0

enter image description here

The volume of the day including pre and post: ~122M

The volume in that 5 sec encompassed 17/122M= 14% of the trading volume of the day.

Can anyone try to explain this phenomenon?

Some possibilities I think of:

  1. Day traders taking profits
  2. Hedge funds adjusting positions but don't want to plummet the price
  3. Unheard of ETFs emulating the closing price

None of these fully explain it, because why would they intentionally wait till the market close to start/close positions when they might run into the risk of lower liquidity, higher price volatility?

Updated: I checked with the tape and it was due to one single transaction (the time is in PT, NOT ET):

enter image description here

1
  • 1
    You thought about ETFs, but what about traditional mutual funds, priced once per day?
    – Ben Voigt
    Dec 17 '20 at 23:36
1

You have a huge volume spike at 4 PM. Seven minutes later you have a bizarre candle where share price drops almost $1.00 and is completely recovered within a minute. So the first possibility is that it's just bad data.

In lieu of bad data, a legitimate reason for such a large volume change could be a cross trade because a broker executed matching buy and a sell orders for the same security across client accounts and then reported them to the exchange at 4 PM. This is allowed as long as the cross trade price corresponds to market price at the time of the trade.

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.