Nanex Research

Nanex ~ 31-Aug-2012 ~ Whac-A-Mole in SPY

Whac-a-mole in SPY at the close on August 31, 2012. About as much trading data (quotes and trades) that would fit in 2 seconds of pipe, was blasted through the exchange networks in the last millisecond of the day. We estimate about $1 billion of SPY and 75,000 eMini contracts traded. The wild oscillations that are shown on the chart between 16:00:00 and 16:00:02 actually happened in the last millisecond of the trading session. Why the trades oscillate like that, we'll never know, but it has the strong odor of manipulation. And this event has happened before.

Charts below show the bid/ask spread (shaded) and trades (dots) color coded by exchange. For clarity, not all charts show all exchanges.

1. Dear 

2. SEC

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8. we

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18. Here you can see the stellar progress being made on past events by our dear leader.

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