Nanex Research
Nanex ~ EMini Depth of Book Recovering?
Last July (2011), we noticed a gradual drop in the depth of book for the S&P 500
electronic futures contract (eMini) and wrote
this paper.
Today, the sum of the emini depth of book during the noon hour has increased to levels
not seen since before the July 2011 drop off began.
Is this related to either NYSE's
recent rule change proposal, or the SEC
clamp down on exchanges?
eMini Depth of Book (1 minute intervals). This chart shows the minimum
sum of the 10 depth levels of bid and ask sizes during each minute over the
course of each trading day for the last year. Each trading day line is colored by
age. Older days are colored towards the violet end of the spectrum and recent
days towards the red.
Nanex Research
