Nanex Research
Nanex ~ 15-Dec-2013 ~ Stock Index Futures Rout
On December 15, 2013 at 22:08:32 Eastern, a large wave of sell orders hit many stock
index futures contracts, including the December 2013 and March 2014 futures contracts
for:
- ES ~ S&P 500
- SP ~ S&P 500
- TF ~ RUSSELL 2000
- NQ ~ NASDAQ 100
- YM ~ DJ $5
Most notably, over 6,000 March 2014 eMini
contracts traded in 1 second. After closer inspection, it appears that trading began almost simultaneously in several contracts,
with the March 2014 eMini (ES) starting just a few milliseconds before the others. It's
unclear whether the trades in the other contracts were a reaction to the eMini or part
of the same sell program.
1. Comparing ES, NQ, TF and YM at 22:08:32 on December 15, 2013.
2. Additional Charts.
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