Nanex Research

Nanex ~ 28-Jun-2013 ~ Chicago PMI and Michigan Consumer Sentiment

At 9:42:00, the Chicago PMI is released to premium subscribers (most are large high frequency traders). From the chart below, you can see the market reacts immediately when this number is released. However, the reaction is usually, much, much stronger.

1. Trades from about 8000 NMS stocks between 9:41:35 and 9:42:30.

At 9:54:58, the Michigan Consumer Sentiment is released to premium subscribers. Here's what usually happens. This time, as the chart shows below, there was practically no reaction.

2. Trades from about 8000 NMS stocks between 9:54:31 and 9:42:27.
There is almost always an explosion of activity at 9:54:58 - but not this time.

3. SPY trades color coded by reporting exchange and NBBO (gray shading). Showing 1 second of time.
You can just make out activity at the expected time. 

4. SPY Zooming in to about 150 milliseconds of time.
A whopping 3,000 shares at 9:54:58.001! 

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