Nanex Research

Nanex ~ 15-Apr-2013 ~ eMini Liquidity and the Boston Marathon

It appears the abrupt drop in liquidity was from uncertainty from news about the Boston Marathon Bombing which occurred at approximately 2:50pm (labelled on chart).

1. June 2013 eMini Futures Depth of Book (Sum of sizes in top 10 bid/ask levels).
Chart shows liqudity for each minute of the trading day for all days between March 2010 and April 15, 2013 (thick red line).

Nanex Research

Inquiries: pr@nanex.net