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, [5]
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).
[6]
But that was nothing compared to the total manipulation that occurred in the few seconds before the US open and futures expiration... (via Nanex [7])
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... [7]
One thing we know for sure, Virtu made money....

