Nightmare On Wall Street is used to signify the date, which commenced the Global Financial Crisis of 2008. It is generally accepted as being 15th September, 2008.
On this date, 'Lehman Brothers' filed for bankruptcy and the Dow Jones Industrial Average ("the Dow") lost in excess of 504 points.
Dave: Hey man, do you know what you were doing, during the Nightmare On Wall Street?
Mike: Yeah, I was studying for exams. That was one crazy Monday!