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worst 1-minute return on S&P500?
- Thread starter garchbrooks
- Start date
Quote from nazzdack:
1) The "1987 Crash" opened about 10% lower on the open.
2) 9/11 "only" opened about 7% lower on the open.
3) I believe there was a day in October-2008 when the Dow opened about 11%, (900 points or 80 S&P handles), higher on the open. Combine that with "20 times" leverage and things can get ugly very fast. :eek:
1. the dow opened down 3.7% on the day of the 1987 crash.
2. on sep 17 (the day after 9/11), the dow opened down 3.2% from sep 10th's close.
3. there was no such day.
Nice story
"One thing that the 1987 crash made very clear was that there was no real liquidity in the markets, when it was needed. Virtually all the fund managers tried to do the same thing at the same time: to sell short the stock index futures, in a futile attempt to hedge their stock positions.
They created a huge discount in the futures market, varying from 10 to $12,000 per contract, on a contract which only had a total value of $98,000 at the end of August, and $51,500 at the low point on Tuesday. The S&P futures contract went to a discount of nearly $20,000. The arbitrageurs who bought futures from them at a big discount, turned around and sold the underlying stocks, pushing the cash markets down, feeding the process and eventually driving the market into the ground."
cont on link..
http://www.monetary.org/1987 crash.html
"One thing that the 1987 crash made very clear was that there was no real liquidity in the markets, when it was needed. Virtually all the fund managers tried to do the same thing at the same time: to sell short the stock index futures, in a futile attempt to hedge their stock positions.
They created a huge discount in the futures market, varying from 10 to $12,000 per contract, on a contract which only had a total value of $98,000 at the end of August, and $51,500 at the low point on Tuesday. The S&P futures contract went to a discount of nearly $20,000. The arbitrageurs who bought futures from them at a big discount, turned around and sold the underlying stocks, pushing the cash markets down, feeding the process and eventually driving the market into the ground."
cont on link..
http://www.monetary.org/1987 crash.html
Quote from tomahawk:
Came across this thread from a while back and thought I'd offer a chart from Thursday's craziness. (Sorry about the lame scale.)
So just under 30 handles, I guess. As an MR-Trader, though, had I hard coded 5-sigma events into my system, I would have gotten walloped on Thursday. Instead, I had a bunch of small losers and a hedge through the VIX that let me survive.
I think this settles the idea in my head about setting up stops. The solution will always be to have a hedge, pay up the commission, and include the cost of the hedge in the strategy.
Quote from garchbrooks:
So just under 30 handles, I guess. As an MR-Trader, though, had I hard coded 5-sigma events into my system, I would have gotten walloped on Thursday. Instead, I had a bunch of small losers and a hedge through the VIX that let me survive.
I think this settles the idea in my head about setting up stops. The solution will always be to have a hedge, pay up the commission, and include the cost of the hedge in the strategy.
Yeah, looked like close to 25 handles from that chart. Here is a more detailed look on a 5k volume chart with 2pt grid lines. Obviously the time intervals on the x-axis are variable, but you can sort of piece together different 1-minute price moves selectively.
Attachments
In Nov 2008, When ES futures went one tic below 800 it was the biggest instant move I've seen. 10 handles in a microsecond.
here is one on a positive note. a single bar move on ES I remember, although this move went to the upside - 40 points in seconds, first post
http://www.elitetrader.com/vb/showthread.php?s=&threadid=113310&perpage=6&pagenumber=77
http://www.elitetrader.com/vb/showthread.php?s=&threadid=113310&perpage=6&pagenumber=77
7 minutes of 5/6/2010
Dropped > 50 points in 150 seconds on 15 price ticks Volume 225,847.
05-06 14:45:46.749 Shows Last Trade 1058.75
Rebound > 35 points in 150 seconds on 14 price ticks, Volume 147,053.
Time Stamp Ask Ask Size Bid Bid Size Last Tick Volume
05-06 14:42:30.596 1113.25 212 1113.00 144 1113.00 12136
05-06 14:42:43.174 1112.75 23 1112.50 149 1112.75 3560
05-06 14:42:55.221 1109.00 94 1108.75 60 1109.00 16312
05-06 14:43:07.893 1105.75 200 1105.50 132 1105.75 10988
05-06 14:43:20.127 1103.50 405 1103.25 245 1103.50 15941
05-06 14:43:33.361 1101.00 141 1100.75 100 1101.00 18552
05-06 14:43:48.220 1099.25 227 1099.00 1 1098.50 18839
05-06 14:44:01.782 1098.50 76 1098.25 121 1098.25 14527
05-06 14:44:25.751 1096.50 86 1096.25 109 1096.50 23198
05-06 14:44:37.516 1092.50 765 1092.25 42 1092.50 13833
05-06 14:44:52.516 1086.00 154 1085.75 89 1085.75 20915
05-06 14:45:05.500 1079.50 177 1079.25 17 1079.25 13234
05-06 14:45:24.203 1069.25 127 1068.75 387 1069.50 27087
05-06 14:45:36.609 1061.25 76 1060.00 39 1061.25 16725
05-06 14:45:36.875 1061.50 13 1061.25 81 1061.25 112
05-06 14:45:38.890 1065.75 7 1064.50 58 1064.50 1906
05-06 14:45:46.749 1061.25 48 1060.75 115 1058.75 10442
05-06 14:45:57.546 1070.75 110 1069.75 107 1070.75 13014
05-06 14:46:06.530 1067.25 7 1066.50 3 1063.50 10893
05-06 14:46:23.061 1069.25 77 1069.00 37 1069.50 11896
05-06 14:46:32.061 1074.75 57 1073.50 102 1073.25 8884
05-06 14:46:41.999 1072.75 16 1072.00 223 1072.25 11295
05-06 14:46:49.967 1074.25 159 1074.00 13 1074.25 5542
05-06 14:46:58.561 1073.50 114 1073.25 12 1073.25 10978
05-06 14:47:08.358 1072.25 547 1072.00 148 1072.00 5672
05-06 14:47:28.013 1074.25 95 1074.00 78 1074.25 13005
05-06 14:47:38.185 1075.25 124 1075.00 56 1074.50 7184
05-06 14:47:49.888 1078.50 134 1078.00 10 1078.25 6577
05-06 14:48:02.216 1086.50 66 1084.25 4 1086.50 15015
05-06 14:48:17.825 1092.50 2 1092.00 34 1092.50 16656
05-06 14:48:29.419 1092.75 53 1092.50 3 1092.75 10027
05-06 14:48:41.450 1091.50 1 1091.00 35 1091.25 12281
05-06 14:48:52.606 1092.25 244 1091.00 79 1090.75 8622
Dropped > 50 points in 150 seconds on 15 price ticks Volume 225,847.
05-06 14:45:46.749 Shows Last Trade 1058.75
Rebound > 35 points in 150 seconds on 14 price ticks, Volume 147,053.
Time Stamp Ask Ask Size Bid Bid Size Last Tick Volume
05-06 14:42:30.596 1113.25 212 1113.00 144 1113.00 12136
05-06 14:42:43.174 1112.75 23 1112.50 149 1112.75 3560
05-06 14:42:55.221 1109.00 94 1108.75 60 1109.00 16312
05-06 14:43:07.893 1105.75 200 1105.50 132 1105.75 10988
05-06 14:43:20.127 1103.50 405 1103.25 245 1103.50 15941
05-06 14:43:33.361 1101.00 141 1100.75 100 1101.00 18552
05-06 14:43:48.220 1099.25 227 1099.00 1 1098.50 18839
05-06 14:44:01.782 1098.50 76 1098.25 121 1098.25 14527
05-06 14:44:25.751 1096.50 86 1096.25 109 1096.50 23198
05-06 14:44:37.516 1092.50 765 1092.25 42 1092.50 13833
05-06 14:44:52.516 1086.00 154 1085.75 89 1085.75 20915
05-06 14:45:05.500 1079.50 177 1079.25 17 1079.25 13234
05-06 14:45:24.203 1069.25 127 1068.75 387 1069.50 27087
05-06 14:45:36.609 1061.25 76 1060.00 39 1061.25 16725
05-06 14:45:36.875 1061.50 13 1061.25 81 1061.25 112
05-06 14:45:38.890 1065.75 7 1064.50 58 1064.50 1906
05-06 14:45:46.749 1061.25 48 1060.75 115 1058.75 10442
05-06 14:45:57.546 1070.75 110 1069.75 107 1070.75 13014
05-06 14:46:06.530 1067.25 7 1066.50 3 1063.50 10893
05-06 14:46:23.061 1069.25 77 1069.00 37 1069.50 11896
05-06 14:46:32.061 1074.75 57 1073.50 102 1073.25 8884
05-06 14:46:41.999 1072.75 16 1072.00 223 1072.25 11295
05-06 14:46:49.967 1074.25 159 1074.00 13 1074.25 5542
05-06 14:46:58.561 1073.50 114 1073.25 12 1073.25 10978
05-06 14:47:08.358 1072.25 547 1072.00 148 1072.00 5672
05-06 14:47:28.013 1074.25 95 1074.00 78 1074.25 13005
05-06 14:47:38.185 1075.25 124 1075.00 56 1074.50 7184
05-06 14:47:49.888 1078.50 134 1078.00 10 1078.25 6577
05-06 14:48:02.216 1086.50 66 1084.25 4 1086.50 15015
05-06 14:48:17.825 1092.50 2 1092.00 34 1092.50 16656
05-06 14:48:29.419 1092.75 53 1092.50 3 1092.75 10027
05-06 14:48:41.450 1091.50 1 1091.00 35 1091.25 12281
05-06 14:48:52.606 1092.25 244 1091.00 79 1090.75 8622