Nanex Research

Nanex ~ 11-Dec-2012 ~ eMini Fake Outs

Starting around noon (EST) on December 10, 2012, we've noticed more gaming going on in the eMini depth of book. Specifically, large orders that appear and disappear. The images below capture some of these periods with our depth of book charting tool. The last sale price is the white vertical lines. Above the last sale are 10 levels of offer depth, and below are 10 levels of bid depth. The depth levels are color coded by how much relative order size exists at any given second: red means the most order size, dark blue means the least. The red squares you see below are sudden increases in the offer size at levels away from the last sale - which disappear seconds later.

We are surprised to see these fake orders because one week ago the CFTC filed a complaint for similar (and lower impact) manipulation in Wheat futures. We sure hope the CFTC is monitoring this.

1. December 11, 2012

2. December 10, 2012

3. December 10, 2012 at 13:22

4. December 10, 2012 at 15:03

Nanex Research