According to Easley et al. (2010), liquidity providers (traditional intermediaries and HFTs) suddenly exited the market on May 6 because they believed they were trading at a loss with better informed parties. The authors call this phenomenon “order flow toxicity”: order flow (that is, the buy and sell orders arriving in the market) is considered toxic when intermediaries providing liquidity trade at a loss with market participants who are more informed. Easley and coauthors develop a measure of toxicity suited to markets in which HFTs comprise a large fraction of the trading volume, and trading horizons are extremely short. This measure, which they label the Volume-Synchronized Probability of Informed Trading (VPIN), captures the degree of order flow toxicity by estimating the volume imbalance for any given period of trading activity. Volume imbalance is a proxy for toxicity since informed traders mostly trade on one side of the market only. By their calculations, the VPIN measured on the S&P 500 E-mini was unusually high the day of the flash crash, and reached its highest level ever at 2:30 p.m., just before the crash. Because of the high toxicity of the order flow, HFTs and traditional intermediaries left the market, causing the sharp contraction in liquidity and decline in prices.