Nanex Research

Nanex ~ 15-Oct-2013 ~ 1800 Gold Futures Contracts Roils Market

The drop didn't trigger a stop-logic halt like it did on October 11, 2013.

We've noticed that accompanying these sudden drops, there is unusually high quote activity in other expiration months - but no trades. For example, at 4:46:47, there were 1,000 or more depth of book order changes in each of 15 other expiration months.

We found six instances (there may be more) of 1 second periods in Gold futures with a high number of trades (700 or more):

03:48:04
04:46:46
05:30:42
07:43:22
08:43:26
09:43:29

Note that the last 3 are almost exactly 1 hour and 3 seconds apart. That's not likely a coincidence.

1. 04:46:46 ~ December 2013 Gold (GC) Futures Depth of Book (how to read).

1b. Tick Chart

2. 03:48:04

3. 05:30:42

4. 07:43:22

5. 08:43:26

5. 09:43:29

Nanex Research

Inquiries: pr@nanex.net