Visualizing Today's Deja Vu Last Second 60,000 E-Mini Contract Wipe Out

Tyler Durden's picture


Today, three seconds before the close, someone was in a desperate hurry to dump 60,000 E-Mini contracts - the equivalent of $4.1 billion in underlying notional (ignoring the reflexive impact on various correlated assets and downstream synthetic instruments like ETFs and options). What happened next was a trade that was just shy of the size of the Waddell and Reed trade that the SEC said caused the flash crash. Luckily this time there was just 3 seconds of potential waterfall after-effects before the market closed. Had this happened at the May 6 blue light special time of 2:30 pm, the month end marks of US hedge funds and prop desks would have looked very different one day before the all too critical FOMC statement. The question remains: who waited to perform a reverse E-bay (inverse bid all in, in the last second of trading), and just what do/did they know? Below we present the complete 60,000 dump in its full visual glory courtesy of Nanex. But hold on. There is a twist...

From Nanex: eMini Wipe-out

On July 31, 2012, starting about 3 seconds before the close (15:59:57 EDT), our monitoring software alerted us to an unusually large trade of over 60,000 eMini (ES September 2012) contracts that were sold at once. At the same time, we also received an alert showing large and unusual trades in  ETFs (note the last column is the value of the trade in millions of dollars):

1. eMini depth of chart showing price map in the upper panel, and trade volume volume as a histogram below.

2. eMini Depth of chart showing price and size map.

At 15:50:15, we noticed a sudden drop in eMini liquidity. Note the sudden contraction just to the left of center.


* * *

And where things get really interesting, is that what happened a few short hours ago, is virtually a carbon copy replica of an almost identical event which took place on July 31... 2011

On July 29, 2011, also the last trading day of July, Nanex noticed a eerily similar event and published a paper on it. A chart of SPY on that day is shown below.


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Tue, 07/31/2012 - 18:17 | 2666613 John Law Lives
John Law Lives's picture

Thank you, ZH, for keeping us informed re. this sort of development.  We sure wouldn't get this sort of analysis from the whoremongers who own the MSM.


Tue, 07/31/2012 - 18:25 | 2666632 ACP
ACP's picture

There are always little clues like this before the SHTF...

Tue, 07/31/2012 - 18:41 | 2666679 Muppet of the U...
Muppet of the Universe's picture

Speculate away.  that is what we do.  But to honest, if you didnt see a 4pm dumperoo coming?  LOL

Tue, 07/31/2012 - 18:54 | 2666711 Godisanhftbot
Godisanhftbot's picture

 You said it.  This analysis is interesting, but all after the fact.  Maybe we should just go short every July 31 5min to close.  See Ya next year!!!!

Tue, 07/31/2012 - 18:56 | 2666725 Muppet of the U...
Muppet of the Universe's picture

You are so close to the truth its not even funny.  Almost there, but you got 1 thing wrong.  & i bet if u think enough you;ll get it.

Tue, 07/31/2012 - 19:22 | 2666795 francis_sawyer
francis_sawyer's picture

I'm all in on that (assuming there's a next year)...

Tue, 07/31/2012 - 19:42 | 2666862 knukles
knukles's picture

I'm gonna be particularly brave, gutsy, bold and radical.
Just staying out of the fucking mess until well after the whole bag of worms craters... just like 5 years ago.
And then take a look at what's just what asset class has been poleaxed, staked through the heart, nailed and executed that makes sense to buy after the  thrashing.

Bonds, bullion and cash, bitchez

Tue, 07/31/2012 - 20:11 | 2666949 francis_sawyer
francis_sawyer's picture

fuckin a right!

Tue, 07/31/2012 - 20:20 | 2666978 The Monkey
The Monkey's picture

I guess someone wants to give Bernanke a hint...

Print, or else!

Tue, 07/31/2012 - 20:50 | 2667051 WonderDawg
WonderDawg's picture

Doubtful. The decision has long been made, they're just going through the theatrical motions, now. More like Goldman's trading desk unloading some shit because they know the decision. Interesting how the stops Goldman set (1390) when they recommended going short were taken out in this little ramp. Smells like a cat turd.

Tue, 07/31/2012 - 21:24 | 2667126 francis_sawyer
francis_sawyer's picture

Don't take this as 'trading' advice... (if you do ~ you're even more mindfucked than yours truly), but my spider senses tell me that this is more likely something of the nature of what is nominated in some of the comments below...

My favorite are the END OF JULY positions scenarios...

Since I don't bet with GOLD... I wouldn't bet anything... But if I were wagering with worthless debt notes of paper, I'd say that the turnaround, TOMORROW, comes in the 1360's... All you dickheads who want to play with THAT advice DESERVE what you get in the end...

Tue, 07/31/2012 - 21:24 | 2667138 Comay Mierda
Comay Mierda's picture

PPT was too busy looking at midget porn and hit the wrong button today

Tue, 07/31/2012 - 23:37 | 2667505 WonderDawg
WonderDawg's picture

That's pretty much what I was saying. No big QE, market is disappointed. But, unless you're in the club, it's still a guessing game.

Tue, 07/31/2012 - 22:47 | 2667357 DeadFred
DeadFred's picture

careful with those bonds knuckles

Wed, 08/01/2012 - 02:17 | 2667792 jeff montanye
jeff montanye's picture

my thoughts too.  treasury rates are at or below lows last seen briefly in 2008 and in the late 1940's (and not often then).  u.s. quality spreads, though widening, are not wide.  treasury rates rose during the equity bear market of the early 1930's with quality spreads widening enormously (and wave upon wave of bankruptcies). 

Tue, 07/31/2012 - 20:13 | 2666955 pavman
pavman's picture

 You said it.  This analysis is interesting, but all after the fact.  Maybe we should just go short every July 31 5min to close.  See Ya next year!!!!



I wonder if this is a portent of no QE for you!

Tue, 07/31/2012 - 19:19 | 2666785 CH1
CH1's picture

Someone wanted to get dollars instead of e-minis, knowing something about the future ability (or lack thereof) to exchange them?

Tue, 07/31/2012 - 22:42 | 2667343 DeadFred
DeadFred's picture

I usually don't watch the close but did today wondering if we would see some front running of the Fed. Nothing much then, boom, air pocket. I kinda expected something similar to the last afternoon before the US gov downgrade that set off last summer's exciting days. I hope someday we can find out what this was about, especially 'who'

Tue, 07/31/2012 - 18:53 | 2666700 Ineverslice
Ineverslice's picture


Sinkholes ahead.

Tue, 07/31/2012 - 18:59 | 2666734 SmittyinLA
SmittyinLA's picture

We know the SwillHTF soon, maybe, sometime.....but we don't know which way the fan is spinning, or who will control the polarity.  

Time to go long on lead (an insurance bet). 

Tue, 07/31/2012 - 19:02 | 2666744 jomama
jomama's picture

i've been waiting for it for only four or so years now...

Tue, 07/31/2012 - 19:02 | 2666742 westboundnup
westboundnup's picture

I'll know the SHTF when there are massive power outages to prevent further selling.  The fact that there hasn't been any widespread power outages means that . . . . oh S.

Tue, 07/31/2012 - 19:35 | 2666837 Joe Sixpack
Joe Sixpack's picture

Are you in Indi

Tue, 07/31/2012 - 20:01 | 2666919 westboundnup
westboundnup's picture

No. USA.

Tue, 07/31/2012 - 21:32 | 2667157 URZIZMINE
URZIZMINE's picture

You will know that its really SHTF when you can no longer locate ZH on the internets.

Tue, 07/31/2012 - 18:31 | 2666651 4horse
4horse's picture

ZH D-tail of the devil

doing godswerk

Tue, 07/31/2012 - 18:39 | 2666672 Hype Alert
Hype Alert's picture

So who bought 60,000 E-Mini contracts 3 seconds before the bell?

Tue, 07/31/2012 - 18:44 | 2666688 Lost Wages
Lost Wages's picture

Unknowing muppets?

Tue, 07/31/2012 - 19:23 | 2666798 francis_sawyer
francis_sawyer's picture

The taxpayers...

Tue, 07/31/2012 - 18:54 | 2666717 Godisanhftbot
Godisanhftbot's picture

Innocent bystanders, grandma, and Bill Gross

Tue, 07/31/2012 - 18:59 | 2666733 HelluvaEngineer
HelluvaEngineer's picture

You did. You just don't know it yet!  Lulz.

Tue, 07/31/2012 - 19:04 | 2666749 Hype Alert
Hype Alert's picture

Hah, you're probably right on the money there.

Tue, 07/31/2012 - 19:25 | 2666806 RichardENixon
RichardENixon's picture

You'll see it in your 401k statement for July.

Tue, 07/31/2012 - 19:17 | 2666782 steveo77
steveo77's picture

Your State Pension fund, duh!

Tue, 07/31/2012 - 19:38 | 2666845 I think I need ...
I think I need to buy a gun's picture

oh yea they always stuff all the crap into the pension plans for maximum pain effect

Tue, 07/31/2012 - 20:02 | 2666923 Bringin It
Bringin It's picture

While Corzine was NJ govenor in the Summer of '08, NJ state pension funds, ie. the pensions for teachers and firemen, etc. were massive Lehman buyers.

Wed, 08/01/2012 - 05:22 | 2667945 mrdenis
mrdenis's picture

even now they have a high percentage in "alternative " ,I aleasys go on the state web site to see just what they are ,but no luck .The state refuses to put any additional miney into the fund ,just workers contributions are going in with 7 billion going out each year to retirees with assests of 60 billion how much longer can that last ,most employees think FOREVER ! 

Tue, 07/31/2012 - 19:27 | 2666809 jmeyer
jmeyer's picture

All the bids in the DOM; the market sell number of contracts ( 60,000 ) wiped out everyone ( or bot ) in the limit bid list; that's who bought the contracts; or rather choked on them.

Tue, 07/31/2012 - 20:17 | 2666971 XenoFrog
XenoFrog's picture

I think they're referred to as, "bag holders".

Tue, 07/31/2012 - 20:38 | 2667023 The trend is yo...
The trend is your friend's picture

paint the fucking tape

Tue, 07/31/2012 - 21:56 | 2667200 max2205
max2205's picture

Dark pool hedge trade to net flat.... Keep moving

Wed, 08/01/2012 - 00:46 | 2667674 FL_Conservative
FL_Conservative's picture

I guess its a good time to be short the S&P 500, don't ya think?  Cha-ching.

Wed, 08/01/2012 - 01:06 | 2667713 China
China's picture

Pack your bags folks! Soon China send you all to be re-educated. You must be instituted into the delusion.

Tue, 07/31/2012 - 18:18 | 2666614 GernB
GernB's picture

Can I get those images framed? I want one on my wall as artwork.

Tue, 07/31/2012 - 18:21 | 2666620 New_Meat
New_Meat's picture

Yes, YOU can.

Tue, 07/31/2012 - 19:08 | 2666756 smlbizman
smlbizman's picture

do we remember those pictures you had to stare at, than one day you could see what was there? than as you looked at others they became instantly clear?...i must be honest...i actually for once can make out these nanex "pics" and see what they are talking about....

Tue, 07/31/2012 - 19:50 | 2666888 exi1ed0ne
exi1ed0ne's picture

If you stare long enough and cross your eyes a bit you can see a sailboat. Ironically the boat has Au and Ag spilling over the side.

Tue, 07/31/2012 - 20:09 | 2666941 smiler03
smiler03's picture

I can only see a schooner.

Tue, 07/31/2012 - 21:29 | 2667148 Beam Me Up Scotty
Beam Me Up Scotty's picture

Another boating accident??? Man, boat insurance costs are going to skyrocket with the price of gold!! Boating accidents happening all over the place lately and you don't even read about it on the MSM!

Wed, 08/01/2012 - 08:24 | 2668101 mrdenis
mrdenis's picture

I do see the..... titanic 

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