Strange Days July 7'th, 2011 - CL.Q11 Back to Table Of Contents What appears to be a massive arbitrage algorithm involving the NYMEX Crude Oil futures (CL) and ETF symbols USO, UCO, and SCO, began executing at 13:35:43.850 and ended about 5 seconds later. The August futures contract (CL Q11) cleared out both sides of the depth of book 4 times. At first sight, the oscillations in the CL future appear somewhat similar to the oscillations from another algorithm involving natural gas on June 8, 2011. However, on closer inspection, this is something entirely different. This is an event that regulators need to spend time taking apart and analyzing in detail. It will be well worth it, because there are similarities with algorithms that cause disturbances in the equity market via arbitrage between the S&P future and the equity ETFs SPY, IWM, QQQ, etc (one of those disturbances resulted in the "flash crash"). Someone has a distinct speed advantage and is taking full advantage of it. Here are some images we've captured so far. CL.Q11 - AUGUST 2011 CRUDE OIL Trade and Quote Prices/Sizes: Zoom in, Price Only: Symbol UCO, PROSHARES ULTRA DJ UBS CRUDE Symbol USO, UNITED STATES OIL FUND LP: Symbol SCO, PROSHARES ULTRA SHORT DJ UBS CL.Q11 - AUGUST 2011 CRUDE OIL Symbol UCO, PROSHARES ULTRA DJ UBS CRUDE Symbol USO, UNITED STATES OIL FUND LP: Symbol SCO, PROSHARES ULTRA SHORT DJ UBS CL.Q11 - AUGUST 2011 CRUDE OIL Inquiries: pr@nanex.net Publication Date: 07/07/2011 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.