Nanex Research

Nanex ~ 10-Jul-2013 ~ HFT Causing High Volatility in AAPL

On July 10, 2013 starting at 10:39:20 in the stock of Apple Computer Corp (symbol AAPL, market cap: $394 Billion) a High Frequency Trader (HFT) turned on their spoofing algorithm, and started stealing from anyone buying or selling Apple's stock. The chart below shows the National Best Bid/Offer (NBBO) changing from "normal" to bizarre. The red shading is where it crosses (bid > ask) and yellow shows where it locks (bid = ask). 

Update: July 12, 2013

Were options involved? When scanning for unusual activity during the 10:39 time period, only one thing stood out among the 1.1 million symbols we monitor: unusually high quoting and trading activity in Apple options. In fact, there was more activity in Apple options during the time the HFT algo ran (10:39 - 10:40) than during the FOMC news release at 14:00. That is shocking.

Instances of high option trade or NBBO quote counts in Apple Options.
Left chart shows entire day, right chart zooms in on the 10:39 period of time. It's important to note that there was a FOMC news release at 14:00 - which shows up on the left chart. There was far more activity when this HFT algo ran than during the FOMC release - one of the most volatile times in the market.

Detailed charts of the blatant manipulation of Apple Computer Corp's stock. This is just wrong. Apple stock usually averages about 4 quotes per trade, but balloons to an average of 34 when this nefarious (and illegal) HFT algorithm runs.


Animation of 20 seconds of trading during this event.

Tick chart showing oscillations that should be very familiar to anyone who regularly follows our research. 

Nanex Research