We noted the debacle that occurred at midnight Eastern last night but the impact of this sudden and completely unfounded voluminous surge in buying activity (on no news or rumors) was much more widespread than just e-mini S&P 500 futures. The other equity indices also tagged along and we saw volumes and quote-rates jump in EURUSD futures, but more so in Crude futures and AUD futures. Thanks to NANEX [6], the charts below show the millisecond-by-millisecond reality of a broad and deep-pocketed algo liftathon as most of the East coast was tucked up in bed and Europe had still to wake. PPT - who knows? But it seems unusual at best or someone somewhere getting a rather large tap on the shoulder to shut their entire futures book?
More charts on Volume and quote-rate are available here [6].
All charts are centered on the 'event' with a 2 minutes span either side...
S&P 500 Futures
[7]
Nasdaq Futures
[7]
Dow Futures
[8]
Crude Oil Futures
[9]
EURUSD Futures
[10]
AUDUSD Futures
[11]
Source: Nanex [6]