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
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.
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.
Garch, was just curious about your hedge ... OTM VIX calls? How many contracts per ES contract? ... TIA
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
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