During just 1 second of time at 9:42:00, the following high trade counts popped up on
our monitors (approximately):
550,000 SPY shares
10,000 June 2013 eMini futures contracts
10,000 10yr T-Note futures contracts
5,000 Eurodollar futures contracts
3,500 T-Bond futures contracts
2,500 5yr T-Note futures contracts
1,400 Nasdaq 100 futures contracts
900 Dollar Index futures contracts
800 Gold futures contracts
800 Dow Jones futures contracts
750 Japanese Yen futures contracts
600 Euro futures contracts
350 Russell 2000 futures contracts
300 Crude Oil futures contracts
125 S&P 400 Midcap futures contracts
Trading in SPY and ES Futures both began
at 9:42:00.002. Since SPY is traded in NYC and ES Futures
are traded in Chicago - both separated by about 5 milliseconds due to the speed of light, this news release was carefully timed to be delivered simultaneously
in NYC and Chicago.
Video showing trade and quote activity in SPY during the first 100 milliseconds of the news release.
1. SPY Trades color coded by exchange and NBBO. Chart shows just 125 milliseconds of time.
The trading explosion started at 9:42:00.002 and was pretty much over within 25 milliseconds.
The move was actually much faster, but exchange networks saturated from all the trade
and quote traffic. 2. June 2013 ES Futures showing trades and quote spread. Compare to chart 1
above. 3. SPY Trades color coded by exchange. Zooming out, showing about 18 minutes
of time. 4. June 2013 eMini Futures Depth of Book. 5. Trades from about 8000 NMS stocks between 9:41:47 and 9:42:14. 6. Trades from about 8000 NMS stocks between 9:41:47 and 9:42:14 - Zoom of Chart 5. Nanex Research