Nanex Research
Nanex ~ 31-Jan-2014 ~ Anticipating News
Depth of book charts in Treasury futures illustrate how markets behave around two high-impact
news events: the
Chicago PMI at 9:42, and the
University of Michigan's Consumer Sentiment at 9:54:58. Well,
these events
used to be high-impact, but once
people realized that some people were quietly paying to get the same news a little earlier, the impact has all but disappeared. But the anticipation remains.
1. March 2014 T-Bond (ZB) Futures Depth of Book.
How to read
2. March 2014 10 Year T-Note (ZN) Futures Depth of Book.
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