Stats › Intraday and market microstructure › Flash crash 2010
The Dow fell 995 points and got it back in twenty minutes
| Time | What happened |
|---|---|
| 14:00 | DJIA down 161 points at 10,712. An unsettled day already, on European sovereign debt news. |
| 14:30 | DJIA down about 2.5%. Buy side liquidity in the E-Mini has fallen from nearly $6 billion that morning to $2.65 billion, a 55% decline. |
| 14:32 | A mutual fund complex begins selling 75,000 E-Mini contracts, about $4.1 billion, through an algorithm set to take 9% of the previous minute's volume with no regard to price or time. |
| 14:41 to 14:44 | The E-Mini falls about 3% in four minutes. By 14:44 high frequency traders have traded nearly 140,000 E-Mini contracts, over 33% of total volume. |
| 14:42:40 | Resting buy orders in the E-Mini are down to 15,000 contracts, and keep declining for the next three minutes. |
| 14:45:13 to 14:45:27 | In fourteen seconds HFTs trade over 27,000 contracts, about 49% of all volume, while buying only about 200 contracts net. The E-Mini falls another 1.7%. |
| 14:45:28 | CME Stop Logic Functionality pauses the E-Mini for five seconds. Buy side depth is about $58 million, under 1% of that morning's level. |
| 14:45:33 | E-Mini trading resumes. Prices stabilise and begin to recover. |
| 14:45 to 14:47 | The DJIA, S&P 500 and Nasdaq 100 all print their lows for the day. DJIA low 9,872.57. |
| 14:46:06 | 3M trades at $67.98, down 18.39%. |
| 14:47:15 | Procter and Gamble trades at $39.37, down 36.14%. The deepest fall of any Dow 30 name. |
| 14:47:28 | The iShares Russell 1000 Growth ETF trades at $0.0001. |
| 14:47:54 to 14:48:01 | Accenture trades at $0.01, for seven seconds. |
| 14:50 | DJIA back at 10,232. |
| 14:55:32 | The Vanguard Total Stock Market ETF trades at $0.15. |
| 14:58:14 | The iShares MSCI EAFE Growth ETF trades at $0.0001. |
| 15:00 | Most securities are back to trading at prices reflecting consensus values. Between 14:40 and 15:00 roughly 2 billion shares changed hands, over $56 billion. |
| 16:00 | DJIA closes at 10,520.32, down 347.68 points or 3.2%. |
Sources: SEC and CFTC preliminary findings, 18 May 2010, and joint findings, 30 Sep 2010.
On 6 May 2010 the US stock market fell about 9.2% and recovered most of it within twenty minutes. The Dow bottomed 995 points below the previous close, and Accenture printed at one cent. 20,761 trades in 326 securities were later cancelled.
9,872.57Dow low, 6 May 2010
-3.2%Dow close that day
20,761Trades cancelled
5 secondsThe pause that stopped it
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