Nanex Research

Nanex ~ 13-Sep-2013 ~ UMich News Leak?

Market activity exploded 32 seconds before the expected release of the University of Michigan's Consumer Sentiment number. There was activity at the official release time (9:55:00 ET), indicating this information was released to some people. But the significantly higher, market-wide activity 32 seconds before, is extremely suspect.

1. September (left) and December (right) 2013 eMini (ES) Futures Depth of Book (how to read).
Liquidity vanishes before the annoucement, and suddenly, significant activity begins 32 second before expected news release.

2.Trades in All (~8000) NMS Stocks
Activity at the expected 9:55 time indicates news was released at the scheduled time. But significantly more activity - across the entire market - occurs 32 seconds before.

3.Trades in All NMS Stocks - Zoom of 9:54:28 to 9:54:33
An explosion of trading in many stocks - as indicated by trades at a wide range of prices.

4.Trades in All NMS Stocks - Zoom on 9:54:58 to 9:55:03
A market reaction at 9:55 - but significantly less activity than 32 seconds before (see chart 3 above).

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