I'm trying to work out some disaster scenarios for futures markets. In particular the share price indexes.
Is anyone aware of stories about what happened with the futures markets on 9/11 and with the 87 and tech crashes? The most thinly traded market I'm in currently would be the SPI.
I have been told that even on 9/11, slippage in the SPI market would only be 10-15 points past your stop (on a much bigger market fall).