Ok, I suspect this is my own doing. As background, I recently redid whole front suspension, rebuilt calipers, bearings, etc.

Anyhow, was still getting some clunk type noise from front. Started to think it could be brake related but, before I checked.

Driving down highway and heard a bang. Few more miles I get off the exit and hear noise from right front, sounds like scraping or really bad bearing. Slow down and same wheel locks up. Get to parking lot, wheel lock comes and goes. Jack her up, wheel spins. Remove tire. Yikes! Looks like caliper has rubbed hard against rotor, even melting caliper metal.

had car towed home. Have not looked at it yet but am thinking that maybe I did not properly secure caliper pin / bolt. Any other theories?

 

In that second picture, it looks like the 2nd (lower) caliper bolt is missing. I see the raised area that the bolt is supposed to seat on/in just peeking out, but no bolt head.

 

The bolts are a heavy torque setting - it looks like the lower one bust as Sam spotted, and rotated the caliper on braking - they're years old bolts that could've had high torque half a dozen times.
To give piece of mind just replace them all with 8.8 or higher bolts and torque to 180Nm.

 

All back together.

Indeed, the lower bolt was gone, missing, vanished, disappeared, etc.

I realized when I removed all of them that my stupid mistake was probably putting anti-seize on the bolts. Got new bolts from the dealer today (grade 12), this time they got some lock-tight blue and proper torque.

Fortunately, no damage to myself or the car. A lucky lesson learned.

 

Blue loctite is not a bad idea. I'm always worried about properly torquing down these bolts, since they're in such an awkward position. I'll be reinstalling both my rear calipers today (have them off to replace a rear wheel bearing and parking brake hardware) and they'll both get loctite now.

 

I have used anti-seized on my bolts, have no bolt came off yet, but I have one time when put the the wheels back after the work done, I hurry to test drive, when get on the high way I felt some things not right at the front end, then I remember didn't tighten the lug nuts when lowed the car down, drive slowly back home, surely all the front wheel lug nuts were loosen, lucky the wheel not came off on the high way. So in your situation, I think while tighten the bolts you might forgot to tight that bolt.