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Visualizing Today's Deja Vu Last Second 60,000 E-Mini Contract Wipe Out
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):
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1. eMini depth of chart showing price map in the upper panel, and trade volume volume as a histogram below. |
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2. eMini Depth of chart showing price and size map. |
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| At 15:50:15, we noticed a sudden drop in eMini liquidity. Note the sudden contraction just to the left of center. | |
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* * *
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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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.
Grazie!
There are always little clues like this before the SHTF...
Speculate away. that is what we do. But to honest, if you didnt see a 4pm dumperoo coming? LOL
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!!!!
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.
I'm all in on that (assuming there's a next year)...
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
fuckin a right!
I guess someone wants to give Bernanke a hint...
Print, or else!
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.
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...
PPT was too busy looking at midget porn and hit the wrong button today
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.
careful with those bonds knuckles
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).
lololol!
I wonder if this is a portent of no QE for you!
Someone wanted to get dollars instead of e-minis, knowing something about the future ability (or lack thereof) to exchange them?
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'
Caution:
Sinkholes ahead.
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).
i've been waiting for it for only four or so years now...
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.
Are you in Indi
No. USA.
You will know that its really SHTF when you can no longer locate ZH on the internets.
ZH D-tail of the devil
doing godswerk
So who bought 60,000 E-Mini contracts 3 seconds before the bell?
Unknowing muppets?
The taxpayers...
Innocent bystanders, grandma, and Bill Gross
You did. You just don't know it yet! Lulz.
Hah, you're probably right on the money there.
You'll see it in your 401k statement for July.
Your State Pension fund, duh!
oh yea they always stuff all the crap into the pension plans for maximum pain effect
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.
even now they have a high percentage in "alternative "...investments ,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 !
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.
I think they're referred to as, "bag holders".
paint the fucking tape
Dark pool hedge trade to net flat.... Keep moving
I guess its a good time to be short the S&P 500, don't ya think? Cha-ching.
Pack your bags folks! Soon China send you all to be re-educated. You must be instituted into the delusion.
Can I get those images framed? I want one on my wall as artwork.
Yes, YOU can.
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....
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.
I can only see a schooner.
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!
I do see the..... titanic
wait till you see the nanex chart of gld at 2:16pm tomorrow.
You mean 2:15:00:00:03
Just 3 seconds is 3,000,000 microseconds. Plenty of time for the algoz to react, unless their programmerz were finishing up with a happy moment with a little premature-ness.
But, then again, someone has to counteract the really good housing numbers (k-2) and the PMI stuff and Olympic gold fevre and stuff.
- Ned
A happy ending takes around three seconds.
But the refractory period takes 3 hours :{
appropriating a cute(r) girlfriend should significantly reduce that latency.
I love the red-head. I knew I was in love at about 2:21
https://www.youtube.com/watch?v=GXcLVDhS8fM
that is sad
Wha' "appened?
fuckin Sack's replacement screwed up. he was supposed to go the other way.
This is what Hilsenrath does when the QE news is "bad"?
You're close. This was Hilsenwretch's blind trust being traded, purely by coincidence, at the close.
(Definition of "blind trust": Hilsen-berry closes his eyes before pressing the blue "Transmit" button in his IB account, shortly after sharing a croissant with Bernanke's intern).
Did something leak at the Fed meeting?
That was my first thought. Someone knows something.
And now we know something.
And if there is truly a crash, we KNOW to purchase PM's while they get even cheaper.
Been waiting since 2003 for them to drop, dammit.
Definitely. First off someone is always leaking because it simply is going unpunished. In this environment when leaking is essentially legalized by the regulators and btw you can damn well bet it is happening.
Look at the home builders today. If there was ever going to be a QE announced these stocks would be rallying and they were down all day. This large of a trade at the end of the day is an elephant leaving the room. Very telling.
guys, guys, gals. seriously. there ARE no markets. the markets are 100% manipulated by co-ordinated (to some point, sometimes they even tell timmy to f-off) between central banks.
bernake and draghi only read scripts that they were told to read. that's the only way the banks can make money. and who do they work for?
and you can't beat there algo's for getting in and out. they only make money now on volatility. so now, they signal the shorts are right! jump in! and tomorrow morning you go short, and bennie says: 'hey, how does xxx? sound for new printing' and you get crushed. and then the next day - 'i was only kidding. qe doesn't seem to work. maybe we'll hold off to september (31 days away) and wait and see if needed' and you get crushed again...........................
nobody figured this out?
. . . leak . . .
?
noah overhearing voices again
. . . nobody else hearin nothin
nothin. floatin on nothin but lies and crime, deepest, darkest, where "market participants" -in fortune and men's eyes- hide, knowing every single move ahead of you and ahead of time
Yeah, something leaked. Bernanke burped. They say it smelled like a Goldman turd.
Smackdown day coming very soon to a casino near you.
Gotta stop Gold making a breakout before the real physical buying starts.
If your gonna manipulate, best do it in style...
Time to put fuel in the truck for another red spot special.
Should I pop some popcorn for tomorrow?
Come on man...
You don't think the slight gap (from March 11th), was going to subsequently go on largely unattended, did you?
That was me taking profits
If you were selling than you sold too late, and if you were buying to cover you overpaid.
wise move
and add in the erroneous (?) API numbers for crude drawdowns and we got fireworks for tomorrow!
does this mean tomorrow can be a deer in the headlights day?
I don't know if we see a deer in headlights day for a while. But the next one we see will be the 12pt buck that comes over the hood and through the windshield.
You got it... http://www.youtube.com/watch?v=n8FBxS-00xU&feature=player_embedded
More like a headfake reversal day in the 136-'s... I call bullshit on it all (before proven otherwise)...
Tyler, this is amazing stuff! Your work is unmatched.
Technically, this is from Nanex. But still, kudos to Tyler for getting the word out.
SEC investigation into Nanex in 3... 2... 1...
I'm scared
Goldman is heavly short this market. They probably needed to re set the prices so they can cover.
glad somebody around here is thinking...
Wait, let me check...yep, muppets are long, so GS is short.
I'm confused. I thought e-minis could be traded 24 hours, so why is a rush in the closing seconds a problem?
Noz the uninformed
your 'logical' Vulcan thought will not help you in this market...
July ended at 16:00 hours today. They dumped the contracts so they copuld report the trade in tyhe July book. A later trade would be recorded in August book. See?
it's just starting to sink in ~ but I SWEAR they're trying... Here's some music to help with the understanding (fully equipped with 'Kid-N-Play' haircuts)...
~~~
http://www.youtube.com/watch?v=X_PDns23RWY
We are.
'Lighten up Francis..' j/k
Your link, which I dug BTW, reminded me of the beautiful and appropriately somber version of "Summertime" by Gil Evans/Miles Davis. ZH youngsters... satisfy your ears and feed your brain at the same time. Remember the quote, "You didn't do that on your own" while you read about Gil Evans.
http://www.youtube.com/watch?v=N090STPx-2M
http://gilevans.free.fr/biographie_us/biographie.htm
Back to the Circus...
Thx Ness
~~~
Evidently... Nobody much gets it... But it's all good...
Bottom line is (while I appreciate the Bloomberg terminal visuals here & I donate on occasion for the effort)... I fail to see the hype on this one...
SUMMER trading is what it is... ESPECIALLY in this bass ackwards market...
OCCAM'S RAZOR ~ (IOW... 'Waterfallsparkles' prolly called it right)
1000 contracts after hours will move the market, this was probably just part of a stop rape move.
"they" know Ben will print tomorrow, and Olympic happy little Wallstreet Boyz of the hood will enjoy their crack. So they bought a boatload of calls while cheap, temporarily dropped the market to scare people and rape stops, and now we wait.....
they were selling, I was buying /ES.
Sorry, this is not what a stop run looks like. A stop run usually comes after a huge move and it is ALWAYS on the side of the then prevailing trend (in this case an upside short side stop run is the only run we are going to see).
For example It would be more coherent to argue this entire move from 1320 to above the last highs at 1375 was a "stop run".
I can answer your question. The reason they sold before the market close is because they will get the best execution for an order of that size. See, another market participant could go long the futures and short the cash equivalent and book a tiny spread (by netting out their long futures/short cash positions over time, but also having net zero market exposure- IE no market direction risk). If the original seller had attempted to execute an order of 60,000 contracts at say midnight tonight, they would drive the price MANY handles lower trying to get filled, maybe as many as 5-10 handles. the slippage here was more like 1-2 handles (which is still a huge amount of money when we are talking this many contracts, and hence why another party may be likely try to arbitrage it- thus giving the original seller slightly better execution).
This actually happened at 7:00 AM on 5/30/12. I was about to short the ES when someone bought about 40,000 contracts, which rose and fell about 10 handles in 10 minutes--a "Matterhorn" chart. Could never figure out the rationale for the trade. Any clues?
I took a quick look and it appears to me to be a news driven stop run. Probably something in Europe like Draghi comments or maybe the Spanish finance minister made comments about the safety of their banks/bonds etc. As I am sure you know, stops near old highs or lows tend to get hit before big volatile moves in the other direction. Whatever drove the action that morning I cannot recall, but I don't remember it being extraordinary- I could be wrong of course.
Someone is looking for a new challenge.
I watched it happen in real time and noticed that it really had no affect on other equities since they had no time to react, I suppose. Was pretty cool to see though.
Working 3 seconds out of the day...where can I sign up?
Look like someone hit CTRL-S
Who is on the other side of those trades ? State Street ? Doesn't that size trade need to be pre-arranged ?
What we truly need here is an amateur 'Elliott Wave' hack to come on & make sense of it all...
Surely NEELY & PRECHTER know what's going on... If not, they will by next next week when they come on and do their best ROBOT TRADER imitation & re-label their counts to show us what happened yesterday...
Exactly, pimping liars
I have no idea what this means. None. Nadda. Not a thing.
POW right in the kisser. Fuck these markets!
Minutes before this epic trade Waddlestien looked up at Ms. Perkynips, the new hire from Tempnymphs as said to himself, "It's my time" and proceeded to pound out the trade of the day on Ms Perkynips ass.
& it was the TRADE OF THE YEAR... BY GOLLY! ~ lol
Was it good for her too?
What we need are PREDICTIONS, not post mortems.
Every event can be dissected, analyzed , examined, as if great insight was at hand.
Try to use this in advance, and get back to me.
ZH has been pointing out how '12 is playing jut like '11. Isn't that good enough? Buy the VIX tomorrow sell it Aug. 7th.
What happens on Aug 7th?
GOP convention in Tampa starts Aug 8. What else?
My xanax prescription gets filled. I like to sell any positions before I get high as a fucking kite.
Damn son, you've taken stupid to a whole new level.
Tell me, just exactly how can one "predict" when someone else decides to pull a trigger?
You don't trade much do you.
From what I read here everyday,nobody with a brain trades these days?
thats right, lets who and ha after ever big trade and make like it means something and we know the REAL truth , and how everyone else is a moron but me and thee. And sometimes, Im not too sure about thee.
Glitchz, bitchez!
Quite obvious. Draghi is Bagdad Bob. He'll be preaching that the Euro is safe when nobody wants to touch any with a ten foot pole.
Don't pay any attention to what they say. They're the biggest crime syndicate to have ever ruled the world.
insightful data!!
so flash crash coming??
You can't trade flash crashes or flash spikes.
Why sell e-mini's and buy all the ETF's?
Not to say it was or wasn't the same entity doing this. Correlation desks usually buy/sell x-asset.
Well, someone had to dress the July-window green, but do we see 1000 points off in DOW within a week like last year?
the equivalent percentage drop
should be about 1400 points off in the djia
You tell us... (beforehand this time)...
~~~
I have no doubt that you'll furnish us a log of your post mortem entry & exit points (all PROFITABLE, of course)...
stupid daytraders (YOU)
don't know how to short @ peaks and RIDE til dumps..you live in a 1 minute sphere = freaking idiot. i'm already prepared for a dump.
Mr. Dick in da house!?! You woundn't happen to be the guy in the "Vol-a-til-a-ty" commercial's running on CNBC by any chance?
The French know how to put a stop to this... Just expand to all transactions
NOTIFICATION - FRENCH TRANSACTION TAX Interactive Brokers would like to inform clients of the French Financial Transaction Tax (FTT) enacted in March 2012 and which comes into force 1 August 2012. Key information regarding the tax is provided below:Tax Rate: The rate is currently set at 0.20%
Tax Base: The tax is assessed on the purchase of certain French equities. The French Ministry of Finance has released a list of 109 French companies whose securities are subject to the FTT. The tax is due on the net position delivered on settlement date, as such purchases and sales which settle at a common depository will be eligible to be netted for determination of the tax.
Effective Date: The FTT is applicable to trades of August 1, 2012. IB anticipates charges to customer accounts shortly after this date
Transaction Types: The FTT will be applied to both exchange trades as well as delivery of shares on exercise of an option or future contract. The FTT may also be applicable to shares received from a corporate action; however at this time the full scope of the corporate action types subject to FTT is unconfirmed.
For a current list of companies subject to FTT as of August 1, 2012 click here.
vaseline bitchezzzzz
A Beautiful Anarchy W/Jeffrey Tucker!
http://investmentwatchblog.com/drawing-back-the-financial-iron-curtain-t...
June 29 ES vol at/near market close was 240k contracts vs today of 168k. So why is today special? Hardly a conspiracy.
June 29 was the miracle Brian Sack Ramp up give to da boyz... what was the 28th .. negative 180 on the dow and miracle finish 6/28 and 6/29? similar but the opposite direction?
view a 3 day chart on the SPY 6/27 6/28 6/29 smelled like a brian sack rat. And whom had that kind of firepower? Squid. ?? Ben? Not special actually too familiar.
Does anyone have a clue as to this:
If a $1.00 per transaction tax existed, how much money would the taxman have collected today?
None, all trading would have moved offshore.
^ remaining
damn...i bought those $4bil contracts. did i do something wrong...?
Yeah you did - big players like you get heightened scrutiny from Obama's SEC and DOJ -Obama has no patience for insider trading -go turn yourself in now if you hope to obtain a reasonable bond or any form of leniency.
And remember to inform the authorities as to who else may be doing this, or who else you suspect may be doing this, or who else you may not like and want the feds to believe is doing this. As a reward you will get a break on sentencing and you will get to spend two years on the weight pile and in the cardio room at FPC Pensacola. As an added attraction, you will "work" on the nearby Naval Air Station and watch the Blue Angels practice very day.
Dude that is funny stuff. +10
rule #1: the INSIDERS always know...we non-insiders have to speculate
INSIDERS = company insiders OR macro insiders, who get leaks from central bankers and politicians.
"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? "
when EUR @ 1.24 last Fri. and dropped to 1.231 in minutes = the INSIDERS WERE SELLING..they must of found out of draghi's plan and not liked it...then spx @ 1386 = me short!! it got pumped to 1389..and on Monday pumped to 1392...but today's close = 1379...just riding!!
now the second layer of insiders (casino stock market) were selling today near the close. trying best not to disturb the house of cards.
Is Harry Wanger a MK Monarch program subject that can revive 'ad hoc' personalities at whim without having concious knowledge of what he's doing?...
Excellent analysis ZH. Everyone should look at what happened at the close and guess the next move, and it won't be pretty. Market is hedged for QE3 on one trillion, aint gonna happen. Also, watch Asia on open, if they start feverishly buying up USD's and their equity markets go neg...
Yes, someone knows something and the market just flinched.
your making the assumption those asian pussies actually have a mind of their own. ...hardly
might as well check your spelling before you start flinging insults.