Nanex Research
Nanex ~ 15-May-2012 ~ Use Whac-a-mole to Widen Spread.
Spread not wide enough to make money on? Then use "whac-a-mole"
to widen it. Also known as Volatility on Demand.
Here's a real world example in AVP on 15-May-2012 at 15:50:06. This technique works
best after a sudden price surge (at least it's much harder for a regulator to detect
it).
AVP 1 second interval chart showing trade executions color coded by exchange.
AVP 10 millisecond interval chart showing the NBBO (gray shading) and trade executions color coded by exchange. Note the crazy oscillations in the center.
AVP 10 millisecond interval chart showing the NBBO (black for normal, yellow if best bid = best ask, or red if best bid > best ask).
AVP 10 millisecond interval chart showing best bid and offer color coded by exchange.
Another example using a slighty different technique.
AVP 1 millisecond interval chart showing the NBBO (gray shading) and trade executions color coded by exchange.
AVP 1 millisecond interval chart showing best bid and offer color coded by exchange.
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