Nanex ~ 21-Jan-2014 ~ HFT Liquidity
On January 21, 2014, the stock of Varian Medical Systems, Inc (symbol: VAR, market cap:
$8.7 Billion) dropped from 82.05 to 80.44 (2%) in about 2 seconds. Looking closely at
where trades executed on each of the 10 exchanges and unknown number of dark pools,
we find that there is more liquidity at higher prices from dark pools than all lit exchanges
combined. Furthermore, their is liquidity at many more price points on dark
pools than on lit markets. Some lit markets had just token amounts of shares and at many cents lower in
price - with gaps far exceeding the NBBO spread before the drop.
1. VAR on January 21, 2014.