An ETF like RSP won't always track the underlying index value exactly, especially in fast-moving markets. Units of an ETF are just like any other share - an im

An ETF like RSP won't always track the underlying index value exactly, especially in fast-moving markets. Units of an ETF are just like any other share - an imbalance of sellers over buyers will drive the price down. In an orderly market, that usually isn't a problem - market makers will typically be there ready to absorb market orders and smooth out temporary imbalances, and "authorised participants" can create/redeem units/shares in the ETF if the market price starts to deviate from the NAV (net asset value - the market value of the underlying assets in the fund). In a situation like we had yesterday morning, it's likely that market makers and authorised participants were staying out the market because it was moving too fast for them. In that sort of situation, if panic-sellers or forced sellers (e.g. due to margin calls) are placing market orders, an order book imbalance could easily develop, temporarily driving the price down to an unreasonable level before the market stabilises. Sudden drops trigger trading halts, where trading is suspended for ~5 minutes. Trading in RSP was halted ten times between 9:30 and 10:30am yesterday - it didn't actually trade continuously for more than 34 seconds during that time (you can see this on the chart you linked to - there are only 11 points in the big V on the chart, then it reverts back to one point every minute from 10:30 onwards. The same sort of thing happened during the Flash Crash in 2010.