carl Popper's picture

That is a big somebody. 

Fri, 03/21/2014 - 17:19 | 4578547 debtor of last ...
debtor of last resort's picture

It was the PPT. Untaper cannot wait for another 3 months as US indexes need to go up when Russia goes 'down'.

Fri, 03/21/2014 - 17:35 | 4578591 Amish Hacker
Amish Hacker's picture

I have to confess, I don't think I've even seen a chart with 140 millisecond duration. This isn't a game I want to play. 

Fri, 03/21/2014 - 17:45 | 4578625 More_sellers_th...
More_sellers_than_buyers's picture

ok... ive worked on wall street my whole life... who the fuck is waddel and reed? lol are they owned by the NSA?

 

Fri, 03/21/2014 - 17:55 | 4578655 Thalamus
Thalamus's picture

Yellen was in the Plunge Protection/ Destroy Precious Metals orientation meeting and pushed the red button for stocks accidentally.

Fri, 03/21/2014 - 20:39 | 4579126 franciscopendergrass
franciscopendergrass's picture

Forget fat finger causing the drop ... it was a fat horse dick

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