May 6'th 2010 Flash Crash Analysis Continuing Developments - Stub Quoting Did Not Cause The Flash Crash Publication Date: 09-08-2010 Back to Table Of Contents As we reported in Part 5, Flash Crash Myths, pure Stub Quoting in itself did not cause the Flash Crash (pure stub quotes are quotes that have a price near 0.01). While it contributed and brought the price of some stocks to 0.01, actual trading on stub quotes did not begin to execute until the crash was already over. We decided to revisit the stub quotes issue and determine exactly when and were trades were actually made and the dollar value lost. The following chart shows this analysis: Methodology: To get the dollar value, we take the price drop of a trade executing at a stub quote and multiply it by the total volume for that stock for the day We then sum values for all symbols for each second. Inquiries: pr@nanex.net Publication Date: 09-08-2010 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.