Mini Flash Crash? ES Plunges By 2 Standard Deviations In 5 Minutes

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Wed, 11/23/2011 - 18:33 | 1908679 boom goes the d...
boom goes the dynamite's picture

dare I say, boom goes the dynamite?

Wed, 11/23/2011 - 19:09 | 1908795 caerus
Wed, 11/23/2011 - 19:48 | 1908873 Manthong
Manthong's picture

Geez.. it’s nothing but a rigged market doing what it does best.. screwing with everybody.

Machines were pre-programmed to dump after a fake-out in the last few minutes – probably didn’t make any difference where the market was at the time.

Sold some VIX at 3:56 pm and some VXX at 3:59.

It worked for me this time but it was a fluke.. I was holding them for the end of the day anyway, and thought I was going to take the pipe when I saw the huge spike building with 20 minutes to go.

Next thing I knew it was heading down like a Stuka over Warsaw.

Worked great for the levered positions, but I would still prefer a market of the people by the people over this machine crap.

Notice how it settled out after the close.

Wed, 11/23/2011 - 19:59 | 1908900 johnu78
johnu78's picture

Does this make Bernanke a Flasher because he caused this little crash? Hmmm.....




Wed, 11/23/2011 - 20:56 | 1909001 Manthong
Manthong's picture

Oh, and I wonder how many ten of millions of dollars in positions got stopped out on that 3:45 pm head fake? 

Thu, 11/24/2011 - 09:14 | 1910300 dcb
dcb's picture

yeah, I hit my stops, although I usually know to expect an 14:30 run. it still bothers me though. and this wasn't the last five minites. I broke my computer down into much less than that and it was for sure less than 2 minutes. it really was a bs head fake move for sure because you touched the hourly trend line. it's also proof to me that the algo's are wanting to push it lower. I hate american markets. It's the same algo pattern often bottom 10:30 back up to 12:30 down to 14:30 up then down. I wish it didn't work like this.

Wed, 11/23/2011 - 20:12 | 1908922 caerus
caerus's picture

i see no support before the ES 1100-1110 range and considering the current environment and how often that level has been tested (back to 04 05 at least) i expect that support will fail

Wed, 11/23/2011 - 23:19 | 1909319 oogs66
oogs66's picture


Wed, 11/23/2011 - 23:29 | 1909335 sitenine
sitenine's picture

Don't mean to be rude, I'm just curious.

Sold some VIX at 3:56 pm and some VXX at 3:59.

How do you sell VIX?  Do you mean that you sold ETN perhaps?

Wed, 11/23/2011 - 20:44 | 1908979 paarsons
paarsons's picture

The market will pick up again.

Soon the FED or the ECB will start printing money.

It never fails.

Wash. Rinse. Repeat.

Wed, 11/23/2011 - 21:53 | 1909128 augie
augie's picture

added to sunday night football and a small flare up in the middle east, i'm sure everyones concousness will be too occupied to care. More Rumors come sunday and we'll rally whatever we lose this week. 

Happy turkey day everybody. 

Thu, 11/24/2011 - 05:08 | 1910037 jeff montanye
Wed, 11/23/2011 - 19:33 | 1908848 GenXer
Wed, 11/23/2011 - 21:27 | 1909090 xcehn
xcehn's picture

The power this blog has on world markets is frightening! 

Wed, 11/23/2011 - 21:40 | 1909115 JustObserving
JustObserving's picture

Only if you have something to hide or be afraid of.  ZH is generally fair and geared to the common good.  More power to ZH.

Thu, 11/24/2011 - 00:09 | 1909434 prains
prains's picture

the aussies have found ZH, here we go, crappy rugby stories about to flood the board

Wed, 11/23/2011 - 20:01 | 1908907 spinone
Thu, 11/24/2011 - 05:16 | 1910048 jeff montanye
jeff montanye's picture

although the ears are similar, i don't think he will become president.

Wed, 11/23/2011 - 22:48 | 1909254 covert
covert's picture

europe will be very similar to sudan or darfur soon.


Wed, 11/23/2011 - 18:33 | 1908680 SHEEPFUKKER

Looks like a turkey leg. 

Wed, 11/23/2011 - 18:33 | 1908682 Richard Chesler
Richard Chesler's picture

Turn those machines back on!


Wed, 11/23/2011 - 18:33 | 1908683 Godisanhftbot
Godisanhftbot's picture

My guess, there was too much inventory left and not enough volume to clear it.


Puke up time.  Pretty much came out of the blue, with no way to predict it. Other than you have to be nuts to be long eod unless you like holding the bag.

Wed, 11/23/2011 - 19:06 | 1908782 Piranhanoia
Piranhanoia's picture

Someone left the casino.

Wed, 11/23/2011 - 18:34 | 1908686 macfly
macfly's picture

Loving my shorts this week! :-)

Wed, 11/23/2011 - 18:45 | 1908722 Yamaha
Yamaha's picture

Can't be short enough in this SDS and EFU!

Wed, 11/23/2011 - 18:51 | 1908737 homersimpson
homersimpson's picture

I'm re-joining the FAZ party on Friday AM.. or maybe Monday AM.

Wed, 11/23/2011 - 19:14 | 1908813 Cursive
Cursive's picture


FAZ could gap up Friday and not look back for a week.

Thu, 11/24/2011 - 05:17 | 1910050 jeff montanye
jeff montanye's picture

srs?  check out the 200 day moving average.

Wed, 11/23/2011 - 18:34 | 1908687 Rainman
Rainman's picture

Fat finger make shit hit fan

Wed, 11/23/2011 - 18:35 | 1908690 Misean
Misean's picture

Europe declares Thanksgiving holiday in 3..2..

Wed, 11/23/2011 - 20:34 | 1908959 Manthong
Manthong's picture

Good idea.. then they could merge Thanksgiving, Christmas and New Years and extend it until it's time to take of for Santorini or the Costa del Sol for summer holiday.

No pesky markets to worry about for a long time.


Wed, 11/23/2011 - 18:36 | 1908701 rumblefish
rumblefish's picture

i say "Good"

bring this turd down.

Wed, 11/23/2011 - 18:38 | 1908707 LawsofPhysics
LawsofPhysics's picture

Hold on to your shorts....  Whhhhhheeeeeeeeeeeee!

Wed, 11/23/2011 - 18:38 | 1908708 mossme89
mossme89's picture

It actually makes sense if you think about it. Today was really the last big trading day for the week. Friday is a wash anyway, with most likely very low volume and many big traders taking the day off.

Probably big players didn't want to go into next week long with so much uncertainty and Europe changing by the minute.

Wed, 11/23/2011 - 18:51 | 1908739 InfoMacion
InfoMacion's picture


I was watching the SPY all afternoon.

SPY sellers got burn 3PM anticipating big buy orders coming almost every 30 minutues sharp.

In 3 O'clock one it came 1-2 minutes late. Big swings from 2:30 PM.

Lucky I unloaded Ultrashort SMN EEV EPV at last minutes 3:58, 3:59.

I didn't want to hold over a long weekend, same as longs didn't want hold over.


Wed, 11/23/2011 - 19:59 | 1908901 Manthong
Manthong's picture

I kept my EPV.. lots of opportunities for the mess in Europe to get worse with two sessions before US opens Friday. 

Timmay and Bennie are probably off to some secluded Carribean Island together and can't be reached to wire pizza money to Mario.

Wed, 11/23/2011 - 18:49 | 1908714 alien-IQ
alien-IQ's picture

/ES traded in a channel all day between 1169-1161. As several attempts to break above 1169 failed, everybody got the fuck out of Dodge in a condensed period of time which made it look worse than it actually was. in fact...we only closed 2 points below the bottom of the days channel. considering the news-flow for the day...I was expecting (yes hoping) for much worse.

I played that channel at the close and it was beautiful. short at 1169 and covered at 1161. in about 15 minutes.

beats the fuck out of diggin ditches.

Wed, 11/23/2011 - 22:15 | 1909186 opnwhlracer
opnwhlracer's picture

I faded that little pop right there at the end too, was hoping I could grab a quick 3-5 points and got almost 10....was a beautiful thing. Been getting almost 10 ES points a day for the last 2 weeks, this is crazy, but I love it!

Wed, 11/23/2011 - 18:45 | 1908718 CalibratedConfidence
CalibratedConfidence's picture

Efficient Market

Wed, 11/23/2011 - 18:45 | 1908721 TheBadgersSett
TheBadgersSett's picture

Add the possibility of war with Syria/Iran kicking off, who the fuck would want to be holding anything other than a turkey drumstick & a nice cold beer through the weekend?

Wed, 11/23/2011 - 19:11 | 1908803 chump666
chump666's picture


Thu, 11/24/2011 - 05:24 | 1910059 jeff montanye
jeff montanye's picture

anything other?  one word: callipygian. 

Wed, 11/23/2011 - 18:48 | 1908726 max2205
max2205's picture

Really TD, Bernake is desperate to keep ES low and TLT high. He's next and he knows it.

Wed, 11/23/2011 - 18:50 | 1908732 Theta_Burn
Theta_Burn's picture

And by Fri morning it will be up 2 D V ations...

Where was that aircraft carrier again?

Wed, 11/23/2011 - 18:51 | 1908741 Matt1973
Matt1973's picture

No one wants to sit around tomorrow and watch Europen markets dive and contimplate what that means to thier positions

Wed, 11/23/2011 - 18:53 | 1908743 PLove
PLove's picture

Calling Lt. Pike!

Calling Lt. Pike!


Need turkey rescue at Berk & Lee. 

Wed, 11/23/2011 - 18:57 | 1908752 tekhneek
tekhneek's picture

I take it "black Friday" might not be all that great this year?

Wed, 11/23/2011 - 19:00 | 1908763 SHEEPFUKKER

It's "black Thursday" this year.  Who all is going to Target @ midnight? 

Wed, 11/23/2011 - 19:35 | 1908753 Stack Trace
Stack Trace's picture

Had 90% of my account position in $FAZ and $EUO since last Friday. Dumped it all but a litte $EUO today. Don't want to be holding anything over Thanksgiving considering I have no way to respond to the craziness in Europe and afraid of thin volume on Friday. I would have loved to hold those positions but instead will wait for settlement and work on a new thesis. Thanks for the quick 15% Germany, France, and Italy and the stupid banks overly exposed to their debt.

Funny thing is I unloaded during the mini flash crash. Didn't realize the crash would be so dramatic or I would have held for 20 seconds longer and picked up 3/4% more. ;-)

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