My reading of the SEC/CFTC report is pretty much the opposite of "absolved", though they consider HFTs only one factor magnifying the spike, rather than the initial cause (i.e., consider HFTs a volatility-increasing factor).
From the report's punchline:
The combined selling pressure from the Sell Algorithm, HFTs and other traders drove the price of the E-Mini down approximately 3% in just four minutes from the beginning of 2:41 p.m. through the end of 2:44 p.m. ... HFTs began to quickly buy and then resell contracts to each other – generating a “hot-potato” volume effect as the same positions were rapidly passed back and forth. Between 2:45:13 and 2:45:27, HFTs traded over 27,000 contracts, which accounted for about 49 percent of the total trading volume, while buying only about 200 additional contracts net.
HFTs don't like to hold stuff at the end of the day. Or hour, nay second. Further, HFTs that stayed in (some were obligated by their market-maker contracts with major exchanges to do so) helped the recovery back up.
Comments
My reading of the SEC/CFTC report is pretty much the opposite of "absolved", though they consider HFTs only one factor magnifying the spike, rather than the initial cause (i.e., consider HFTs a volatility-increasing factor).
From the report's punchline:
The combined selling pressure from the Sell Algorithm, HFTs and other traders drove the price of the E-Mini down approximately 3% in just four minutes from the beginning of 2:41 p.m. through the end of 2:44 p.m. ... HFTs began to quickly buy and then resell contracts to each other – generating a “hot-potato” volume effect as the same positions were rapidly passed back and forth. Between 2:45:13 and 2:45:27, HFTs traded over 27,000 contracts, which accounted for about 49 percent of the total trading volume, while buying only about 200 additional contracts net.
Well, I came away with the opposite conclusion.
HFTs don't like to hold stuff at the end of the day. Or hour, nay second. Further, HFTs that stayed in (some were obligated by their market-maker contracts with major exchanges to do so) helped the recovery back up.
They were just providing liquidity. Chill out.