Nanex Research

Nanex ~ 13-Sep-2012 ~ Natural Gas Front Run

On September 13, 2012 about 3 seconds before the EIA Natural Gas Report released at 10:30, prices of UNG dropped on about 50 trades totaling 18,000 shares. Prices of other ETFs and Natural Gas futures also dropped.

1. UNG ~ 5 millisecond interval chart showing trades color coded by reporting exchange and the NBBO (gray shade).
280,905 quotes and 0 trades.

2. UNG ~ 25 millisecond interval chart showing trades color coded by reporting exchange and the NBBO (gray shade).

3. UNG ~ 100 millisecond interval chart showing trades color coded by reporting exchange and the NBBO (gray shade).

4. UNG ~ 100 millisecond interval chart showing bids and asks color coded by reporting exchange.

5. UNG ~ 1 second interval chart showing trades color coded by reporting exchange and the NBBO (gray shade).

6. UNG ~ 1 second interval chart showing bids and asks color coded by reporting exchange.

6. Natural Gas October 2012 futures contract showing depth of book.

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