The Fear Index

he held a cigarette lighter. ‘Go,’ he repeated, and there was such desperation in his voice that Gabrielle began to back away.
    On CNBC the commentator said: ‘ This is capitulation really, this is classic capitulation; there is fear in this market – take a look at the VIX, absolutely exploding today …’
    Quarry at the trading screen could barely credit what he was seeing. In seconds the Dow had slipped from minus 800 to minus 900. The VIX was up by forty per cent – dear sweet Christ, that was close on a half-billion-dollar profit he was looking at right there on that one position. Already VIXAL was exercising its options on the shorted stocks, picking them up at insanely low prices – P&G, Accenture, Wynn Resorts, Exelon, 3-M …
    The hysterical voice from the Chicago pit continued to rant, a sob in his throat: ‘… seventy-five even offer here right now, guys, seventy even bid and here comes Morgan Stanley to sell …’
    Quarry heard a wumph! and saw Hoffmann with fire coming out of his fingers. Not now, he thought, don’t do it yet – not till VIXAL has finished its trades. Beside him Gabrielle screamed, ‘Alex!’ Quarry flung himself towards the door. The fire left Hoffmann’s hand, seemed to dance in the air for an instant, and then expanded into a brilliant bursting star.

    THE SECOND AND decisive liquidity crisis of the seven-minute ‘flash crash’ had begun just as Hoffmann dropped the empty jerry can, at 8.45 p.m. Geneva time. All over the world investors were watching their screens and either ceasing to trade or selling up altogether. In the words of the official report: ‘Because prices simultaneously fell across many types of securities, they feared the occurrence of a cataclysmic event of which they were not aware, and which their systems were not designed to handle … A significant number withdrew completely from the markets.’
    In the space of fifteen seconds, starting at 8:45:13, high-speed algorithmic programs traded 27,000 E-mini contracts – forty-nine per cent of the overall volume – but only two hundred of these were actually sold: it was all just a game of hot potatoes; there were no real buyers. Liquidity fell to one per cent of its earlier level. At 8:45:27, in the space of 500 milliseconds, as Hoffmann clicked his cigarette lighter, successive sellers piled into the market and the price of the E-mini fell from 1070 to 1062, to 1059 and finally to 1056, at which point the dramatic volatility automatically triggered what is called ‘a CME Globex Stop Price Logic event’: a five-second freeze on all trading on the Chicago S&P Futures exchange, to allow liquidity to come into the market. The Dow was down by just under a thousand points.

    TIME-CODED RECORDINGS of the open channels of the police radios establish that at precisely the moment the Chicago market froze – 8:45:28 p.m. – an explosion was heard inside the processing facility. Leclerc was running towards the building, lagging behind the gendarmes, when the bang stopped him dead and he crouched down, his arms clasped over his head – an undignified posture for a senior police officer, he reflected afterwards, but there it was. Some of the younger men, with a fearlessness born of inexperience, never paused, and by the time Leclerc was back on his feet they were already running back from around the corner of the building, hauling Gabrielle and Quarry along with them.
    Leclerc shouted, ‘Where’s Hoffmann?’
    From the building came a roaring sound.

    FEAR OF THE intruder in the night. Fear of assault and violation. Fear of illness. Fear of madness. Fear of loneliness. Fear of being trapped in a burning building …
    The cameras record dispassionately, scientifically, Hoffmann as he recovers consciousness in the large central room. The screens are all blown out. The motherboards are dead, VIXAL extinct. There is no sound except the noise of the flames moving from room to room as they take hold of the wooden partitions, the false floors and ceilings, the kilometres of plastic cable, the plastic components of the CPUs.
    Hoffmann gets up on all fours, rises to his knees then lumbers to his feet. He stands swaying. He wrenches off his jacket and holds it in front of him for protection, then runs into the inferno of the fibre-optic room, past the smouldering and stationary robots, through the darkened CPU farm and into the loading bay. He sees the steel shutter is down. How has that happened? He hits the