Nanex Research
Nanex ~ 17-May-2013 ~ How to Destroy $45 Billion in 45 Milliseconds
On May 17, 2013, in the final seconds of trading, the stock of Anadarko Petroleum Corporation (symbol APC, market cap
$45 Billion) traded from $90 down to $0.01 in 45 milliseconds. Oops. This may just be a record - losing $1 Billion per millisecond. That's a rate of $1 Trillion per second. Now this is something Congress will be able to understand. Maybe
NYSE should have kept their LRP circuit breakers after all?
Trades below $87.56 were later canceled (starting at 16:45).
You may also want to see
what happened in Merck's stock (MRK) the previous trading day.
Dennis Dick has a great tutorial :
Market Fragmentation Flash Crash that explains one of the many
things that can cause these.
Update 18-May-2013: Added Chart 5-11 showing impact on OEX (S&P 100), SPX
(S&P 500) and a sample of other indexes. APC is a major stock and a significant component of hundreds of indexes. We suspect many
option trades may have been made based on lower index prices caused by the drop in APC.
Update 21-May-2013:
Added Chart below - which illustrates that Limit Up/Down would not have halted
the stock. The stock traded down to $0.01 a full 5 milliseconds before the best ask dropped
to it's lowest value of $89.19 (which still wouldn't have triggered a halt).
1. APC - showing bids color coded by exchange.
2. APC - showing trades color coded by exchange.
3. APC - showing trades color coded by exchange. Zoom.
4. APC - Nanex Tick Chart.
5. OEX Index (S&P 100).
APC's drop lowered the OEX by $1.01. After trades were busted, the index value was restored
(but after close/settlement).
6. SPX Index (S&P 500).
APC's drop lowered SPX by $1.40. After trades were busted, the index value was restored
(but after close/settlement).
7. DJUSEN Dow Jones US Oil and Gas Index.
8. NQUSB Nasdaq US Benchmark Index.
9. NQUSB0533 Nasdaq US Benchmark Exploration and Production Index.
10. OEX Index (S&P 100). Zoom of Chart 5.
11. SPX Index (S&P 500). Zoom of Chart 6.
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