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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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Ouch!
chumps... just what f_s was thinking...
USD is flat, risk is slightly selling, Asia is green. Gold/Silver are laying in wait
The big sell could be on NFP, and I mean could...
Something leaked from the Fed meeting.
Sounds like someone or someones don't want to be holding a very large bag.
http://www.etfdigest.com/ for you all that like charting. Dave is really good!! Note you will see the downdraft at the end in the spy chart
The pensioners should all get together and begin filing suits against anyone or any corporation that puts their money in the markets before it is too late.
Begin the lawsuits now.
Got a good price buying to open long SPY Aug calls:
http://richcash8tradeblog.blogspot.com/2012/07/rich-cash-overnight-options.html
For perspective, 75,000 EMinis triggered the 6 May 2012 flash crash drop of -9%, with the Dow already down -200 points before it began at 2:42 PM, recovered within 20 minutes, traded at higher market prices in two trading days.
http://en.wikipedia.org/wiki/2010_Flash_Crash
http://finance.yahoo.com/q/hp?s=SPY&a=00&b=29&c=1993&d=05&e=1&f=2010&g=d
Typical EMini trading volume is $140 B, so $4 B less than 4% of daily volume, with HFT algoboys programmed differently after the Flash Crash...
http://en.wikipedia.org/wiki/E-mini_S%26P
Beside, Ted Cruz won TX Senate runoff, coming from behind to win with 13 points over Establishment RINO raised taxes Lt Gov candidate on Milton Friedman's 100th birthday:
http://latino.foxnews.com/latino/politics/2012/08/01/ted-cruz-defeats-dewhurst-texas-us-senate-runoff/
We are past the point where this event would have any significant meaning...
You mean like at the end of 'The Bedford Incident' when Sidney Potitier asks Richard Widmark to do something to stop the destroyed Russian sub's torpedo hitting the destroyer... and Widmark just looks blankly at him?
BANG!?
Now that is a old movie.
Dredged that one up from the deeps didja.
It was actually the Captian that fired on the sub through careless use of words on the bridge.
Regarding QE, I don't think it will happen. Maybe a 1400 drop tomorrow and lower prices for silver and gold across the board. Maybe 1500 Gold or lower and 25 silver or lower.
If QE did happen, I would be sorry I did not purchase any more silver today.
Figured it out: a hedge fund manager, after getting dumped by his sweetie following poor 1Q-2Q results, raises cash at month end for his first scheduled alimony payment.
ZH (Tyler) is like Morpheus...
When will this ever end. They try to wear us down but as long as we have the truth, it will never happen. Thank YOu Zero Hedge.
"Fat Finger" is what did it....I'm sure of it....
My guess is someone was pricing a derivative contract settlement based on the eMini index. I’m sure many of those structured deals have end of month settlements. So, driving down the index price benefits the derivative profit, and then they turn around and buy the eMini back up after hours or on Monday.
It’s totally manipulative, of course, not to mention illegal. It wouldn’t be all that difficult to prove with a little investigation. But that would imply the SEC, CFTC , of FINRA (ha!, there’s a joke for ya) actually give a shit.
Yeah, could be . I posted live on twitter 3 minutes before the close that they were taking out support. Thats well BEFORE the flush. This bullshit after the fact stuff is useless, unless you like hanging around car accidents looking for teeth on the ground.
spx could be popped
back to 1390 tomorrow = SELL ON THE NEWS...
today's close = 1379....i shorted massively last Fri @ 1386 (avg price) and NOW JUST RIDING..no matter what happens tomorrow..From this HIGH SHORT POINT = just ride til sub spx 1100 by end of August/early Sept.
correction:
spx could be popped to 1390 either Wed (bQE) OR Th (draghi)....I'm short since last Fri @ spx avg price 1386. If it fluctuates between 1370 and 1390...NOT WORTH doing something...better to just ride.
If @ 1370 in next few days..may not be worth short covering (at a small profit) and re-loading @ 1390 in my case since short @ 1386...just ride.
There's no reason this won't happen again on September 30th, end of 3rd quarter. Especially w/elections looming. All out, then wait & see.