On Friday, June 27, 2014 at 15:50:00 - 143 stocks suddenly moved at least 2% (with some exceeding 10%) in just a few seconds. There were 678 stocks that moved 1/2 of a percent or more. This explosion of trading activity dwarfed even the closing seconds of the day, when the annual Russell Reconstitution process occurred (changing of symbols in the Russell Indexes). In the one second at 15:50:00, approximately 400 stocks had NBBOs (National Best Bid/Offer) that were crossed (best bid price greater than best ask price) and more than 1000 stocks had NBBOs that were locked (best bid price equals best ask price).
We have since discovered that the stocks suddenly rising in price were deletions, and the stocks declining were additions, to the Russell indexes which took place 10 minutes later at market close.
Note: 15:50:00 is when Nasdaq releases closing imbalance number for Nasdaq listed stocks and ETFs. 15:45:00 is when NYSE first releases imbalance numbers for NYSE, NYSE-MKT, and NYSE-ARCA listed stocks and ETFs.
1. Each line represents one of 678 stocks that moved 0.5% or more.
The noticeable green line is the price track of the stock of MannKind Corp (symbol MNKD) which had a significant (unrelated) news event.