Some back of the envelope calculation for UNG (ETF in the top Nanex graph) profits for the early mover. In the second before the announcement UNG was trading a

Some back of the envelope calculation for UNG (ETF in the top Nanex graph) profits for the early mover. In the second before the announcement UNG was trading at $18.72 High and $18.55 Low. According to some minutely data I saw 400,000 shares where traded between 10:29:00 and 10:30:00; I believe this ties out with the first Nanex chart where there are 490,000 shares traded, with majority of it coming in 400 ms before the 10:30:00 mark. 4 Seconds after the 10:30:00 report release the price had stabilized at around 18.51. I will consider this $18.51 the fair price with all resonably fast algos having made their post release moves. Let us assume that there was a single trader/algo who got the report early and executed all of the 400,000 share sells 400ms before 10:30:00 and all other market participants only bought. Additionally assume that the average fill for these sell trades was the average of the High and the Low at (18.72 + 18.55)/2= $18.635. I believe this fair because looking at the first Nanex graph the early trades are somewhat uniformly distributed between the high and the low. In a simple arb on UNG, where the trader went short 400ms before the the announcement and closed the position at the fair price a few seconds after the announcement he stands to make a profit of (18.635 - 18.51) * 400,000= $50,000. For a trade that lasts 5 seconds, making $50,000 is nothing to sneeze at, it is not that much in grand scheme of things. Additionally other ETFS and futures were impacted and could have made more or less money. TL;DR: If one guy captured all the profit from the early UNG trade, the max he made was roughly $50,000.