How Two Trades In Half An Hour Make Market Go Boom... And Unboom

Tyler Durden's picture

What's the point in commenting any more: when two discrete trades manage a nearly 1% cumulative roundtrip move in the entire market, all we can say is "good luck human" - the whale on the other side of "that" trade is far bigger than Bruno Iksil. And good luck when you need liquidity once the selling returns. The discount to the bid will be far, far more than the 5% it cost Knight to unwind its error book to Goldman.

From Nanex:

15,000 eMinis Make Market go Boom

Starting at 11:04:55 and lasting for 3 seconds, approximately 15,000 eMini contracts traded, causing a significant market disruption. At the same time, approximately $100 Million worth of SPY traded.

 

eMini Depth of book takes a big hit. The area circled shows a sudden drop in liquidity as a result of the sudden trade.
August 10, 2012 is the thick red line, updated to where it goes horizontal.

At 11:26:21, another 8,000 eMini contracts trade in 1 second, sending the market back up. At the same time, approximately $53 Million worth of SPY traded.