Exposing The “Mystery” Of Last Week’s “Massive” E-Mini Trade

Last Wednesday we reported that between 13:21:14 and 13:21:15 ET, an interval of less than two seconds, something snapped in the market, as both E-mini futures…

… and the SPY ETF exploded in volume and surged higher, as the S&P took out all time highs. 

We further showed, that in those few seconds 2 million SPY shares went through (around $450 million)… 

… and 32,000 e-mini contracts (around $3.5 billion notional) screamed through the markets. 

As Nanex noted at the time, “a record, monster tsunami of 16,000 S&P futures contracts at once through 3 handles!” The block trade promptly soaked up half the available liquidity in the E-mini… 

… and as Eric Hunsader put the move in context, in May 2010, Waddell and Reed sold 75,000 over 20 minutes, “and the first ~35,000 supposedly caused the flash crash (wink).”

This time, however, there was no danger of a flash crash – after all, the trade was a “buy”, and set the stage for not just Wednesday’s furious meltup, but for similar moves on Thursday and Friday.

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Today, nearly a week later, the WSJ has given this record trade a second look in “Unraveling the Mystery of Last Week’s Massive E-mini Futures Trade“, and summarizes what our readers already knew, namely that “$1.8 billion futures trade that fueled buying in the U.S. stock market on Wednesday was the biggest transaction of its kind all year, according to new analysis, and comparable in size to the “fat finger” trade said to have set off the May 2010 “flash crash.”

The WSJ cites an analysis by MayStreet LLC, according to which an unknown buyer on Dec. 7 purchased around 16,000 E-mini S&P 500 futures contracts at 1:21 p.m. New York time.