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Strange Days July 14'th, 2011 - TLT

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On July 14, 2011 at 13:01:39, the ETF stock TLT rocketed from $96.63 to $97.90 and then dropped back down in less than 1 second. Notice how the bid/ask spread is a nice tight 1 penny wide right before the event. But almost instantly -- in a far shorter time than it takes the speed of light to travel a few miles -- the spread explodes to 25 cents or higher. Yes, the spreads are normally small, but not when there is any real trading going on. Any study or research paper that averages bid/ask spreads over any period of time, is probably based on fantasy more than fact.

In the first series of charts we scatter plot the bids, asks and trades from a single exchange.

TLT - iShares BARCLAYS 20+ Year Trust

In the next series of charts we plot trades and quotes from all exchanges.

Combined Price and Sizes:

Combined Price Only:


Publication Date: 07/14/2011

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