Nanex Research

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Nanex ~ 01-May-2012 ~ eMini Depth at 10 am

The 10am news release of ISM Mfg Index and Construction Spending caused a significant evaporation in the S&P electronic futures depth of book starting about 2 minutes before the event


01-May-2012 ES.M12 Price and Size Depth of book plus volume.

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01-May-2012 ES.M12 Price and Size Depth of book.

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Minimum sum of bid and ask depth of book January 2011 through 01-May-2012.
The thicker red line is May 1, 2012. Note the level was lower than usual since the open. The falloff at 10am is typical (though low) for a 10am news day.

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SPY 1 Minute Inteval Chart

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Market Data Peaks shows the 10 am spike
From Market Data Peaks.

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Nanex Research