Algo Activity (And Manipulation) Breaks Record On Friday's Quad Witching Debacle

Tyler Durden's picture

Friday was an extremely volatile day with new record highs being achieved miraculously at the open only to be followed by free-fall in the market's most-loved momentum names into the close. It seems that the quad-witching was of particular interest to the algos as Nanex notes, a new record was set for most trades in a 1-second interval. What was even more unusual was the record number of 'unusual' price changes that occurred in the 3 seconds before the market opened and index futures expired. "Efficient" markets indeed...

 

Via Nanex,

On March 21, 2014, at 15:45:00, a new record was set for most trades in 1 second in NMS stocks (NYSE, NY-ARCA, NY-MKT and Nasdaq listed stocks and ETFs - approximately 8,000 symbols). The 3rd and 4th most active seconds were also set, at 15:50:00 and 15:55:00 respectively. The 2nd most active second was set at 10:00:00 on September 1, 2011.

1. NMS 1-second peak Trades per Second for each minute of the regular trading session (9:30 - 16:00).
Each day is drawn as a line, color-coded by age: from violet (oldest) to red (most recent). 

 

But that was nothing compared to the total manipulation that occurred in the few seconds before the US open and futures expiration... (via Nanex)

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.

1. 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.



2. Zoom of Chart 1.



3. Comparing price moves in about 60 select symbols between 9:29:56 and 9:30:01



4. 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.

Here is AAPL...

 

all 100 additional charts can be found here...

One thing we know for sure, Virtu made money....