OK…here we go…I give myself 5% margin of error for transposing numbers from the logs to paper and for slipping share sums in my head :o)
Wednesday between the bells
Below the bid.....28,100....big blocks....5000, 8000, 10000
On the bid....88,500.....big blocks....10000, 5000, 5000
Split the spread....79,800....big blocks....24,800
At the ask....119,700....big blocks....11,800, 20,000, 16,000
Above the ask....44,000....big blocks....none
Trades @ $8....6,800, 2,000, 2,000
Wednesday after the close
Below the bid....13,000....big blocks....7,500
On the bid....0.....big blocks....none
Split the spread....142,000....big blocks....5,000, 128,700
At the ask....0....big blocks……none
Above the ask....86,000....big blocks....75,000
Trades @ $8....1,400, 2,500, 2,500
Thursday before the bell
1,700 split the falling spread
Thursday between the bells
Below the bid...5,600
On the bid...63,600
Split the spread....5,000....big blocks....5,000, 10,000
At the ask....38,000....big blocks....5,500
Above the ask....4,200
Thursday notes: after 3:00 Thursday only 500 shares sold on or below the bid. Further, 27,500 shares split the spread, made up of 4 – 4,000s, 2 - 2,000s, and on block of 7,500. ½ the shares at or above the ask traded after 3:00. Thursday immediately preceded the execution of the 4 - 4,000 share trades. Big blocks seemed to have no affect on the spread, while I noted during trading that 100 share sells on the bid had the repeated effect of dropping the ask.
Wednesday notes: after 3:00 PM on both days, the spread started moving up with no trades prompting the movement. The run up of the spread on There are many mirror trades ( trades with the same volume on either side 2 - 3 times…(ex: 1900 on the ask, then 1900 on the bid, 2-3 times). The spread was locked down at 7 13/16 x 7 13/16 at 4:00 PM. Subsequently, approximatley 1/3 of the days volume traded after the bell Wednesday. The spread was crossed (bid price higher than the ask, for 2 minutes, on Wednesday @ 13:44, while a block of 13,800 traded above the spread.
My recommendation, if the MMs continue these certainly suspect “free market” controls into next week, would be to buy shares after lunch and sell into the close, starting @ 3:00 PM. If am unsure if and what portion of the trading is taking place on specific ECNs; which might explain some anomalies.
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