Since nobody else is trading anything today, we wanted to show readers, courtesy of Nanex [2], just how it is that the only market participants in the past year, that would be robots of course, traded the ISM number. Pay particular attention how the size book in the E-Mini contract virtually disappeared two minutes ahead of the number as everyone shut down and was merely awaiting the headline at which point everyone who trade in the same direction.
01-May-2012 ES.M12 Price and Size Depth of book plus volume.
[3]
01-May-2012 ES.M12 Price and Size Depth of book.
[4]
Minimum sum of bid and ask depth of book January 2011 through 01-May-2012.
The thicker red line is May 1, 2012. Note the level was lower than usual
since the open. The falloff at 10am is typical (though low) for a 10am news day.
[5]