Nanex Research

Nanex ~ 24-Aug-2012 ~ ALEX To The Moon

On August 24, 2012, just before market open, the National Best Bid and Offer in the stock of Alexander & Baldwin (ALEX) exploded. It took 668 quotes to send the Best Offer from $30.28 to a sky high $4855.41 and simultaneously drop the Best Bid from $29.69 all the way down to $0.08. The entire event occurred in 7/10ths of a second. Fortunately, no one was hurt.

Four exchanges participated in this madness. Whether it was collusion or mutual stupidity, we'll never know. This is a good example of how rapid quote spreads deteriorate.

1. ALEX - National Best Bids and Offers color coded by exchange.

2. ALEX - National Best Bids color coded by exchange.
This is the same chart as above, but scaled to show the bid side in detail. This pattern looks a lot like the one that sunk BATS in their IPO.

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