Nanex Research
Nanex ~ 25-Sep-2012 ~ DAX and Euro Stoxx Futures on Flash Crash
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A reader sent us tick data for DAX® Futures (FDAX - June 2010) and EURO STOXX 50® Index Futures (FESX - June 2010) for May 6, 2010, which was the day known as the Flash Crash. We were surprised
to see a similar large and immediate selling event in FDAX futures at approximately 14:42:44.095,
which is very close to the
ignition point we identified in the eMini and SPY. The time-stamps
for this data set have not yet been verified, but are believed to be accurate. The FDAX
is traded in Germany, SPY is traded in New York, and the eMini is traded in Chicago.
We have already determined that a large sale of about 2,000 eMini futures (Chicago) occurred at
the same time as a large sale of about $500 million worth of SPY, IWM, QQQ
and other ETFs (New York), even though these two locations were
separated at the time
by approximately 15 milliseconds due to the speed of light. The FDAX (Germany)
was separated from SPY (New York) by approximately 80 milliseconds at that time. Which
means the immediate sale of about 90 contracts (see red arrow on Chart 1) occurred at
the same time as the sale of eMinis and ETFs. Which means it's either pure coincidence, or the same entity
hit all three markets simultaneously. We've identified this point in time as the very
beginning of the flash crash.
1. FDAX 25 millisecond interval chart showing quote spread and trades.
2. FDAX 1 second interval chart showing quote spread and trades.
3. FESX 25 millisecond interval chart showing quote spread and trades.
4. FESX 1 second interval chart showing quote spread and trades.
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