Nanex Research
Nanex ~ 27-Jun-2014 ~ Russell's Jolt
On Friday, June 27, 2014 at 15:50:00 - 143 stocks suddenly moved at least 2% (with some
exceeding 10%) in just a few seconds. See 143 Stocks Move 2% in
Seconds.
Note: 15:50:00 is when Nasdaq releases closing imbalance number for Nasdaq listed stocks and ETFs. 15:45:00 is when NYSE first releases imbalance numbers for NYSE, NYSE-MKT, and NYSE-ARCA listed stocks and ETFs.
1. Count of mini flash crashes or rallys between 15:50 and 15:50:30 with Russell
Index Reconstitution dates labeled.
June 27, 2014 clearly stands out from previous events, with 112 entries showing (100
stocks moved within 2 seconds of 15:50:00)
2. Percent of NMS stock and ETF volume traded in the last few second of trading.
On June 27, 2014, the most recent Russell rebalance date, nearly 25% of the entire days
volume traded in the last few seconds of the day and the closing cross.
3. Each line represents the percentage change from 15:44 for one of
175 stocks that were deleted from the Russell
Index at market close.
4. Each line represents the percentage change from 15:44 for one of
155 stocks that were added to the Russell Index
at market close.
Nanex Research
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