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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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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.....

 

 

-John
http://www.johnu78.com

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

Awesome!

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.

http://fucklloydblankfein.blogspot.com

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.

http://expose2.wordpress.com

 

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

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 market...............love 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

@homersimpson

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

Agree

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

haha

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
SHEEPFUKKER's picture

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. ;-)

Wed, 11/23/2011 - 18:58 | 1908757 Josh Randall
Josh Randall's picture

Algo's with their Laurel and Hardy routine trying to leave the building at once

Wed, 11/23/2011 - 18:59 | 1908760 Chip
Chip's picture

Glad to see I wasn't the only who saw that. Volume today although still short a billion shares or so was decent.

Wed, 11/23/2011 - 19:10 | 1908798 Cursive
Cursive's picture

This is not the 2 standard deviation bubblevision was looking for.

Wed, 11/23/2011 - 19:10 | 1908800 zebra
zebra's picture

wouldn't it be most unexpected when almost everyone expect at least a short term bounce and the market plunge for no reason and no news??

 

Wed, 11/23/2011 - 19:11 | 1908805 ebworthen
ebworthen's picture

 

 

The HFT machines never sleep and don't eat turkey or need food.

Their "handlers" can take a day off, and simply need to load the Black Friday algorithm.

 

 

Wed, 11/23/2011 - 19:14 | 1908809 SwingForce
SwingForce's picture

PPT entered the ring at 14:26 est. with typical psuedo-capitulation bar, then things went hyper-parabolic UP and the VacTubes cracked at 15:55 and reset the sequence. The RunStop mode to new lows was activated. Ain't NOBODY left long for Friday, when they will all be chasing that bus...Dashing Dan was the logo for the Long Island RailRoad back in the '70's- he was chasing the train as it left the station.... Happy Thanksgiving folks! Being stopped out is the most relaxing way you'll spend the holiday, be thankful. Seriously.

Neel Kashkari used to have this job, now its some newbie, relax....

Wed, 11/23/2011 - 19:14 | 1908814 sitenine
sitenine's picture

Is Krugman writing for Yahoo now?

'What would happen if an asteroid hit U.S. banks?'

http://finance.yahoo.com/news/happen-asteroid-hit-u-banks-215448353.html...

Wed, 11/23/2011 - 19:26 | 1908824 SwingForce
SwingForce's picture

They'd be happy. Only people with assets would be worried, so you're playing to the 1%. GFY.

What bank collapsed after Lehman? None. Lehman collapsed into itself like it's NYC HQ WTC7.

Wed, 11/23/2011 - 19:25 | 1908834 luna_man
luna_man's picture

 

With all the manipulation, for past couple years...NO SURPRISE HERE!!

 

Hard to control this monster!..."IT'S ALIVE"

Wed, 11/23/2011 - 19:31 | 1908835 sitenine
sitenine's picture

ROFLMAO!!!

I just got a commercial here on ZH for none other than Jim Cramer.

Here's what it says: "How many investors get the chance to trade with a succesful (yes, it's spelled that way in the commercial) hedge fund manager?  You can, today!..."

Wed, 11/23/2011 - 19:35 | 1908850 SwingForce
SwingForce's picture

Its your browser, playing Adsense ads from Google. Not Tyler. Are you daft man?

Wed, 11/23/2011 - 19:39 | 1908858 sitenine
sitenine's picture

Yeah, I get that, but thanks.  I was just pointing out that no person in their right mind should invest with someone who can't spell success.

Wed, 11/23/2011 - 19:35 | 1908852 WTF2
WTF2's picture

Merkel farted!

 

Wed, 11/23/2011 - 19:41 | 1908862 SunBlaster
SunBlaster's picture

Twitter stalker!

Wed, 11/23/2011 - 19:39 | 1908859 SunBlaster
SunBlaster's picture

flashcrash flashback

Wed, 11/23/2011 - 19:45 | 1908868 chump666
chump666's picture

You wait till the HFTs lose their synthetic brains on the EUR.  We are due for another big flash crash, what with hardly any volumes and the nerds on holiday breaks...and all the bad news that is about to get worst and worst.

Wed, 11/23/2011 - 19:48 | 1908874 slewie the pi-rat
slewie the pi-rat's picture

waddell & reed have gone to purchase some callard & bowser for their guests & their servants, BiCheZ!

Wed, 11/23/2011 - 19:49 | 1908875 SweetLou
SweetLou's picture

looks like the let PIKERS onto ZH after reading some of these posts

 

Wed, 11/23/2011 - 20:07 | 1908884 fuu
fuu's picture

Hey grats on the 20 days!

Also grats on the $180 million!

Try not to comingle any of it.

Wed, 11/23/2011 - 20:16 | 1908928 slewie the pi-rat
slewie the pi-rat's picture

first post for the shithead, too!

looks like you gotsa nu BiCh, fuu!

Wed, 11/23/2011 - 20:43 | 1908953 midgetrannyporn
midgetrannyporn's picture

the ibankcoin crowd had been bashing zh every time the market was up. right about now they are some whiny bitchez. time to go over there and gloat.

http://ibankcoin.com/flyblog/2011/11/21/feel-my-rage/

Wed, 11/23/2011 - 20:58 | 1909010 caerus
caerus's picture

wow...all in long with options? good luck with that...

Wed, 11/23/2011 - 22:06 | 1909171 augie
augie's picture

that is a sad state of humanity over there. 

Thu, 11/24/2011 - 00:13 | 1909452 fuu
fuu's picture

They have a Hammy too, that's funny.

Thu, 11/24/2011 - 05:39 | 1910080 jeff montanye
jeff montanye's picture

and ten low words oft creep in one dull line.

Wed, 11/23/2011 - 19:53 | 1908887 Boston Wealth
Boston Wealth's picture

Ha!  Nothing more than history repeating itself with dramatic plunges around this time every year!

Breathtaking futures plunge at close reminds me of October 2008... live and learn...

http://www.bostonwealth.net/2011/11/23/breathtaking-futures-plunge-at-cl...

Wed, 11/23/2011 - 20:08 | 1908906 slewie the pi-rat
slewie the pi-rat's picture

shall we set our clocks to the volcano in iceland?

Wed, 11/23/2011 - 20:00 | 1908903 integrale
integrale's picture

This ain't enough...Will someone PLEASE just set this mother off?  The suspense is killing me. I want CARNAGE!!

 

I want 25% drops in ALL assets!!!!

 

I want 5 major BANK FAILURES!!!

 

...2 major INSURANCE COMPANIES to be NATIONALIZED...

 

LIBOR at 5%, TSY yields at -1%

 

Let's just admit we all way overspent and overborrowed, watch everyone's net worth plummet 20%, and move on with life. Bond vigilantes, if you're listening, please set this party off. It's the only way to take the power away from the politicians and put it back in the hands of the markets.

 

Kisses,

Integrale

Wed, 11/23/2011 - 20:06 | 1908915 slewie the pi-rat
slewie the pi-rat's picture

Hey grats on the 20 days!

Wed, 11/23/2011 - 20:22 | 1908941 chump666
chump666's picture

you should get it, but ALL assets?  The EUR will be destroyed it broke the 1.34, and if the butboys and the ECB print the hedge will be oil  Which is kinda interesting, China is probably crashing and oil is still bid.  Europe and China are gonna get slammed with stagflation.  I think the total dooms day trade has arrived...and early.  no one will go long in this market, some volatility, then all out chaos.    once the markets look at obama debt mania again, then downgrade, UST dump, CHina goes nuts, gold bid...war.

Thu, 11/24/2011 - 05:42 | 1910083 jeff montanye
jeff montanye's picture

25% drop in all assets and "-1%" treasury yields are internally inconsistent.  but you know that.

Wed, 11/23/2011 - 20:03 | 1908909 phraseshifter
phraseshifter's picture

Es- is it an upgrade or a downgrade  to Bs?

Wed, 11/23/2011 - 20:12 | 1908920 Georgesblog
Georgesblog's picture

Somebody better come up with a plan. Otherwise, it reminds me of Slim Pickens in "Blazing Saddles"

http://georgesblogforum.wordpress.com/2011/11/02/the-daily-climb-2/


Wed, 11/23/2011 - 20:37 | 1908963 Georgesblog
Georgesblog's picture

I just had to go find that video clip.

http://youtu.be/SbWg-mozGsU

Wed, 11/23/2011 - 20:15 | 1908927 caerus
caerus's picture

nikkei just opened down 1.5%

Wed, 11/23/2011 - 20:19 | 1908935 navy62802
navy62802's picture

The market is just coming apart. Relax and enjoy the fireworks. Have a glass of scotch.

Wed, 11/23/2011 - 20:19 | 1908937 Blank Reg
Blank Reg's picture

Who's Waddell and Reed? I take it, it's an inside joke on this blog.

Wed, 11/23/2011 - 20:42 | 1908974 Mr Lennon Hendrix
Mr Lennon Hendrix's picture

Theys the meanest cowboys this side of the mississippi.

Thu, 11/24/2011 - 05:48 | 1910089 jeff montanye
jeff montanye's picture

there are things called search engines.  put a term you are unfamiliar with in one and press return.  then see if there is a "wikipedia" or other reference entry for the term.  click on it.  these computers are amazing.

Wed, 11/23/2011 - 21:03 | 1909022 luckylogger
luckylogger's picture

Well... IMHO it was the fact that the algos were turned off. You guys that traded back in 2007-2008 would have recognized this, however I did not until too late.... like usual. Not much volume and somebody did not like what they saw over in EZ and said fuk it and got out.

Wed, 11/23/2011 - 21:05 | 1909028 MFL8240
MFL8240's picture

Summer of recovery??  What happened, do ya think they lied?

Wed, 11/23/2011 - 21:11 | 1909043 AmazingLarry
AmazingLarry's picture

If I knew it was going to be this kinda party, I woulda stuck my dick in the mashed potatoes.

Full on sprint rally to 1220 Monday morning, just you wait...

...to reshort all the way to 0.

 

Wed, 11/23/2011 - 21:14 | 1909050 Randall Cabot
Randall Cabot's picture

Longs bailed to avoid indigestion after upcoming turkey/pumpkin fest, ergo, they'll be stampeding back like a panicked flock of gobblers next week-time to go balls to the wall on T-Day+1 for TNA and FAS!!!

Wed, 11/23/2011 - 21:57 | 1909146 chump666
chump666's picture

HFTs are gaming Asian markets, hilarious.  Nothing volumes, holidays and BS walks.   The AUD has gone to la la land.

Wed, 11/23/2011 - 22:25 | 1909209 deebee
deebee's picture

same thing happening to Copper now...

Wed, 11/23/2011 - 23:01 | 1909281 moofph
moofph's picture

...maybe it will form a wish-bone in honor of tom turkey...or maybe not.

Wed, 11/23/2011 - 23:31 | 1909339 T-Bond
T-Bond's picture

The S&P's are turning into Pork Bellies. Way to go CME...

Thu, 11/24/2011 - 00:33 | 1909519 Ku
Ku's picture

holy cow batman, copper popped sum speed early asian trading - down 10c, then up 10c on good vol. 

FTM

Thu, 11/24/2011 - 04:46 | 1910015 Grand Supercycle
Grand Supercycle's picture

USD selling pressure continues and the prospect of an equity xmas rally and EURUSD bullish spike returns.

http://stockmarket618.wordpress.com

Do NOT follow this link or you will be banned from the site!