In the last 3 years, the volume of options quotes (not trades) in the first few seconds of the US equity market’s open has exploded. From around 1 million quotes in the first second of the day in 2011, Nanex’ detailed animation shows that volumes are now reaching 4 million quotes. Does this quote spam look like it provides liquidity? Wondering why the opening price action in US equity markets has become incredulous in recent months – with vertical dump-and-pumps – wonder no more… ‘efficient’ markets indeed…
Via Nanex: (@NanexLLC)
Each line shows the number of option quotes each second over the first 20 seconds of trading for 1 day.
The animation adds 1 new day per frame to show the growth.
The range of dates is January 2011 through January 9, 2014.