Please explain large flash ask size in SPY

May 19th, 2014, 01:08 PM

When trading the SPY, what does it mean when, as price is increasing, the current ask size increases from a normal size of ~300 to 1500, and price continues up through this ask size? Please see attached photo to illustrate. Note: market data is from BEX only.

Jigsaw Trading · May 19th, 2014, 01:47 PM

Depends...

If it just lasts a fraction of a second and disappears, then keeps flashing up - it's possibly an predatory algo "fishing" for other algo's reaction.

If it's at the inside bid as per your pic - it could be real. When they trade into it, if it doesn't start pulling, then it is real.

But that doesn't mean it's someone that is trying to hold the market. This could be half of a stat arb trade, it could be someone unwinding a position.

I think what is key from the perspective of taking advantage of it is whether they add more to that offer as we trade there.

Also - as you've come down from 51 - is this offer chasing price down and effectively acting as a ceiling on price - that's pretty bearish. Were they there @ 51 & 50? I know price came up from 47 - but it was after a drop from 51 - so was that offer there all the time it dropped to 47 & then acted as resistance @ 51?

It's a bit like a story unfolding - just a snapshot is hard to read.

May 19th, 2014, 02:53 PM

Thanks for the insight. The large ask was not present as it went down. Following the first screen shot, the price increased, shown in the attached screen shot, and the 1500x ask bumped up with price a few times, but not all the time. How would these large ask prints affect your trading decisions?

Please explain large flash ask size in SPY

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Please explain large flash ask size in SPY