Nanex Research

Nanex ~ 14-Mar-2014 ~ That's How We Roll

On March 14, 2014 at 7:51:12 (ET), prices of the March and June Nasdaq 100 Futures contracts (root symbol: NQ) oscillated wildly for about 1/2 a second. Close inspection reveals the likely cause was someone awkwardly rolling from the March into the June contract: the March contract suddely plummets, while the June contract suddely rises. I bet they were surprised at how fast each moved.

1. March and June Nasdaq 100 (NQ) Futures Trades.
Chart alternates between the March (NQ.H14) to June (NQ.M14) contract. Note the large price spike.

2. Zooming in to 1 second of time.
Note at the beginning, the June contract (NQ.M14) rises sharply, while the March contact (NQ.H14) drops sharply.

Nanex Research