Nanex Research

Nanex ~ 27-Jun-2014 ~ 143 Stocks Move 2% in Seconds

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.

2. Same chart as above, but color coded by reporting exchange.
Note the many green lines after 16:00 when the market closes. These are dark pool trades which were reported late.

3. Each line represents one of the 143 Stocks that moved 2% or more in a few seconds at 15:50:00. Value scale shows percent change from 15:50:00.
This text file contains the symbols in the chart below ordered by the most up to the most down, and then matched to symbols (A)dded or (D)eleted from a Russell Index shows that most stocks that went up were deleted, while most stocks that went down were added.

4. Zooming in closer (27 seconds) we can see there were several waves of explosive activity.

5. Chart shows about 5 seconds of time.

Nanex Research