10-Aug-2012 ~ 15,000 eMinis Make Market go Boom |
|
Starting at 11:04:55 and lasting for 3 seconds, approximately 15,000 eMini contracts traded, causing a significant market disruption. At the same time, approximately $100 Million worth of SPY traded. |
|
At 11:26:21, another 8,000 eMini contracts trade in 1 second, sending the market back up. At the same time, approximately $53 Million worth of SPY traded. |
|
eMini Depth of book takes a big hit. The area circled shows a sudden drop in liquidity as a result of the sudden trade. August 10, 2012 is the thick red line, updated to the time the image was taken (where it goes horizontal). Note that the liquidity that vanished has not yet returned, leaving the market vulnerable to another large sale. |
