What if a mega-cap stock gaps down 20% in a liquidity vacuum?
A mega-cap gapping 20% on a liquidity vacuum drags index ETFs and forces dealer gamma hedging, amplifying the move mechanically across the tape. Rhymes with the 2010 flash crash and single-name air pockets like Meta's -26% Feb-2022 day, where dealer hedging and ETF arbitrage spread the shock. Skeptic's note: the systemic read is overstated — it's a gamma/liquidity event that stabilizes once market makers re-tighten; trade the vol spike and the snap-back, not a regime change.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 0–6 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A mega-cap stock gaps down 20% intraday on a liquidity vacuum as market makers widen, dragging index ETFs and gamma hedges with it. The trigger decomposes into signed root‑shocks — Volatility (VIX) ▲ · Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.