ES Gaps, Slippage & Leverage

Hi,

What/when are the largest historical gaps and slippage in the ES? Both for Sunday night openings and during "flash crash" type of situations? I am trying to determine a reasonable amount of leverage that will avoid catastrophe in black swan type events if the market becomes disorderly like May 2010. I can't find data anywhere. Any insights or recollections from traders who have seen some of the faster moving markets would be a huge help. Thank you!

 

Flash crash ES dom

 

Anybody have dom recordings for the other few crazy moves the last few years?

Aug 24 2015
Brexit results 2016
Election results 2016

 

Thanks algofy!

As fast as that is, the market traded on the way down. It's hard to see slippage being so bad as to blow up an account with a 'reasonable' amount of leverage.

Did anyone try to sell out their longs into this market or the other couple fast movers listed above?

 

What would you count as a "reasonable" amount of "catastrophe"?

 

I'm trying to determine what is 'reasonable' leverage to avoid 'catastrophe'. For the sake of this conversation, let's define 'catastrophe' as loosing more than 50% of account value.

 

Here's a good view of the ES flash crash on a footprint chart:

 

Thanks Harami, That video is phenomenal! Very helpful. It looked like the largest slippage was that 2nd 'stop run' labelled by the video and was around 10 handles.

 

As long as you aren't trading really big size you shouldn't get slipped too bad...the bid/offer thins out and the market trades much faster than normal but usually the spread stays at 1-2 ticks even when it's crazy. On election night bid offer was 10-20 per levels on avg and it was moving 10 handles at a time but price was trading at every level. I don't think you would have got more than 10 handles of slip in any of these risk events...well maybe when the ES came off of 1st limit down on aug 24 you might have been screwed. I wasn't trading that day so I don't remember the action but I think it was pretty nasty.

 

That's helpful, algofy. Thank you. I can't tell you how many hours I've tried searching for this info.

During these events, have you seen brokers raise margin requirements without warning?

With the goal of mitigating systemic and brokerage risks, I'm ultimately trying to determine:
1. Number of ES contracts to portfolio value (ie leverage)
2. Cash to keep on hand at brokerage.
3. Cash to keep in FDIC insured account that can be sent to broker via ACH in 24hrs.

Thank you!