... on their withdrawal from the markets and the consequent evaporation of liquidity. The third section studies additional factors that may have had a role in the events of the day. Finally, the ... $55,000 in notional value for one E-Mini contract, and $110 for one share of SPY. • The number of outstanding E-Mini contracts is not fixed and there is no limit on how many contracts can be ... This section is based in part on a paper by Kirilenko, Kyle, Samadi, and Tuzun (2010). 23 For the purpose of this report the term “market maker,” when used only in the context of the E-Mini,...