A stock is 100.00/100.10 with 200 lots on each side. A 5,000 lot print goes through at 100.10 and the offer immediately refreshes at 100.10 with 200 lots again. What do you infer, and where do you quote?

A stock is 100.00/100.10 with 200 lots on each side. A 5,000 lot print goes through at 100.10 and the offer immediately refreshes at 100.10 with 200 lots again. What do you infer, and where do you quote?

Approach: Ask what kind of participant refreshes an offer that has just been lifted in size, and what that implies about the supply resting above the market that the book does not display.

Quote lower, around 99.95 bid at 100.05 offer, and be willing to finish short. An offer that refreshes at the same price after being lifted for 5,000 lots is a seller with more to do, so the 200 lots shown are a slice of a larger order and the supply above the market is deeper than the book displays. If a buyer had paid for 5,000 lots on information the offer would be gone, and it is back. Fair value is therefore at or below 100.10, so quoting symmetrically around the 100.05 mid means buying from a seller who will keep selling. The inference reverses if the refresh arrives only after a delay and at a higher price, which is a maker repricing rather than a worked order.

Follow-up: The offer refreshes three more times and then jumps to 100.30 with 2,000 lots. What changed and how do you reposition?

Key concepts: order flow inference, refresh, quote placement, hidden supply.