Stats › Marchés baissiers et drawdowns › Le flash crash de 2010
Resting buy orders in the index future fell from 100,000 contracts to under 1,050
| Mesure | Morning | At stress | Variation |
|---|---|---|---|
| Index future buy side depth | about 6.0 bn dollars | 58 m dollars at 14:45 | under 1% |
| The same at 14:30 | about 6.0 bn dollars | 2.65 bn dollars | -55% |
| Resting buy orders in the future | about 100,000 contracts | under 1,050 at 14:45:28 | under 1% |
| Index tracker buy side depth | about 275 m dollars | 220 m at 14:30 | -20% |
| Index tracker resting buy orders | non précisé | about 600,000 shares | about 25% |
| Aggregate index constituent buy depth | about 70 m shares at midday | 14 m at 14:49 | 20% |
| Top 100 exchange traded funds at the low | non précisé | 10% of midday | -90% |
From the joint regulatory staff report of 30 September 2010. Depth is measured within one dollar of the best bid and offer for the future, about ten basis points, and within ten basis points of the midpoint for the tracker. The report contains no t statistics, p values or formal tests: every comparison is a descriptive ratio against the prior day or the prior three days.
On 6 May 2010 a single 4.1 billion dollar sell programme met an order book whose buy side depth had already halved. Within thirteen minutes the resting buy orders in the index future were under one per cent of the morning's.
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