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Table Of Contents

LIQUIDITY CRISIS IN THE E-MINI
LIQUIDITY CRISIS WITH RESPECT TO INDIVIDUAL STOCKS
LESSONS LEARNED
ABOUT THIS REPORT
I. TRADING IN BROAD MARKET INDICES ON MAY 6
I.3. A LOSS OF LIQUIDITY
I.3. AUTOMATED EXECUTION OF A LARGE SELL ORDER IN THE E-MINI22
I.5. CROSS-MARKET PROPAGATION
I.6. LIQUIDITY IN THE STOCKS OF THE S&P 500 INDEX
II. MARKET PARTICIPANTS AND THE WITHDRAWAL OF LIQUIDITY
II.1. OVERVIEW
II.2. MARKET PARTICIPANTS
II.2.a. GENERAL WITHDRAWAL OF LIQUIDITY
II.2.b. TRADITIONAL EQUITY AND ETF MARKET MAKERS
II.2.c. ETFs AND MAY 6
II.2.d. EQUITY-BASED HIGH FREQUENCY TRADERS
II.2.f. OPTIONS MARKET MAKERS
II.3. ANALYSIS OF BROKEN TRADES
II.3.a. STUB QUOTES
II.3.b. BROKEN TRADES
III.1. NYSE LIQUIDITY REPLENISHMENT POINTS
III.2. DECLARATIONS OF SELF-HELP AGAINST NYSE ARCA
III.2.a. OVERVIEW OF RULE 611 AND THE SELF-HELP EXCEPTION
III.2.b. EVALUATION OF SELF-HELP DECLARATIONS ON MAY 6
III.3. MARKET DATA ISSUES
IV. ANALYSIS OF ORDER BOOKS
IV.1. ANALYSIS OF CHANGES IN LIQUIDITY AND PRICE DECLINES
IV.2. DETAILED ORDER BOOK DATA FOR SELECTED SECURITIES
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SEC Report

SEC Report

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Published by: abcabcabcabcabc123 on Oct 01, 2010
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