At 15:45:31 on a quiet Friday afternoon in August, someone decided that they needed to buy 7,000 e-mini contracts (or $582 million notional of equity exposure). By the end of that minute, 23,679 contracts had traded as 'someone' needed $2 billion notional expsoure to the S&P 500 as it traded up to its highs of the day (and didn't care about phishing the entire order book). What is perhaps just as intriguing is the patterns seen in the options complex as VIX futures and ETFs were the first to crack as 330RAMPCAPITAL LLC stepped in, and then again as the mystery TWO-BILLION-BUYER came to play at 345ET. All of which makes perfect sense to any rational human asset manager or trader who cares not one bit about best execution, fiduciary duty, or simply whether they win or lose... Here is the very visible hand in all its glory...
VIX ETF and futures were the first to move (but as the chart below shows, S&P futures didn't initially play along)... and then at 1545ET...
a close-up of the WTF moment - 7,000 e-minis in 1 second at 14:45:31 (h/t @Nanex) and 23,679 in that minute... that is ~$2 billion notional that someone just decided needed to hedged!!??
Charts: Bloomberg