It seems to me, what NYSE guilty to one degree or another for yesterday's collapse.
Let's say there was still a big seller for 16bn in futures yesterday. What does this volume lead to?? Of course, a large seller will lead to, that there will be a programmed sell signal on the arbitrage strategy SPX spot and futures, when arbitrage robots will sell shares in a basket in 500 Shares. It turned out to be such a discount on futures before stocks, that it seems that all robots of large houses simultaneously launched sell programs for shares, and each house has its own limits and thresholds for the volume of positions. Usually, this delta between spot and futures does not fluctuate so much., so that the programs run in such a cascade. The program can work for a short time and immediately lies, since delta immediately reverts to fair value. FAir value(premium), by the way, there is a difference between spot and futures.
Such arbitration transactions used to be up to 50% on the NYSE and basically everything goes well. What happened this time.!? Yes, big size of futures came, Yes- program selling went ,and the NYSE, seeing such a situation and not finding the necessary liquidity on bids, decided to slow down trading for 1.5 minutes and therefore the whole blow fell on the electronic markets, where liquidity is usually not always available. and then there is the additional load due to the NYSE shutdown.!!!!
NYSE then declares , that supposedly how important it is to have an auction market, they say the electronic market is to blame due to the lack of a human factor. So if they hadn't passed out, then there was no such fall. Disable liquidity pool , then, of course, another exchange will not cope. If you look at the list of canceled trades, then they are mainly on the NYSE exchange. Because the , when they went offline on other exchanges, the price was trading at zero( conditionally) .
media.globenewswire.com/cache/6948/file/8211.htm
In this way , these are echoes of the NYSE's long-standing war & NASDAQ.
In general, I am in favor of the consolidation of exchanges by asset type. There is no need to have multiple exchanges in one country, trading the same instrument. Create fragmentation, arbitration and technical issues.
And so, in principle, the fall should have happened and it happened. As always, there are external factors, which create a domino effect. If it's too sunny, then something is sure to happen. The market does not forgive complacency!!!!
