Diary of a Financier

Did Anyone Catch SPY Intraday Crash Yesterday?

In Capital Markets on Wed 12 Jan 2011 at 09:26
  • S&P 500 plummeted intraday yesterday.
  • Cause unknown, and nobody seems to have noticed.

It took ten minutes between 13:04-13:14 EST on 1/12/11 for SPY to plummet 0.42% yesterday:

SPY plummet 1/11/2011

The S&P 500 proper dropped 4.95 points over that span, and by 14:09 EST, the index was off a total of 7.39 points or 0.58% v. 0.60% in SPY.  Notice that the Fed’s “plunge protection team” kicked into overdrive, clawing back into the black by the close of trading.

What happened?  Everyone here noticed the afternoon dip into the red, but nobody noticed the immediate nature of it.  A volume spike in SPY substantiated the drop too.  I can tell you: this isn’t normal activity.

Over at The Big Picture, Kid Dynamite took a stab at a cause:

Beyond that, I can’t find anything attributable.  Odd.

–Romeo (hat-tip Barry Ritholtz)



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