A big exclusive for Reuters, which on Friday afternoon revealed the identity of the mystery trader CFTC chairman Gary Gensler said placed a disproportionately large sell order in CME e-mini S&P futures around the time of Thursday’s ‘flash crash’.
And it was not a high frequency trader or a hedge fund, but a money manager called Waddell & Reed Financial.
From Reuters:
Waddell sold on May 6 a large order of e-mini contracts during a 20-minute span in which U.S. equity markets plunged, briefly wiping out nearly $1 trillion in market capital, the internal document from CME Group Inc said. Regulators and exchange officials quickly focused on Waddell’s sale of 75,000 e-mini contracts, which the document said “superficially appeared to be anomalous activity.”
And they emphasise that:
Gensler said there was no suggestion that the trader, who he did not identify, did anything wrong in only entering orders to sell. Gensler said data shows that the trades appeared to be a bona fide hedging strategy.
Reuters sources the exclusive to an internal CME document which also named Goldman Sachs, Interactive Brokers, JPMorgan Chase and Citadel Group as active traders in the e-minis contract on the day. The document also named high frequency trader Jump Trading.
The 20-minute plunge in US equity markets on Thursday May 6 wiped out nearly $1,000 bn in market capital.
A joint SEC-CFTC inquiry has been launched to investigate the factors that led to the sell-off.
Related links:
CSI:Chicago -FT Alphaville
Did futures cause the ‘flash crash’? - FT Alphaville
ETFs and the ‘flash crash’ – FT Alphaville
Thursday’s crash might really have been a Black Swan event – FT Alphaville