Nanex Research


Nanex ~ 31-Jan-2013 ~ Natural Gas News Leak

On January 31, 2013, approximately 400 milliseconds before the official release of the EIA Natural Gas Report, trading activity exploded in Natural Gas Futures and ETFs such as UGZ, UNG and BOIL. Now that the Feds have stated (as claimed by a recent WSJ article) that they don't think there is merit in prosecuting people who get news information earlier than others by milliseconds, is it any wonder?

The data for the UNG charts below is from CQS (consolidated quote system) and is plotted with official exchange timestamps. Data for Natural Gas futures is from the CME.

It is worth pointing out that the EIA Natural Gas Report comes out weekly (every Thursday at 10:30) and the market reacts within a few milliseconds. This is because the report centers on one number which makes it easy for machines to process and take action.

1. UNG showing trades color coded by exchange between 10:29:59 and 10:30:04.
This resolution clearly shows trading activity starting about 400 milliseconds before the official news release time of 10:30. Note the spike at 10:30 - which is when everyone else received the information.

1a. UNG One week later (07-Feb-2013). This time, trading activity starts about 9 seconds before the official release time.
Note the chart resolution below is 20 times lower (100ms vs 5ms per pixel).

2. Natural Gas Futures - March 2013 (NG.H13) showing trades and depth of book.
Click for animation of this chart.

3. Natural Gas Futures - March 2013 (NG.H13) showing trades and depth of book.


4. Natural Gas Futures - March 2013 (NG.H13) showing trades and depth of book.


5. UNG showing trades color coded by exchange between 10:18 and 10:36.


6. UNG showing trades color coded by exchange between 10:29:48 and 10:30:15.



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