An Xmas port scan is variant of TCP port scan. This type of scan tries to obtain information about the state of a target port by sending a packet which has multiple TCP flags set to 1 - "lit as an Xmas tree". The flags set for Xmas scan are FIN, URG and PSH. The purpose is to confuse and bypass simple firewalls. Some stateless firewalls only check against security policy those packets which have the SYN flag set (that is, packets that initiate connection according to the standards). Since Xmas scan packets are different, they can pass through these simple systems and reach the target host.
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