Exposing The "Mystery" Of Last Week's "Massive" E-Mini Trade

Tyler Durden's picture

Last Wednesday we reported that between 13:21:14 and 13:21:15 ET, an interval of less than two seconds, something snapped in the market, as both E-mini futures...

... and the SPY ETF exploded in volume and surged higher, as the S&P took out all time highs.


We further showed, that in those few seconds 2 million SPY shares went through (around $450 million)...


... and 32,000 e-mini contracts (around $3.5 billion notional) screamed through the markets.


As Nanex noted at the time, "a record, monster tsunami of 16,000 S&P futures contracts at once through 3 handles!" The block trade promptly soaked up half the available liquidity in the E-mini...

... and as Eric Hunsader put the move in context, in May 2010, Waddell and Reed sold 75,000 over 20 minutes, "and the first ~35,000 supposedly caused the flash crash (wink)."

This time, however, there was no danger of a flash crash - after all, the trade was a "buy", and set the stage for not just Wednesday's furious meltup, but for similar moves on Thursday and Friday.

* * *

Today, nearly a week later, the WSJ has given this record trade a second look in "Unraveling the Mystery of Last Week’s Massive E-mini Futures Trade", and summarizes what our readers already knew, namely that "$1.8 billion futures trade that fueled buying in the U.S. stock market on Wednesday was the biggest transaction of its kind all year, according to new analysis, and comparable in size to the “fat finger” trade said to have set off the May 2010 “flash crash.”

The WSJ cites an analysis by MayStreet LLC, according to which an unknown buyer on Dec. 7 purchased around 16,000 E-mini S&P 500 futures contracts at 1:21 p.m. New York time.

“It was a massive trade and it happened quickly,” said Mehmet Kinak, head of electronic trading at T. Rowe Price Group Inc.

According to the report, "the trade was parceled into scores of individual transactions, but raw data show that all of them took place at the same nanosecond and fell within boundaries indicating where one trade ends and the next trade begins, according to the analysis. That is a strong indication they were all part of one big trade, MayStreet said."

Confirming the unprecedented size of the trade, taken together, the purchase was more than double the size of the second-biggest E-mini trade in 2016, in which someone sold about 7,000 contracts, or around $645 million, on Jan. 15, MayStreet said.

While heavy bursts of volume in E-minis aren’t unusual, they tend to take place when the stock market closes, at 4 p.m. ET, not in the middle of the day. The one-minute interval including Wednesday’s early afternoon trading frenzy was the fifth-busiest minute of the year in E-minis, while all of the other top 10 highest-volume minutes took place right around 4 p.m., according to MayStreet.

That makes Wednesday’s event an “anomaly,” said Michael Lehr, the firm’s co-founder. “A large intraday movement is unexpected.”

Essentially, someone wanted to not only buy the market in size, but to let everyone in the market know it was doing so.

As MayStreet further notes, Wednesday’s order sparked a frenzy of superfast trading as other market participants piled in and a total of $3.4 billion worth of E-minis changed hands within two seconds, including the original transaction. The firm’s analysis is based on nanosecond-level trading data from CME Group Inc., which runs the exchange where the contract is listed.

The big question, of course, is who was behind the trade; alas that will remain unanswered.

As the WSJ correctly notes, "it is unclear who stood behind the trade. CME Group said it couldn’t comment on “the specifics of any particular order.” Traders and analysts say the most likely explanation is that an algorithm triggered the large purchase when the E-minis hit a key threshold. Trading records show the buying began just as E-minis reached 2,225 points, a round number, as well as an intraday high.

hat suggests a computer program unleashed the buying, perhaps on behalf of a bank that needed to automatically hedge a trade in stock-market derivatives, according to Joshua Lukeman, a managing director in the equities-trading division of Credit Suisse Group AG.

Or perhaps on behalf of a central bank: by now it is common knowledge that both the BOJ and SNB directly purchase equities in the open market, while the Fed has traditionally done so using intermediaries such as Citadel.

“It felt like the beginning part was electronic because it went through the pipe so quickly,” Mr. Lukeman said. Then there was a “snowball effect of other folks rushing in,” he added.

And rush in they did: in the hours and days following the trade, both the S&P and Dow Jones hit daily record highs, which have since sent the Dow Jones Average to within 200 points of 20,000.

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Soul Glow's picture

 What happened is that Goldman Sachs and JP Morgan are excited to have co-opted the White House again.

Say What Again's picture

Everyone is asking who the buyer was.  I would like to know that as well, but I also would also like to know who the SELLER was?

pebblewriter's picture

13:21 is exactly when ES ran into overhead resistance at the 1.272 Fib extension (2224.17) of the drop from May 2015 to Feb 2016.  It's the pattern in yellow in this chart:


This particular algo was unleashed by oil futures moving up through channel and trend line resistance at that exact same moment (see below.)  Even though CL had been struggling, algos are especially sensitive to any hint of a bounce -- especially when central banks send buy orders for billions in ES contracts within a few nanoseconds.


I'm sure others have noticed that over the past year, TPTB have been ramping indices up past resistance ahead of potentially bearish events so that the resulting decline is only to a place that's acceptable.  It's the stock "market's" equivalent of marking up prices right before announcing a sale.


Hammer823's picture

Gee, I wonder who the mystery buyer was? Lol.

Rigged to perfection.


abyssinian's picture

why even bother finding out who buys what, how big .....etc. The entire market is washing in printed money, they can just push buttons and make the market go anywhere they want.... It's waste of time.... just buy eveverything, buy the dips, buy the pops, buy buy buy... Central banks will fuck this entire world up.... leading by the head scams central bankers of the world. 

DavidC's picture

It'll work until it doesn't.


Kaiser Sousa's picture


fucking hilarious...


HenryKissingerChurchill's picture


fucking hilarious...


That is anti semite, and could get you on a cross.

Kaiser Sousa's picture

now that weve entered the second half of "trading" here in the North Ameridumb capitol of fraud and manipulation i offer u a BOLD prediction...

the Dow Jones Propaganda Index will close at a new "record all time high"...

so let it b said....

so let it b done....


FuckJanetYellen's picture

You better buy this dip bro!!!  This market is gonna rocket higher.  Stock prices always go higher. Cause that's what they do.


Life and prosperity to the money changers!!!

Sick Underbelly's picture

And...and... infinite growth for all!

We'll always find moar, at a good price...don't you ever lose faith!

TheVoicesInYourHead's picture

Central banks buying of equities or corporate debt needs to be made illegal asap.

Its a bigly huuuge fcuking disgrace.

waterwitch's picture

I'm not optimistic on this one.

Ajax_USB_Port_Repair_Service_'s picture

That high roller  E-mini futures trader must live in a REALLY NICE basement!

equity_momo's picture

Shouldnt the regulator be shaking down some kid in London working on his laltop for this obvious attempt at market manipualtion?


orangegeek's picture

Pension sells, yellen buys (and then prints sa-moar).


no biggie.

asteroids's picture

The only folks that can make ~$500M bet without fear of losing and in complete confidence are Central Banksters. If you were a hedgie or pension fund or similar the sharks would eat you alive, and rumors would spread. Make no mistake about it folks, the FED and friends are still completely in charge. Stay the fuck away.

Nobody For President's picture

Ahhh - at last. ZH at its' finest - NANEX, details of the real 'market' and how fucked up it is: reminds me of the good old days.

THIS is why I keep hanging out here.

More NANEX, less skullduggery over the election please, although the bs not reported by the MSM has to be reported somewhere.

And keep an open line for WB always!