Nanex ~ 05-Nov-2013 ~ $100 Billion Stock Spreads
Zooming in on best bids and offers, from 1.5 hours down to 1 second of time in the stock of Siemens Aktiengesellschaft
(symbol: SI, Market Cap $105 Billion).
offers are color coded by exchange. The gray shading is the NBBO (National
Best Bid/Offer) spread. This is what High Frequency Trading claims to narrow. Note the best bid varies from $114 to $124, while the best
ask varies from about $125 to $130.
Normally you would expect the quote spread in a $105 billion dollar stock to be a bit
more stable. And narrow.