Nanex Research

Nanex ~ 06-Sep-2013 ~ Gold Jumps $25 On Jobs Report

On September 6, 2013, a significant surge in trading activity began approximately 700 milliseconds before the Employment Situation news release which occurred at 8:30:01 ET. This burst of trading a second before the expected release time sent prices in the opposite direction of trading that began immediately after the news was released just 2 seconds later. Either a large early bet went horribly wrong, or a cleverly designed fake-out strategy was unleashed on the many high frequency trading algos that infest our markets. Most algos designed for speed will shoot first, and ask questions later: that is, they will immediately follow a trend, because being fast allows them the flexibility of dumping the position on slower algos and humans.

We know of at least one futures contract (September 2013 Japanese Yen - 6J) that was halted for 5 seconds between 8:30:01 and 8:30:06.

1. Trades in all Futures Markets color coded by exchange between 8:29:47 and 8:30:14
Significant trading appears in many contracts about 700 milliseconds before 8:30 news. Reaction to news came a few hundred milliseconds after 8:30:01

2. December 2013 Gold (GC) Futures Depth of Book (how to read).
Gold drops $10 just before 8:30, then surges over $25 after news is released. 

3. December 2013 Euro/$ (6E) Futures Depth of Book (how to read).
Euro/$ futures also soar. Also moves down just before release.

4. September 2013 eMini (ES) Futures Depth of Book (how to read).
The eMini is tame by comparison. 

5. SPY - Trades color coded by reporting exchange.
A significant price collapsed 45 seconds before news, then several price instability moments after.

6. SPY - Zoom of chart 5.
Significant price instability rarely seen in SPY, even pre-market. 

7. SPY - Zoom of chart 6.
SPY was not active in the seconds before the news was released at 8:30:01.

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