Nanex Research
Nanex ~ 14-Sep-2014 ~ eMini 10 Second Halt
On September 14, 2014 at 18:00:01, just one second after the Sunday open, the September
2014 eMini contract (symbol ES) dropped precipitously (9.75 pts - from 1981.75 to 1972.00
) on about 1885 contracts in less than 1/2 second and tripped a circuit breaker which
halted not only the September, but also the December 2014 contract for 10 seconds. The
1885 contracts came across in four bursts of 93, 955, 105 and 732 contracts. Although the December contract was the active month, it experienced much less selling pressure
and dropped much less (2.25 pts - 1973.50 to 1971.25) during the same period.
1. September 2014 eMini (ES) futures contract.
2. December 2014 eMini (ES) futures contract.
3. September 2014 eMini (ES) futures contract depth of book tick chart.
4. Comparing September and December eMini (ES) contracts.
5. Comparing all active Stock Index Futures.
6. Comparing the total number of contracts in the first 10 depth of book bid
levels between the September and December on 14-Sep-2014 and the September contract
a week earlier.
Note the number of bid contracts was considerably less on September 14 (red and green)
at the open (18:00:00) than a week earlier (blue).
7. Comparing the total number of contracts in the first 5 depth of book bid
levels between the September and December on 14-Sep-2014 and the September contract
a week earlier.
Nanex Research
Inquiries: pr@nanex.net