07-08-2010: We have added new data and information regarding the Flash Crash. In order to keep our report in-tact as originally published, please CLICK HERE for all new Flash Crash related information from Nanex.



On the afternoon of May 6, 2010 the Dow Jones Industrial Average (DJIA) dropped approximately 600 points (5.7%), and then quickly recovered. Other Major Market Indexes dropped by similar amounts. We have read numerous articles attempting to explain this event including the SEC report "Preliminary Findings Regarding the Market Events of May 6, 2010" dated May 18, 2010. Our report assumes the reader is familiar with the SEC report.



Our business is supplying a real-time data feed comprising trade and quote data for all US equity, option, and futures exchanges. We have archived this data since 2004 and have created and used numerous tools to help us sift through the enormous dataset: approximately 2.5 trillion quotes and trades as of June 2010. May 6th, had approximately 7.6 billion trade, quote, level 2, and depth records.



We generated over 4,500 datasets and over 1,200 charts before uncovering what we believe precipitated the swift 600 point drop beginning at 14:42:46 and ending at 14:47:02. The following are the results of our findings.