The top chart shows the Dow Jones Industrial Average
(DJI) disseminated by Dow Jones (Blue), the theoretical value (Green)
calculated from the component stock trades as received from CTS (Consolidated
Trade System) , and the prices of the CBOT Dow Jones futures contract traded as
symbol YM.M10 (Red). The bottom chart shows the premium of the futures contract
versus the theoretical index, which is simply the difference between those two
prices.
There were 2 significant delays in the dissemination of the DJI during the
Flash Crash. The first delay (readily seen from the sudden drop and jump in the
lower chart) was due to delays in the CTS datafeed supplying the prices of the
component stocks. Some stocks were delayed up to 24 seconds during the crash.
The 2nd delay (offset between the green and blue lines), which was the larger
of the two, appears to originate from the system used to calculated the index
at Dow Jones. |
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