Cyberous

Provide a link that it was actually at Citi.


http://www.businessandmedia.org/articles/2...0506174136.aspx

"Again, those sources are telling us that Citigroup’s total E-mini volume for the entire day was only 9 billion, suggesting that the origin of the trades was elsewhere.”

Elistan

I can certainly envision a scenario in which automated trading algorithms cascade and lead to a steep sell-off, given a proper trigger... But what happened to bring those prices back up?

From WSJ:
Okay, sure. Crazy, but whatever, I can see it happening. (Well, maybe not the down-to-one-cent bit.) But then, just one minute later...

I am not familiar with these algorithms - would they cause such dramatic increase as well?

sahtt

What an incredible trading day. For those that are not true intraday traders, it can be hard to understand some of the price action. For those staring it right in the face it's pretty self explanatory. Many of those trades will be broken so it's not worth getting bothered or excited about.

Example-stock trades 75% on the NYSE, 50k average volume. Someone dumps 500,000 shares only through INET ECN, only INET bids are hit and due to the magnitude of the sell order, they cannot route the orders fast enough. So for a brief moment, they trade at extremely depressed levels. Those orders are usually (90+%) broken in the U.S., some countries, like Japan, do not break trades at all. There are complex parameters involved and every ECN is different; it's a complicated system.

For instance, it's completely possible for a stock to be trading at several prices at the same time on different ECN's. When volatility is lower, the systems route very efficiently, but as the system is over whelmed this breaks down.

No single individual can do what I saw occur today. Every stock was destroyed, even stocks people do not usually trade or have in mutual funds (like preferred shares).

sevenrd

Nasdaq is only busting trades on stocks that swung more than 60%. So if someone held AAPL with a VERY loose stop @ 210 they're SOL since it didn't hit that 60% requirement. Where'd they come up with this arbitrary 60%? Imagine how many were stopped out of stocks that didn't swing more than 60%. They're SCREWED.

"Your stock only swung 60%? Sorry! Just missed it! If only it had dropped just 1 more percentage point and hit that magic 61% we could bust your trade. But it didn't, so you gotta eat this one! Good day!"

What a farce this market has become. Fortunately I currently don't have a dog in this hunt.

===============================

"Nasdaq said it would cancel trades with price deviations of more than 60 percent between 2:40 p.m. and 3 p.m. from their 2:40 p.m. levels..."

"Nasdaq said its decision was made in conjunction with other exchanges and said it could not be appealed."

http://www.cnbc.com/id/37011368


List of affected stocks:

http://media.globenewswire.com/cache/6948/file/8211.htm

mxt_77

The prices are set by the seller, right? I'm not an expert, but this is my understanding of how it could happen.

Somebody puts 100K shares on the market for sale at $40. They might sell 20K of them pretty quickly and 80K are remaining.
Then all of a sudden, somebody accidentally fat-fingers a sell order and puts 50K shares on the market for sale at $0.01. Anybody that has a buy bid in above 1 cent is going to buy from that lot @ 1-cent until they're all gone.
Then, after all of the 1-cent shares are gone, people will go back to buying the $40 shares again (if their bid is >= $40).

So, it looks like a dramatic increase, but really it's just that all of the super-cheap shares have been sold.

Elistan

^^ Yeah, that's making sense. So, if Person A is offering shares for sale at $50 each, and Person B is offering at $75 each - what is the reported stock price that we see on Google Finance, et al? I assume the $50 price, because that's likely what people are actually purchasing.

Hmm, so what happened to drive multiple stocks down to one cent? Was it just emergent behavior of the complexity of algorithmic trade programs, after some appropriate trigger?

mxt_77

^ Yeah, the price displayed on Google/Yahoo Finance should be the last trade price. In that case, it should be the $50, since the cheapest shares will go first.

As for what caused so many stocks to go to ridiculous prices... I have no idea.

Trent06

and were still falling...

so many options, i dont know what to buy

AZDavid

Looks like we had another "error" this morning.

raymo19

I'd really like to see who ended up with all the proceeds from this "glitch". Think any of us will ever know?

I'm not buying or selling - simply because I have no idea WTF is up right now.