An exert from the report
"Still lacking sufficient demand from fundamental buyers or cross-market arbitrageurs, HFTs began to quickly buy and then resell contracts to each other generating a hot-potato volume effect as the same positions were rapidly passed back and forth. Between 2:45:13 and 2:45:27, HFTs traded over 27,000 contracts, which accounted for about 49 percent of the total trading volume, while buying only about 200 additional contracts net."
Unreal!
Cheers,
The Sparkler
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- the 6 may 2010 cascading flash crash
the 6 may 2010 cascading flash crash, page-8
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