Chart 1.A: S&P 500

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -110

 -88

 -66

 -44

 -22

 0

 22

 44

 66

 88

 110

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -80

 -64

 -48

 -32

 -16

 0

 16

 32

 48

 64

 80

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

45

46

47

48

49

50

51

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -60

 -48

 -36

 -24

 -12

 0

 12

 24

 36

 48

 60

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

45

46

47

48

49

50

51

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -50

 -40

 -30

 -20

 -10

 0

 10

 20

 30

 40

 50

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

45

46

47

48

49

50

51
Chart 1.B: S&P 500

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

45

46

47

48

49

50

51

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

45

46

47

48

49

50

51

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

45

46

47

48

49

50

51






Chart 2.A: Non-ETF Top 100

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -40

 -32

 -24

 -16

 -8

 0

 8

 16

 24

 32

 40

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -40

 -32

 -24

 -16

 -8

 0

 8

 16

 24

 32

 40

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

45

46

47

48

49

50

51

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -30

 -24

 -18

 -12

 -6

 0

 6

 12

 18

 24

 30

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

45

46

47

48

49

50

51

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -30

 -24

 -18

 -12

 -6

 0

 6

 12

 18

 24

 30

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

45

46

47

48

49

50

51
Chart 2.B: Non-ETF Top 100

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

45

46

47

48

49

50

51

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -120

 -96

 -72

 -48

 -24

 0

 24

 48

 72

 96

 120

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

45

46

47

48

49

50

51

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -120

 -96

 -72

 -48

 -24

 0

 24

 48

 72

 96

 120

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

45

46

47

48

49

50

51
Chart 3.A: ETF Top 100

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -70

 -56

 -42

 -28

 -14

 0

 14

 28

 42

 56

 70

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

42

43

44

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -70

 -56

 -42

 -28

 -14

 0

 14

 28

 42

 56

 70

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

42

43

44

45

46

47

48

49

50

51

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -60

 -48

 -36

 -24

 -12

 0

 12

 24

 36

 48

 60

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

42

43

44

45

46

47

48

49

50

51

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Millions)

 -60

 -48

 -36

 -24

 -12

 0

 12

 24

 36

 48

 60

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

42

43

44

45

46

47

48

49

50

51
Chart 3.B: ETF Top 100

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price. Shares (Millions)

 -100

 -80

 -60

 -40

 -20

 0

 20

 40

 60

 80

 100

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

42

43

44

45

46

47

48

49

50

51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Millions)

 -90

 -72

 -54

 -36

 -18

 0

 18

 36

 54

 72

 90

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

42

43

44

45

46

47

48

49

50

51

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -90

 -72

 -54

 -36

 -18

 0

 18

 36

 54

 72

 90

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

42

43

44

45

46

47

48

49

50

51

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Millions)

 -80

 -64

 -48

 -32

 -16

 0

 16

 32

 48

 64

 80

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

42

43

44

45

46

47

48

49

50

51











































Chart 4.A: Accenture plc. (ACN)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 99.98% from $41.52 at 2:30PM to $0.01 at 2:47PM (based on TAQ data).

 There were 112 broken trades with 10,790 shares from 2:36pm to 3:02pm. There were 112 broken trades with 10,790 shares throughout the day. Shares (Thousands)

 -400

 -320

 -240

 -160

 -80

 0

 80

 160

 240

 320

 400

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

 

 

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -120

 -96

 -72

 -48

 -24

 0

 24

 48

 72

 96

 120

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0
Chart 4.B: Accenture plc. (ACN)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 99.98% from $41.52 at 2:30PM to $0.01 at 2:47PM (based on TAQ data).

 There were 112 broken trades with 10,790 shares from 2:36pm to 3:02pm. There were 112 broken trades with 10,790 shares throughout the day. Shares (Thousands)

 -1,000

 -800

 -600

 -400

 -200

 0

 200

 400

 600

 800

 1,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

 

 

Shares (Thousands)

 -700

 -560

 -420

 -280

 -140

 0

 140

 280

 420

 560

 700

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

0.0

4.5

9.0

13.5

18.0

22.5

27.0

31.5

36.0

40.5

45.0
Chart 5.A: Procter & Gamble Company (The) (PG)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 36.69% from $62.19 at 2:30PM to $39.37 at 2:47PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

39

43

47

51

55

59

63

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

39

43

47

51

55

59

63

 

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

39

43

47

51

55

59

63

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -1,200

 -960

 -720

 -480

 -240

 0

 240

 480

 720

 960

 1,200

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

39

43

47

51

55

59

63
Chart 5.B: Procter & Gamble Company (The) (PG)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 36.69% from $62.19 at 2:30PM to $39.37 at 2:47PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -4,000

 -3,200

 -2,400

 -1,600

 -800

 0

 800

 1,600

 2,400

 3,200

 4,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

39

43

47

51

55

59

63

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -4,000

 -3,200

 -2,400

 -1,600

 -800

 0

 800

 1,600

 2,400

 3,200

 4,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

39

43

47

51

55

59

63

 

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

39

43

47

51

55

59

63

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

39

43

47

51

55

59

63
Chart 6.A: 3M Company (MMM)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 19.65% from $84.61 at 2:30PM to $67.98 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -400

 -320

 -240

 -160

 -80

 0

 80

 160

 240

 320

 400

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

64

68

72

76

80

84

88

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

64

68

72

76

80

84

88

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

64

68

72

76

80

84

88

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

64

68

72

76

80

84

88
Chart 6.B: 3M Company (MMM)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 19.65% from $84.61 at 2:30PM to $67.98 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -800

 -640

 -480

 -320

 -160

 0

 160

 320

 480

 640

 800

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

64

68

72

76

80

84

88

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -800

 -640

 -480

 -320

 -160

 0

 160

 320

 480

 640

 800

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

64

68

72

76

80

84

88

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -800

 -640

 -480

 -320

 -160

 0

 160

 320

 480

 640

 800

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

64

68

72

76

80

84

88

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -700

 -560

 -420

 -280

 -140

 0

 140

 280

 420

 560

 700

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

64

68

72

76

80

84

88
Chart 7.A: International Business Machines Corporation (IBM)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 8.31% from $126.52 at 2:30PM to $116.00 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

116

118

120

122

124

126

128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

116

118

120

122

124

126

128

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

116

118

120

122

124

126

128

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

116

118

120

122

124

126

128
Chart 7.B: International Business Machines Corporation (IBM)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 8.31% from $126.52 at 2:30PM to $116.00 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

116

118

120

122

124

126

128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

116

118

120

122

124

126

128

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

116

118

120

122

124

126

128

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

116

118

120

122

124

126

128
Chart 8.A: Apple Inc. (AAPL)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 19.55% from $247.65 at 2:30PM to $199.25 at 2:46PM (based on TAQ data).

 There were no broken trades between 2:36pm to 3:02pm. There were 2 broken trades with 895 shares throughout the day. Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -300

 -240

 -180

 -120

 -60

 0

 60

 120

 180

 240

 300

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -200

 -160

 -120

 -80

 -40

 0

 40

 80

 120

 160

 200

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258
Chart 8.B: Apple Inc. (AAPL)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 19.55% from $247.65 at 2:30PM to $199.25 at 2:46PM (based on TAQ data).

 There were no broken trades between 2:36pm to 3:02pm. There were 2 broken trades with 895 shares throughout the day. Shares (Thousands)

 -900

 -720

 -540

 -360

 -180

 0

 180

 360

 540

 720

 900

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

 

 

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -600

 -480

 -360

 -240

 -120

 0

 120

 240

 360

 480

 600

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

198

202

206

210

214

218

222

226

230

234

238

242

246

250

254

258
Chart 9.A: General Electric Company (GE)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 13.29% from $17.30 at 2:30PM to $15.00 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

15

16

17

18

19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

15

16

17

18

19

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

15

16

17

18

19

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -1,200

 -960

 -720

 -480

 -240

 0

 240

 480

 720

 960

 1,200

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

15

16

17

18

19
Chart 9.B: General Electric Company (GE)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 13.29% from $17.30 at 2:30PM to $15.00 at 2:46PM (based on TAQ data).

 There were no broken trades on May 6, 2010. Shares (Thousands)

 -9,000

 -7,200

 -5,400

 -3,600

 -1,800

 0

 1,800

 3,600

 5,400

 7,200

 9,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

15

16

17

18

19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -8,000

 -6,400

 -4,800

 -3,200

 -1,600

 0

 1,600

 3,200

 4,800

 6,400

 8,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

15

16

17

18

19

 

 

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -8,000

 -6,400

 -4,800

 -3,200

 -1,600

 0

 1,600

 3,200

 4,800

 6,400

 8,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

15

16

17

18

19

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -7,000

 -5,600

 -4,200

 -2,800

 -1,400

 0

 1,400

 2,800

 4,200

 5,600

 7,000

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

15

16

17

18

19
Chart 10.A: Russell 2000 Index (Barclays) (IWM)

 Market Depth (within 500 basis points) and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 5.36% from $66.95 at 2:30PM to $63.36 at 2:45PM (based on TAQ data).

 There were no broken trades between 2:36pm to 3:02pm. There were 5 broken trades with 1,300 shares throughout the day. Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

63

64

65

66

67

68

69

70

71

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

63

64

65

66

67

68

69

70

71

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

63

64

65

66

67

68

69

70

71

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid-%0.1

Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5 Mid-%1.0

Mid-%2.0 Mid-%3.0 Mid-%5.0

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

63

64

65

66

67

68

69

70

71
Chart 10.B: Russell 2000 Index (Barclays) (IWM)

 Full Market Depth and Net Aggressive Buy Volume

 9:30am - 4:00pm 2:00pm - 3:30pm

 2:30pm - 3:00pm 2:40pm - 2:55pm

 The order book depth reflects the total number of shares in unfilled limit orders, by ticker and minute. The data combines the information from NYSE Openbook, ArcaBook, NASDAQ ModelView, and BATS order book data.

 Net Aggressive Buy Volume is defined as executed shares associated with aggressive buy orders minus executed shares associated with aggressive sell orders.

 Aggressive buy orders are market buy orders and buy orders at or above the offer price. Aggressive sell orders are market sell orders and sell orders at or below the bid price.

 The traded price fell 5.36% from $66.95 at 2:30PM to $63.36 at 2:45PM (based on TAQ data).

 There were no broken trades between 2:36pm to 3:02pm. There were 5 broken trades with 1,300 shares throughout the day. Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

9:30 10:00 10:30 11:00 11:30 12:00 12:30 1:00 1:30 2:00 2:30 3:00 3:30 4:00

Price

63

64

65

66

67

68

69

70

71

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM

Price

63

64

65

66

67

68

69

70

71

 

 

 

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -3,000

 -2,400

 -1,800

 -1,200

 -600

 0

 600

 1,200

 1,800

 2,400

 3,000

Time

2:30 PM 2:35 PM 2:40 PM 2:45 PM 2:50 PM 2:55 PM 3:00 PM

Price

63

64

65

66

67

68

69

70

71

Price: Minimum Executed Price Net Aggressive Buy Volume

Order Type: Mid+%0.1 Mid+%0.2 Mid+%0.3 Mid+%0.4 Mid+%0.5

Mid+%1.0 Mid+%2.0 Mid+%3.0 Mid+%5.0 Mid+%5.0+

Mid-%0.1 Mid-%0.2 Mid-%0.3 Mid-%0.4 Mid-%0.5

Mid-%1.0 Mid-%2.0 Mid-%3.0 Mid-%5.0 Mid-%5.0+

Shares (Thousands)

 -2,000

 -1,600

 -1,200

 -800

 -400

 0

 400

 800

 1,200

 1,600

 2,000

Time

2:40 PM 2:45 PM 2:50 PM 2:55 PM

Price

63

64

65

66

67

68

69

70

71