Unbeknownst to many traders and investors, this morning there was a street-wide quote delay that caused the S&P 500 to be calculated only twice in a period of about 20 minutes. The index, usually calculated every fifteen seconds or so, is widely considered to be the best benchmark for US equities. Despite our efforts, the only details we found regarding this delay were in a courtesy note flashed across our trading system. The reason, "high volume" or fast moving stocks....or whatever, was added to a pile of explanations becoming almost commonplace in today's market.
This delay, illustrated by the chart and table below, is one of many incidents highlighted by Birinyi Associates in its long inquiry into changing market conditions and structure.
These changes are outlined in a publication distributed last August titled "the next CRASH." The publication looks at the implications of removing the human element from trading, building a specialist-free electronic trading platform, and the increasing popularity of ETFs.
Topical studies such as this one are usually only available to Mini-Institutional subscribers. We find that the market continues to exhibit many of the same phenomenon discussed in the study, and would like to make it more available.
As a special for the rest of this week, "the next CRASH" will be available not only to Mini-Institutional subscribers but also to any new or existing annual newsletter subscribers. Click here for more information about the newsletter, and if interested be sure to request your copy of "the next CRASH."