Nanex Research

Nanex ~ 18-Jun-2014 ~ Flash Crash Short Sales

This is a supplemental update to (a must read report): Reexamining HFT's Role in The Flash Crash.

Charts below use short sale data (Reg SHO) for trades executed on the day of the flash crash.

1. There were large short sales in QQQQ during the hour preceding the crash. This is the Nasdaq 100 ETF  (the symbol later changed to QQQ).
Each circle represents one second of short sale volume in QQQQ, sized by the number of shares in that second.

2. Another view of the data in Chart 1 above, but includes a histogram (blue) showing the total dollar value of short sales in QQQQ for each second.
Many seconds show $25 million or more of QQQQ shorted, with two seconds showing over $100 million. Most of these occur shortly before, but not during the time the Waddell & Reed Algo was active (14:32 - 14:53).

3. SPY also had many seconds with high short sales, but not as stark as QQQQ.

4. Total value of short sales each second for NMS stocks between 14:30 and 14:52 along with prices for the eMini (ES) futures contract for reference. 
Note that 14:42:44 stands out as one of the peak seconds - a point we previously identified as the very beginning of the flash crash.

Nanex Research