Nanex Research

Nanex ~ 27-Jan-2014 ~ Natural Gas Quote Spreads

Beginning on January 23, 2014, Quote Spread Variance in Natural Gas Futures on a 1-second basis has exploded. The chart below puts this activity in perspective. For each second, we find the minimum and maximum quote spread (ask-bid price) in the Natural Gas (NG) front month futures contract: the difference becomes the variance for that second. We count and plot the number of seconds in 3 different bins: those with a variance of 3, 4 or 5, and 6 or more ticks. We only sample 1-second periods from 9:15 to 10:20 and 10:45 to 14:15. This avoids the first and last 15 minutes, and also excludes market reaction to the weekly EIA Storage report that comes out at 10:30.

Zooming into 2014

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