Nanex ~ 27-Jan-2014 ~ Natural Gas Quote Spreads
Beginning on January 23, 2014, Quote Spread Variance in Natural Gas Futures on a 1-second
basis has exploded. The chart below puts this activity in perspective. For each second,
we find the minimum and maximum quote spread (ask-bid price) in the Natural Gas (NG)
front month futures contract: the difference becomes the variance for that second. We
count and plot the number of seconds in 3 different bins: those with a variance of 3,
4 or 5, and 6 or more ticks.
We only sample 1-second periods from 9:15 to 10:20 and 10:45 to 14:15. This avoids the
first and last 15 minutes, and also excludes market reaction to the weekly EIA Storage
report that comes out at 10:30.
Zooming into 2014