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Video here CNBC cited Nanex research which highlights two simultaneous purchases, one for 1,300 ES contracts and another within the same millisecond for 260,000 shares of SPY. CNBC goes on to claim these two simultaneous purchases "create an arbitrage opportunity." Can anyone explain...

Keep chasing that ghost.

Stay annoyed or learn? Maybe you should trade against the 10:30 continuation? Just a thought.

Trade any of the front months spread to Dec12 in the typical bull/bear spread manner.

Cross market arbitrageurs are limited when they have no market to cross into after 1030am CST. During the 2 hour overlap, downward pressure on European markets spreads via eur/usd and chf/usd into US markets. Google ADR arbitrage for more.

http://www.pfgbest.com/traders_tools/research/calendar.asp

I handle products at both points. PMed you.

No liquidity on the open? Why is that surprising at all?

LN options are primarily traded OTC.

IB does not 'insist' on quoting spreads as positive (to premium leg) or negative (to discounted leg). The user can decide. If you went through the manual you may not have to approach the help desk as often.

It's just a different way of quoting a spread. Bone quotes to the front month, which is 1.30 discounted to the back month.

Bone, is that TT?

What right do you have to know their volumes if they choose to discontinue their posting?

Wait, so you mean it's a trade?

+1 Adapt to with the changing microstructure in the market. Citi Algos Goldman Algos Deutsche Algos

Is that an issue native to IQ or consistent w/ most retail feeds?

It's hard to tell their total volume or motivation. It could be closing a position, opening a new one, hedging a huge book of some sort, anything. It's far from nefarious however.

I seem to recall Semgroup falling on the same sword during that run up.

+1 He didn't mean "spread" in terms of difference between two assets. He meant a buy order spread across 30 minutes/seconds, as in I need to buy 30 lots and I automate a program to buy 1 lot every minutes/seconds - spreading the buy order across time. It's a basic buy-side algorithm...