Nanex ~ 18-May-2012 ~ Facebook Fallout
During the FaceBook's failed IPO pre-opening
period and extending through the first 20 minutes or so of trading (11:00 through 11:50 Eastern),
bad prices (spikes) appeared in other stocks such as AAPL, SPY, VXX, NFLX, INTU, and QCOM (see list below).
Price spikes also occurred in Facebook during this time(see Chart 4 on this page). There are likely other stocks that were affected. In nearly all of these cases the price spikes were executing against quotes that were far outside the NBBO and most of these trades occurred on the CBOE, and a few on Chicago and AMEX. Fortunately, by chance, the prices were not wide enough to trigger circuit breakers in these stocks. A similar
thing happened during BATS failed IPO in AAPL
and other stocks.
List of Symbols found (so far) with price spikes related to Facebook IPO:
We think these bad price executions are related to whatever issues Nasdaq was having in Facebook and probably are from errors in routing software. We found one clue in
VXX (see charts 6 & 7 below): Nasdaq was the best bid/offer much less frequently
during the occurrence of a price spike in VXX. It is somewhat discomforting to see just how fragile our extremely complex markets are, especially given how quickly things can deteriorate. More disturbing, none of the bad trades appear to have been canceled. Apparently, a few investors were stuck with pretty awful fills, caused by the disastrous
IPO of an unrelated stock
Chart 1. AAPL 1 minute intervals
Chart 2. NFLX 1 minute intervals
Chart 3. QCOM 1 minute intervals
Chart 4. QLD 1 minute intervals
Chart 5. UST 1 minute intervals
All charts below show trades color coded by exchange.
Chart 6. VXX 1 second intervals
Chart 7. VXX 2 second intervals
Note that the frequency of Nasdaq being the best bid or offer drops off right
before Facebooks opening (11:30) up to about 11:39.
Chart 7. AAPL 5 second intervals
Chart 8. SPY 1 second intervals
Chart 9. FaceBook (FB) 1 second intervals
Chart 10. NFLX 1 second intervals
Chart 11. ZNGA 1 second intervals
Chart 12. PDCO 1 second intervals
Chart 13. XBI 1 second intervals
Chart 14. PHA 1 second intervals
Chart 15. RFG 1 second intervals