Nanex Research

Nanex ~ 20-Feb-2013 ~ Crude Oil Halt

On February 20, 2013 at 11:01:36, the April 2013 crude oil futures contract was hit with over 2500 contracts within 2 seconds sending prices sharply lower. Oddly enough, 12 seconds later, all CME oil futures contracts halted for 10 seconds. Because the circuit breaker tripped after the market had somewhat stabilized, we think another large sale appeared that would have decimated prices - which CME's circuit breaker logic picked up on, causing the halt. This large ghost sale must have been canceled before the 10 second halt ended. Another explanation is a software bug in CME's circuit breaker code, which we doubt because they have had great success with their circuit breaker logic. Finally, this could just be from an overload at the exchange, though the exact 10 second gap is troubling.

Update: CME is saying there was no circuit breaker tripped. Which means we now have a mystery on our hands. Here's what we do know:

1. CL.J13 Futures depth of book and volume.

Nanex Research