Nanex ~ 18-Oct-2012 ~ Good to Ugly in Minutes
On October 18, 2012, Google (GOOG dropped precipitously, and the whole market went from
good to ugly in minutes.
1. # Contracts in eMini Depth of Book. An excellent measure of liquidity, plummeted.
2. Quotes/Trade, a measure of fake orders, exploded. Red line is today.
3. Percentage of Stocks with NBBO Spreads greater than 2 through 25 cents.
how tight spreads are across entire market. Higher values indicate wider spreads.
Note how spreads suddenly widen in over 15% of NMS Symnbols.