In Chicago, extraordinarily sharp declines in index futures prices began. Brokers acting for external customers, notably for portfolio insurers, had to implement large "sell orders." As they did, index futures prices plunged far below the theoretical values implied by the levels of the index. … Normally, if the futures price fell substantially below its theoretical value, the discrepancy would be corrected by index arbitrage. However, the trading disruptions in New York broke the link that arbitrage established between the stock and futures markets.

Donald MacKenzie, An Engine, Not a Camera, loc. 822