This morning's incredible 6-month-range busting, 11-sigma, so-called "fat finger" in Treasury futures markets
was brushed under the carpet by most of the mainstream media since it had no effect on what is important - US equities. However, as the following detailed charts from Nanex show
, it looks like anything but an 'accidental' fat finger and merely highlights just how fragile the world's largest (and supposedly most liquid) markets have become
. Still, with Virtu's CEO doing so well, how will it ever stop?
The 11-sigma spike in all its glory... (via Nanex)
(3-month front-month 30Y Futs intraday range mean is ~0.9 points and standard-deviation is ~0.5 points)
The 3-D animation...
And the still showing the bid-ask dissolves...
and the full break-down as multiple contracts were affected
On December 23, 2013 at 2:37:51, Treasury Futures skyrocketed on heavy volume! Specifically, the March 2014 contract for the 30-Year (ZB), the 30-Year Ultra (UB), the 10-Year (ZN) and spread between the two (NOB). In 10 seconds, the 30-Year T-Bond moved 5 handles - the equivalent of the high-low range of the last 3 months.
1. March 2014 30YR T-Bond (ZB) Futures
2. March 2014 30YR T-Bond (ZB) Futures. Zooming in on 18 minutes of time.
3. March 2014 30YR T-Bond (ZB) Futures - showing quotes.
4. March 2014 10YR T-Note (ZN) Futures.
5. March 2014 10YR T-Note - 30YR T-Bond (NOB) Futures.
6. March 2014 30YR Ultra T-Bond (UB) Futures.
7. March 2014 30YR Ultra T-Bond (UB) Futures. Zooming to 27 seconds of time.
8. March 2014 30YR T-Bond (ZB) Futures. Zooming to 27 seconds of time.
9. March 2014 10YR T-Note (ZN) Futures during same time period as charts 7-8 above.
10. March 2014 10YR T-Note - 30YR T-Bond (NOB) Futures during same time period as charts 7-9 above.