What happened at 1:45pm today?
Hey everyone. Was doing some digging just now to see what happened with that volume surge between 1:45pm and 2:00pm and may have found it.
A large trade was executed at 1:12pm, which is the very minute GME reached its daily low. The trade was for 952 Jan 17 $15 calls which went at the ask. The trade amounted to $1,147,160 and translates to 95,200 shares. Since these calls are deep in the money and expire today, they have a delta of 1.
You can see on the 1m chart below that this exact minute was the low of the day at $27.02. You can also see there was no significant volume after this trade occurred.
For reference, that first large green volume candle that occurred in-between the time of the trade and the volume surge is 14K of volume, and the largest candle you see at 1:55pm is 43K volume.
I also checked the dark pools to see the volume between 1:12pm and 1:45pm and there was nothing significant until a large amount of buying began at 1:52pm, which corresponds to the 2nd largest volume candle in the chart above.
You can see in the table below that volume started picking up at 1:45pm, and then at 1:51pm the on balance volume flipped positive and started surging.
You can see in the chart above that there's a period of 2-3 minutes of low volume between the two largest volume candles. That's the time frame that volume surged in the dark pools.
My guess is that between 1:52pm - 1:55pm volume really started picking up, and to avoid the price going up any further they began routing orders to the dark pool. You can see the volume surge right at 1:53pm in the table below, which corresponds to the smaller of the two candles between the two largest in the chart above.
Also, you can't see it in either of the two pictures above, but the on balance volume was ranging between -100K and -220K between 11:23am - 1:45pm when volume started picking up.
So I believe that the buying that occurred around 1:45pm was initiated by this large in the money call option trade for ~100K shares. That buying seems to have started a mini rally which eventually caused volume to need to be routed off exchange in order to avoid the price breaching $29 into the weekend.
Perhaps we would've closed above $28 if price kept running, which would've caused a bunch of calls at the $28 strike to go in the money. The open interest on the $28 call was 6,842, with another 19,646 in volume today. If you're a market maker and you see price approaching $29, you probably want to nip it in the bud and kill the rally by routing buy orders off exchange.
On another note, interestingly enough the second largest trade for the $15 strike expiring today occurred almost exactly an hour before the 952 call order (almost to the second).
This was an order for 499 calls at the same price of $12.05. This is a $600K trade amounting to about 50K shares. As I said above, on balance volume was ranging during this time between -100K and -220K in the dark pool. It only flipped positive at exactly 1:45. You can see in the chart below that no significant volume occurred after this trade either and price actually kept going down.
I checked the time and sales for the $20 and $25 strike that expire today and nothing comes close to the size of these trades. I don't know about you, but to me it seems like at 1:12pm, someone didn't want us going below $27.
Enjoy the weekend.