Nanex Research

Nanex ~ 06-Jan-2014 ~ Normalizing Deviant Behavior

On January 6, 2014 at 10:46:24, the NYSE listed stock of Engility Holdings, Inc (symbol EGL, market cap $620 Million), suddenly plunged nearly 12% in just over 1 second. The price made a near full recovery seconds later. Approximately 470 trades (90,000 shares) executed at 10 different exchanges and an unknown number of dark pools during the drop. Prices traded to the exact lower band of Limit Up, Limit Down. If the stock traded just 1 penny lower, it would have triggered a mandatory 5 minute halt. Limit Up/Down in effect, has legitimized this deviant market behavior.

1. EGL - Trades color coded by reporting exchange and NBBO (gray shading).

2. EGL - Trades color coded by reporting exchange and NBBO (gray shading) - Zooming in to 5 seconds of time.

3. EGL - Bids color coded by reporting exchange and NBBO (gray shading). Lots of bids (orders) placed and canceled along the way down - why?

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