Nanex Research

Nanex ~ 18-Oct-2012 ~ Good to Ugly in Minutes

On October 18, 2012, Google (GOOG dropped precipitously, and the whole market went from good to ugly in minutes.

1. # Contracts in eMini Depth of Book. An excellent measure of liquidity, plummeted.

2. Quotes/Trade, a measure of fake orders, exploded. Red line is today.

3. Percentage of Stocks with NBBO Spreads greater than 2 through 25 cents.
Measures how tight spreads are across entire market. Higher values indicate wider spreads.
Note how spreads suddenly widen in over 15% of NMS Symnbols.

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