S&P 500 Rockets Higher During One-Minute Futures Volume Frenzy

  • Almost 50,000 E-mini contracts changed hands around 1:21 p.m.
  • That minute saw five out of the day’s seven biggest trades

The mid-afternoon surge in U.S. stocks came as futures on the S&P 500 Index notched their highest single-minute volume of the day, with almost five times as many contracts changing hands than any other point on Wednesday.

Trading of E-mini S&P 500 futures surged around 1:21 p.m. in New York, according to data compiled by Bloomberg. Almost 50,000 December E-mini S&P 500 futures changed hands over 60 seconds, greater than any other minute of the day. Five out of the seven biggest trades in the contract since last night occurred within the minute.

“We observed a very large amount of e-mini futures trading right around that time, which was much more than we’d expect to see in the middle of the day,” Andrew Brenner, the head of international fixed income for National Alliance Capital Markets, said by phone. “It was a short squeeze of some kind, or an unwind of a derivative trade,” he said. “Obviously the market was unprepared for this, and you shot up probably 100 Dow points.”

  • Bloomberg data shows a number of large trades occurring at the same second just after 1:21 p.m. New York time, often a sign they are part of the same transaction. Baskets of contracts totaling 1,515, 1,369, 1,227, 1,197, 1,085, 851 and 739 crossed at 1:21:14, the data show.
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