The large trader sold 75,000 E-Mini S&P 500 contracts in the SEC-CFTC account of the 2010 flash crash. The report identified the trader as Waddell & Reed Financial, which used the sell program to hedge an existing equity position.
The program began at about 2:32 p.m. on May 6, 2010, amid unusually high volatility and thinning liquidity. The contracts were valued at approximately $4.1 billion. Rather than targeting a particular price or completing the trade within a fixed period, the algorithm was set to execute at 9% of the previous minute’s trading volume.
The 75,000 contracts were not, by themselves, described as the entire cause of the crash. Regulators said the selling interacted with high-frequency traders, who rapidly bought and resold contracts before reducing their activity. That “hot-potato” effect pushed the E-Mini price down about 3% in four minutes and helped transmit stress into the stock market.