We're still working through this... but wanted to give a quick breakdown of the weird, apparently algo-driven trades that hit the tape and caused the sudden uptick in orders hitting more than 30 stocks.
Eric Scott Hunsader of Nanex shared this interesting trading tape with us on the Vanguard Utilities ETF, which traded similarly to many of the other equities.
At 9:59.02, a series of bids diverged substantially from the national best ask, pushing up prices.
However, by 9:59.04 trades re-converged.
At 9:59.21 bid orders once again diverged, this time at a sharper rate and pace than just twenty seconds earlier.
You'll notice in the chart below there are two lines of grey circles that move apart (representing individual trade orders) — with one remaining relatively unchanged.
However, by 9:59:42 the massive disruption began impacting all trades — likely driven by computer trading following the movement.