Nanex Research

Nanex ~ 18-Jul-2012 ~ Here is your Liquidity

Just before the release of the EIA Petroleum Status Report at 10:30am Eastern time, the very inactive symbol ONG (iPath Pure Beta Energy ETN) provided a nice illustration of what we mean when we say liquidity is illusive. The spread goes from $0.11 to $37.24 in a fraction of a second. What's the point of all those quotes in between? No trades occurred during the period of time covered by the charts below.

ONG 1 second interval chart showing NBBO (gray shade) along with bids (up triangle) and offers (down triangle) color coded by reporting exchange.
The next chart will zoom into the spike just before 10:30

Zooming down to a 1 millisecond interval chart shows a pretty geometric pattern as liquidity evaporates in a fraction of a second. Chart shows 1 second of time.

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