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

Tyler Durden's picture

The last 5 minutes of today's somewhat tempestuous day saw a rather dramatic plunge in ES on very heavy volume which could easily be flash-crash-worthy in its description. Having tested VWAP a number of times during the day and been unable to make any progress above it (suggesting program selling was active), the final desperate straw broke the camel's back into the close as ES dropped 1% in less than 5 minutes as volume dwarfed the rest of the day with machines fighting each other to exit at a reasonable price. Furthermore, the drop in ES was very much standalone as other risk assets did not correlate instantly and only started to drop after a delay led by equities plunge. ES is holding these losses after-hours at a steady 1160. Where's Waddell & Reed when we need them?

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boom goes the dynamite's picture

dare I say, boom goes the dynamite?

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.

johnu78's picture

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




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? 

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.

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

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?

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.

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. 

xcehn's picture

The power this blog has on world markets is frightening! 

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.

prains's picture

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

jeff montanye's picture

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

covert's picture

europe will be very similar to sudan or darfur soon.



Looks like a turkey leg. 

Richard Chesler's picture

Turn those machines back on!


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.

macfly's picture

Loving my shorts this week! :-)

Yamaha's picture

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

homersimpson's picture

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

Cursive's picture


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

jeff montanye's picture

srs?  check out the 200 day moving average.

Rainman's picture

Fat finger make shit hit fan

Misean's picture

Europe declares Thanksgiving holiday in 3..2..

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.


rumblefish's picture

i say "Good"

bring this turd down.

LawsofPhysics's picture

Hold on to your shorts....  Whhhhhheeeeeeeeeeeee!

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.

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.


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.

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.

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!

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?

max2205's picture

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

Theta_Burn's picture

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

Where was that aircraft carrier again?

Matt1973's picture

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

PLove's picture

Calling Lt. Pike!

Calling Lt. Pike!


Need turkey rescue at Berk & Lee. 

tekhneek's picture

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


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

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. ;-)