[chasingsparks]

I don't see how the order could even be placed. An emini contract has a 50x multiplier for SPY. That's about 50,000 per contract; that's a lot of contracts. I don't think such an order could be entered without error at Citi's desk and it would damn sure never pass checks at the exchange. Even if it was not flagged as odd, they would still be required to have on hand around 1.6 billion in collateral at very high leverage.

[eatmyshorts]

Of course, a brokerage like Citi will run most of their trades larger than 1000 lots through their program trading, which splits the order into lots of smaller trades of 100-200. I agree that it sure sounds suspicious, but I seriously doubt the exchanges saw a single bid for 1.6b shares of the e-mini.