Nanex Research

Nanex ~ 05-Jul-2013 ~ Jumping the Gun

At 8:28:35, just 85 seconds before the 8:30 news release, the prices of eMini futures (ES) skyrocketed on heavy volume.

See also Gold Oscillations which looks at odd price behavior in gold futures during this event.

Update

There were system problems at NY-ARCA during this time that may have influenced the sudden burst of trading at 8:28:35: click for more information.

1. September 2013 ES Futures showing trades (red squares) and quote spread (gray shading).
Note the spike at 8:28:35 - 85 seconds before news release.

2. September 2013 ES Futures showing trades (red squares) and quote spread (gray shading). Zooming in on Chart 1.

3. September 2013 ES Futures showing trades (red squares) and quote spread (gray shading). Zooming down to 1 second of time.

4. September 2013 ES Futures showing trades (red squares) and quote spread (gray shading). Close-up of the 8:30 time period.

5. September 2013 ES Futures showing trades (red squares) and quote spread (gray shading). One second of time just after 8:30 showing wildly unstable prices.

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