Nanex Research
Nanex ~ 11-Dec-2012 ~ eMini Fake Outs
Starting around noon (EST) on December 10, 2012, we've noticed
more gaming going on
in the eMini depth of book. Specifically, large orders that appear and disappear. The
images below capture some of these periods with our depth of book charting tool. The last sale price is the white vertical lines. Above
the last sale are 10 levels of offer depth, and below are 10 levels of bid depth. The
depth levels are color coded by how much relative order size exists at any given second: red
means the most order size, dark blue means the least. The red squares you see below
are sudden increases in the offer size at levels away from the last sale - which disappear
seconds later.
We are surprised to see these fake orders because one week ago the
CFTC filed a complaint for similar (and lower impact) manipulation
in Wheat futures. We sure hope the CFTC is monitoring this.
1. December 11, 2012
2. December 10, 2012
3. December 10, 2012 at 13:22
4. December 10, 2012 at 15:03
Nanex Research
Inquiries: pr@nanex.net