Nanex ~ 25-Sep-2012 ~ DAX and Euro Stoxx Futures on Flash Crash This page is featured on Financial Times. A reader sent us tick data for DAX® Futures (FDAX - June 2010) and EURO STOXX 50® Index Futures (FESX - June 2010) for May 6, 2010, which was the day known [...]
Nanex ~ 25-Sep-2012 ~ Whac-A-Mole is Manipulation On September 25, 2012, FINRA issued a press release: FINRA Joins Exchanges and the SEC in Fining Hold Brothers More Than $5.9 Million for Manipulative Trading, Anti-Money Laundering, and Other Violations. One of the links in the press release gave information about a manipulative cross-market layering [...]
Nanex ~ 18-Sep-2012 ~ 15:46 Oil Driller Party On September 18, 2012, starting at about 15:46, about a dozen stocks suddenly rocketed 5% or more, only to return to earth seconds later. We sure are glad our regulator is all over this. 1. 2. 3. 4. 5. 6. 7. 8. [...]
Nanex ~ 17-Sep-2012 ~ Crude Oil Drops On September 17, 2012, starting at around 13:54, Crude Oil Futures dropped about 4% in about 1 minute. 1. The following stack of images shows 25 millisecond crude oil depth of book charts. Click Next to step through 1 second at a time. [...]
Nanex ~ 16-Sep-2012 ~ SEC Speaks "Nanex" On September 14, 2012, the financial story of the day was a press release from the SEC titled: SEC Charges New York Stock Exchange for Improper Distribution of Market Data. We were stunned, because for two years, we have published an abundance of incontrovertible [...]
Nanex ~ 14-Sep-2012 ~ Disturbing Liquidity On September 13, 2012, at 12:25:27, the December 2012 eMini contract experienced an evaporation of liquidity at such an alarming rate that it produced one of the most disturbing charts on market stability we have ever seen. Basically, about 80% of the orders resting [...]
Nanex ~ 14-Sep-2012 ~ Watershed Event! SEC Fines NYSE SEC Fines NYSE Today, a watershed event happened vindicating the research that Nanex and Themis Trading have been touting for years! "This marks the first-ever SEC financial penalty against an exchange." - SEC http://sec.gov/news/press/2012/2012-189.htm It all boils down to the diagram below, which [...]
Nanex ~ 31-Aug-2012 ~ SPY Intraday Volatility Since 2005, there were 3.9 billion quotes and 579 million trades in SPY (an ETF that tracks the S&P 500). One billion of those quotes affected the NBBO (National Best Bid and Ask) resulting in 44 million NBBO price changes. We then [...]
Nanex ~ 24-Aug-2012 ~ Flash Crash ISO Trades The ratio of ISO (Intermarket Sweep Order) Trades from NY-Arca on May 6, 2010 (the day of the flash crash) rose to unusual levels about 30 minutes before the crash. The chart below shows the ratio of ISO trades for 5 of [...]
Nanex ~ 23-Aug-2012 ~ Strike Three Executive Summary Analysis of sub-penny trade data doesn't support SEC's conclusions about internalizers as written in the final flash crash report. There is abundant evidence that internalizer software was acutely sensitive to the integrity of the consolidated feed and would switch off internal matching [...]