Nanex Research

Nanex ~ 13-Jun-2014 ~ Nike: "Just Do It (to me HFT)"

On June 13, 2014 at 9:32:46, the stock of Nike, Inc. (symbol NKE, market cap $65 Billion) suddenly dropped 2% in less than a second on thousands of trades. 9 exchanges and an unknown number of Dark Pools and ATS participated vigorously. There were plenty of quotes - with some exchanges sending 20 to 30 for each trade during the event. This will simply be another event to add to a growing list.

1. NKE Trades and Quote Spread.

2. NKE Trades and Quote Spread - Zooming in to 27 seconds of time.

3. NKE Trades and Quote Spread over 5 seconds of time.

4. NKE Top of book bids and asks color coded by exchange over 5 seconds of time.
Note the high number of quotes per trade (Quote to Trade ratios: Q/T in red box) from some exchanges. BATY had 20 quotes for each trade, BOST with 23 and EDGE with 31! These are top of book (best bid/ask from each exchange).

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