Visualizing Today's Last Second 60,000 E-Mini Contract Wipe Out | ZeroHedge
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.
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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