Nanex ~ 21-Mar-2013 ~ Boom Boom Goes Natural Gas
1. May 2013 NG Futures - showing depth of book.
Depth of book collapses as 10:30 nears (middle panel), meaning a small number of trades can cause great mayhem.
2. May 2013 NG Futures - showing trades (squares) and quote spread (pink).
EIA news is released at 10:30. Market starts moving 7 seconds earlier.
3. UNG Showing trades color coded by exchange.
4. UGAZ Showing trades color coded by exchange. The gray shading is the NBBO
(National Best Bid/Offer).
Same story in the ETF - movement starts 7 seconds before news release.
5. UGAZ Showing quotes color coded by exchange.
Averaging 166 quotes (orders) for every trade. And look how wild the quote prices are.
6. UGAZ Showing quotes color coded by exchange - zoomed out view of chart 4.