Nanex Research

Nanex ~ 18-Sep-2013 ~ Source of the Option Crash?

See also: Total Option Outage.

1. OPRA - Quote message rates from AMEX (Red) and ARCA (blue) for 1/3 of a second on September 17, 2013.
Note the regular pulsing - about every 10 milliseconds for AMEX and 12 milliseconds for ARCA. This is not normal. Quotes are getting delayed up to 10 milliseconds. This is the first time we have seen this phenomenon. This pattern persisted from 12 noon through the close on September 17, 2013 and may have existed earlier. It occurs whenever the quote message rate falls below some threshold from these two exchanges. We think it's just bad software that is trying to aggregate larger packets and is willing to accept 10 milliseconds of latency. We are still checking. This is wrong. Developing..

2. Each chart shows the count of messages (quotes) for each millisecond for 1 second of time.

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Inquiries: pr@nanex.net