Mini Flash Crashes

by Larry Levin

I was prepared to write something else today but our friends at ZeroHedge, in conjunction with Nanex, have knocked the cover off the (equity)ball. I have written about a few mini-flash crashes recently but ZeroHedge and Nanex have quantified hundreds of mini-flash crashes in their report - something the SEC absolutely REFUSES to do.

I haven't looked at every single mini-flash crash event presented in the report but after looking at many it seems as if the richly priced stocks are suffering 1% insta-crashes, while lowlier stocks are pasted 5% in milliseconds. Some, however, were 20% or more - again, in just a millisecond or two. Moreover, it looks as if the algorithms themselves have been programmed to hammer these stocks to a specific percent of the share value before letting them back up again.

The full report can be found here where you can download the pdf and share it with friends and family.

In an exclusive collaboration between Nanex and Zero Hedge, we are pleased to present to our readers the first part of a multi-series project that will demonstrate the flash crashes of 2010, and subsequently, of 2009 and 2008. The concern is that since the number of mini crashes, precipitated in most part by HFT algorithms gone wild, is simply staggering, it is impossible to present all the individual events in one presentation due to size limitations. The reason - there have been 549 "flash crash" events in 2010 to date alone! We dare anyone at the SEC to go through this list and look anyone in the eye and tell them that i) the market is not broken and ii) that High Frequency Trading is not a major scourge to proper and efficiently operating markets. And while we do not want to take away from the recent uproar at ETFs, courtesy of the Kauffman foundation (and its chairman who as we presented earlier has a rather sizable conflict of interest in DST Systems, Inc) none of the presented 549 crashes are ETFs implicated: this is (mostly) all HFT, baby, all the way.

Without further ado, we present the first part of our joint presentation: the mini flash crashes of Q1, all 112 of them. As there are 64 work days between 1/1/2010 and 3/31/2010 (excluding holidays) this amounts to 1.75 mini crashes per day (and wait until you see Q2). And this is a market that the SEC would like to have you believe is perfectly operational...

The crashes are presented in chronological order.

We urge readers to distribute this report to friends and relatives, as we hope that people can finally understand what a complete and broken scam the US stock market is. That said, we expressly prohibit the creation of "per click" slideshow decks out of the underlying data.

To read the rest click here

Trade Date: 11/9/10
E-Mini S&P Trades*
(before fees and commissions):

1. VA buy @ 11:45am at 1217.00 = +.25 & -.50

2. VA sell @ 1:42pm at 1216.50 = b/e & -.25

3. VA sell @ 1:51pm at 1216.25 = +1.00 & +.75

4. Algorithm positions (6)

5. “Reading the Tape” positions (11) combined Secret’s, Algo, & “Reading the Tape” total… +3.00

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