Nanex Research

Nanex ~ 06-Dec-2013 ~ Prescient Gold, Speed Kills Treasurys

On December 6, 2013, at 8:29:53, which was 7 seconds before the 8:30 AM scheduled release of the Employment numbers and Personal Income, the price of gold as measured by the February 2014 (GC) futures contract plummeted almost $6 on about 600 contracts traded in 50 milliseconds.

At 1.6 seconds before the news release, about 2,000 March 2014 5-Year T-Note Futures contracts sent prices down so fast, that trading halted for 5 seconds: which included the time of the news release (chart 6)! People weren't able to trade these treasury futures when the news was released. The same thing happened during the Employment numbers release in June.

At 1 second before the news release, the Dow Jones Industrial Average (DJIA) as measured by the ETF symbol DIA, rocketed 170 points higher. The DJIA futures moved the equivalent of 193 dow points at the same time. Both came crashing back seconds later.

1. Trades in All Futures.
Lots of movement seconds before 8:30 Jobs news.

2. Quotes in All Futures.

3. December 2013 DJIA eMini(YM) Futures.
Amazing move starting 1 second before.

4. DIA (ETF on DJIA) showing trades color coded by exchange and NBBO shaded gray.
Move is equivalent to 170 points in the Dow.

5. DIA (ETF on DJIA) showing bids and asks color coded by exchange and NBBO shaded gray.

6. March 2014 5-Year T-Note (ZF) Futures.
Prices moved 1.5 seconds before 8:30 and halted trading for 5 seconds.

7. March 2014 T-Bond (ZB) Futures.
Also moved 1.5 seconds before 8:30 and halted trading for 5 seconds.

8. March 2014 10-Year T-Note (ZN) Futures.
Prices also moved 1.5 seconds before 8:30, but trading was not halted. However, when 5-Year and T-Bonds halted, prices in this contract were erratic.

9. February 2014 Gold (GC) Futures.

10. February 2014 Gold (GC) Futures - Zooming in to 8:29:47 to 8:30:14
Gold moved sharply a full 7 seconds before the official Employment news release.

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