The ES (e-mini S&P) dropped about 8 points in a few seconds at the close, then recovered. Is this due to the "rebalancing" that I hear the leveraged ETF's have to do every day?
The cash SPX did not make that move down. Might have had something to do with EOM futures options or could have been a fat finger. Unless the perps confess it is difficult to know exactly what happened.
OP talks about 2/29 close and it did drop 8 points in one second. Here are some charts from Nanex: http://www.zerohedge.com/news/forensic-analysis-yesterdays-market-close-mini-flash-crash
Ahhh...I thought he was talking about 3/01 because I saw the first reply as dated 3/01. As for the prior trading day, must have freaked some folks that were closing or opening positions.
I wish I could trade ahead of the quotes, it would be so much easier.. http://www.nanex.net/Research/RegNMSRecinded/RegNMSRecinded.html