I missed the last hour of the trading day and was just wondering what happened right before the VIX went due north at 14:27 central time.
I see that the computers "discovered" a price where more "liquidity" could be made... I probably don't need to show what happened right after this flock of orders. Joe Sixpacks 1-10 contracts (or whatever) vs Juarassic Sparc's 300-1400 contracts. I'm filtering time and sales > 300 /ES contracts (~$1.2M notional, but market maker margined of course). I will acknowledge you are not getting to see the 1,5,10 size orders in between but I'm trying to make a point damnit! :) How many "humans" you think might have bought into that only to get SPARC'd by algo's as the /ES goes from 990 down to 982 by close of regular trading.
