Research

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 [...]

Nanex ~ 16-Aug-2012 ~ Where is the Sub-penny Competition? Well this is unexpected. Chart 1 below shows total volume for stock trades by fraction of a penny. The top pink/red line represents total share volume for prices 1/100th of a cent from nearest whole cent. The cyan/blue line below that [...]

Nanex ~ 4-Feb-2015 ~ HFT Doesn't Harm Investors and Other Absurdities (note: this is an update to the original published 15-Aug-2012) From the 1990's through the end of 2006, electronic trading increased transparency which attracted liquidity, leading to narrower spreads and greater market stability. The graphic in this recent New York [...]

Updates to this Page Date Time (EDT) Update 03-Aug-2012 10:00pm The Knightmare Explained - why it took so long for them to detect the problem. 07-Aug-2012 11:15am We added 375 New Charts here. 08-Aug-2012 10:00am Video of a hot-list quote screen showing the Knight algo in action. 09-Aug-2012 18:30am Added table showing Impact [...]

Nanex ~ 26-Jul-2012 ~ Salami Slicing Sub-Penny Style A study of 41 billion trade reports since 2006 reveals a clear winner from retail price improvement. Hint: it's not the retail trader. Salami Slicing from Wikipedia: Salami slicing is a series of many minor actions, often performed by clandestine means, that together results [...]