Nanex Research

Nanex ~ 12-Sep-2013 ~ News Event? What News Event?

The 8:30 release of the Jobless Claims report brought a collective yawn from the eMini futures market. Activity was brisk in other contracts, however.

1. September 2013 eMini (ES) Futures Depth of Book (how to read).
Liquidity evaporates as usual, but when the news comes out, nothing, no reaction. In the past, the eMini would nearly always gyrate - even if the news was inline with expectations.

2. Trades from all Futures contracts between 8:29:47 and 8:30:14.
We can see the news was released at least 1 second after 8:30, and trading activity exploded. But not in the eMini (see above), apparently.

3. Same as chart above but showing bids and asks instead of trades.

4. Trades from all Futures contracts between 8:30:00.100 and 8:30:02.300 (about 2 seconds). This is a Zoom of Chart 2.
The news was released to all co-located HFT participants at the same time - at approximately 8:30:01.300

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