What Happened on May 6th?
Extraordinary market action was witnessed in the stock markets on May 6, 2010. Within a few minutes, the Dow Jones Industrial Average (DJIA) had fallen by 1,010.14 points for the day, or approximately 9%, only to rebound as quickly. Several stocks including Proctor & Gamble, Accenture and 3M traded down sharply before rebounding.
This paper describes the situation with a focus on CME Group stock index futures markets. In particular, we focus on the safeguards that CME Group exchanges, including CME and CBOT, maintain in place with respect to the electronic trading of its various stock index futures contracts.