Bad Data on the Dow?

There’s a lot of chatter on CNBC about some allegedly bad data on the NYSE this afternoon. John Thain, the head of the NYSE was on the floor checking on things after the Dow hit a 200 point air pocket around 3 PM. Here’s the chart with 15 minute bars:

And the chart with 1 minute bars showing a drop of more than 200 points in 3 minutes:

I’ll post more if I hear more details about what happened. Certainly part of the issue is that the NYSE had record volume today…

P.S. There’s an interesting read on the WSJ’s MarketBeat blog about the extreme downside vs. upside volume today.

P.P.S. I’ve never heard booing from the NYSE floor! They were booing their heads off at the closing bell just now.

P.P.P.S Reports of “stuck” stock prices on the NYSE. Some stocks are *frozen* right now.

P.P.P.P.S. Here’s a note on the 3:00 Dow drop from the WSJ blog:

Traders remain flummoxed by the sudden plunge in major averages at 3 p.m. Rumors persist among traders that some sort of technology bottleneck was responsible. Others surmised that the trading collars placed on by the NYSE had been removed, but the NYSE’s guidelines would suggest this shouldn’t have happened (the collars are put on when the New York Stock Exchange Composite Index falls 180 points, and would be removed if the index moves back to within 90 days of the previous day’s close, but the index is down more than 300 points). An NYSE spokeswoman said she didn’t believe the collars had been taken off, and she would not comment on technology-related issues.

“I’ve never seen such an instantaneous gap downward,” says Anthony Conroy, head trader at BNY Brokerage. “Initially nobody really believed the market was down 500 points — I thought it was a glitch or system error.”

P.P.P.P.P.S. And the explanation for the drop:

The sudden, sharp decline by the Dow Jones Industrial Average shortly before 3 p.m. Eastern time today was triggered by a tabulation delay by Dow Jones data systems, which calculates the average. There was a temporary lag in calculation of the 30 large-stock average due to a surge in order flows as the market continued to tumble in afternoon trading, much like a clogged pipe. Just before 3 p.m., Dow Jones Indexes switched over to a backup system to calculate the average, which nearly instantly registered the huge move.

The glitch wasn’t the cause of the decline, but it did cause the drop to register far more quickly than it otherwise would have…

P.P.P.P.P.P.S. Here’s the Dow plunge as it happened in real time on CNBC today:

Comments

  1. Posted by Boots on February 27, 2007 at 4:16 pm

    I am wondering if the plunge this afternoon was from frozen stocks suddenly becoming “un-stuck”. If more became stuck again close to the bell then I wonder where the market really is.

  2. Posted by Michael on February 27, 2007 at 4:19 pm

    The wheels have come off!

  3. Posted by Mousefinger on February 27, 2007 at 4:32 pm

    Seriously! I couldn’t believe my screen when I saw the DOW at -500. @-) That was a trip. I hope someone here was Short and covered down there. I was stopped out around that time. Not a huge lose, but still…

  4. Posted by Ugly on February 27, 2007 at 6:18 pm

    booing!
    wow, I can’t believe this – crazy day.

  5. Posted by tonyt on February 27, 2007 at 7:12 pm

    NYSE Hybrid was shown to be absolute GARBAGE!!!! Bring back the specialists!!!!& short NYX on any bounce.

  6. Posted by Michael on February 27, 2007 at 7:15 pm

    Maybe the Nasdaq should take over trading for the NYSE :d

  7. Posted by bedabull on February 27, 2007 at 10:54 pm

    I dont buy it, overlay the naz, dow and s&p500 on a chart. they pretty much moved in tandom on the steep drop. Its not like the sudden drop in the dow caused the naz and s&p 500 to follow.
    It looks like the dow was held up on purpose so the specialists could hedge thier positions. Then you couldnt get any orders filled until it bounced back up a little. Give me a break! The fix was in.

  8. Posted by Michael on February 27, 2007 at 11:09 pm

    BeDaBull,

    I hear ya but the synchronous drop *could* be explained by all the automated program trading. Who knows what data was being sent to all those programs during those minutes. That drop in the Dow could have triggered selling in other instruments which then triggered other people’s stops, which…

    I doubt they’ll ever reveal what really went down today.

  9. Posted by StockRake on February 28, 2007 at 12:25 am

    It doesn’t matter what caused it. Someone / Some People with big money got out on that bar all at once while the DOW was already down 300.

  10. Posted by Gary on February 28, 2007 at 3:40 am

    Traders who trade on NYSE should be spanked naked — 50 lashes each—no need to :(( today when you see the inefficiency of NYSE when if you have traded for any time, you’ve seen their inefficiencies day in and day out. Orders got stuck they say with floor traders and then some were jammed and not going thru–WTF kind of crap is that. THis is seriously making excuses for Iraq war look like child s play.

    Bring on total electronic trading on NYSE. And make sure the bigwigs dont get their accounts cleaned out before the drop.

Trackbacks

  1. [...] Was there some kind of technical glitch? [...]

  2. [...] is CNBC’s live coverage of the “air pocket” that tradermike posted about today. Via [...]

  3. [...] over at TraderMike’s place, he has an article about how NYSE data had some problems throughout the day which possibly contributed to such a large [...]