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Spikes

Anatomy of a Spike (cont.)

These print outs show you the action in that 1 second recorded as 21:51:31. At the top of this page I state that the price of the ES dropped 6.50 points (0.6%) in one minute. If you take the first traded price at 21:51:31 as 1094.75 and the low during that second of 1089.00 then we see that the ES actually dropped 5.75 points (0.53%) in one second.
(For your information, the red prices are where the ES is being traded at the bid and the black prices are where it's being traded inside the bid/offer.)
As all the bids at each price level are traded and the next price down is touched it causes more stop loss orders to hit the market causing a cascading effect.


Within 9 seconds of that drop the market regains equilibrium and comes to rest with a bid/offer 4.25/4.50 points above the low 9 seconds earlier.


So you've seen what happened. You've heard my version of what I believe happened. Do you think this is what happened? Do you think something else happened here?


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