Nanex Research
Nanex ~ 21-Mar-2014 ~ March Expiration Games
On March 21, 2014, a record number of stocks with unusual price changes occurred just
3 seconds before market open and the expiration of the March index futures contracts. We think the two are related.
Later the same day, the market set a record number of trades in
1 second. We also detailed one second of trading in QQQ later the same morning,
here.
1. Comparing price moves in about 60 select symbols between 9:29:56 and 9:30:01
2. Charts of individual stocks (mostly Nasdaq 100) between 9:29:55.500 and 9:30:01
Note the sudden price drop between 3 and 4 seconds before market open and then a recovery
about 1 second before open. The large, black-filled circle is the Nasdaq official opening
price.
3. March and June Nasdaq 100 (NQ) and eMini (ES) futures contracts.
The March contracts expired at 9:30. Note the sudden jump at 9:28.
4. Zoom of Chart 3.
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