20 Key Charts From The Flash Crash Report


The Flash Crash report is out (live blogged here>).

Conclusions seem to be pretty underwhelming and no one is convinced that this can’t happen again. But the report is worth browsing, if only for some incredible charts on perhaps the fastest selloff ever.

Here's the index movement based on the high volume E-Mini ETF

And based on the high volume SPY ETF

At 2:45 almost no one was buying SPY

E-Mini marks a steady line of the crash

E-Mini contracts hit an incredible 90,000 contracts per minute

Sell depth remained high for a quarter of an hour

Market depth hit an unprecedented 110 million

Here's the notorious HFT pattern

HFT selling was even higher in the Arca exchange

Here's HFT in the NASDAQ

This chart shows the impact of canceled trades

Same chart over a longer time frame

HFT was over 50% sell -- with high volatility

At market bottom, HFT led aggressive buys

Here's a profile of trades broken for liquidity events

Here's the most volatile stock -- Accenture

Another highly volatile stock -- P&G

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