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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qazwsx's picture


idea_hamster's picture


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

Headbanger's picture

Russian tanks heading for Kiev?  No? Da?

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"

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.)

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:


(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...

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.

dontgoforit's picture

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

Joe Davola's picture

Better start icing the Nebuchenezzars right now!

Headbanger's picture

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

dontgoforit's picture

Gonna' be a Bloody Monday.

One And Only's picture

Erroneous trade. Do over.

Missiondweller's picture

Lame Russian attempt at retaliation.


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

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..

SheepDog-One's picture

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

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  




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  




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".

wjkins's picture

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

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?

Yen Cross's picture

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

Spungo's picture

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

Hindenburg...Oh Man's picture

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

TheRideNeverEnds's picture

NQ downgraded to strong sell, price target lowered to 1000

tom a taxpayer's picture

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

Boomberg's picture

I confess. It was me. 

_ConanTheLibertarian_'s picture

Sorry, I won't do it again.

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.

Cornholiovanderbilt's picture

No doubt an alphabet agency is behind this

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.



Downtoolong's picture

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


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

pound the vix's picture

Awe fuck I said 3 contracts!

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.

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'.

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.