"The velocity of the decline, well, that was absurd. This is important if you want to get your head around why we were able to snap back so rapidly this afternoon," the "Mad Money" host said. "I think the velocity of the sell-off was directly related to some abstruse financial instruments that ended up putting a ton of additional pressure on the actual S&P ."
Cramer was specifically referring to the VelocityShares Daily Inverse VIX Short-Term exchange-traded note, or XIV, a small trading product that lets people short the VIX, the market's volatility index.
When the VIX started to rise on Monday, the XIV shorts started to unravel, leading to a tail-wags-the-dog effect that sent the broader market into a tailspin faster than expected, Cramer said.