>>> For most of the day, the bid size was significantly larger than the ask size, sometimes as much as 10 times larger
I am not going to say that there is not some degree of manipulation to the PPS at any given time. What I do want to point out though, is that when you are looking at the Bid/Ask board, what you see is the limit orders that have been placed. Those trades will not be executed unless someone decides to buy at the ask limit or sell at the bid limit. So... while the number of bid orders may be much higher than ask orders, the bids may very well be much more resolute about the price they’re looking for. So it is not so much supply and demand as the price the balance of the orders is willing to settle upon at any given time.
The price jumped at the outset of the news break because people did not fully read the release and assumed it was the buyout they were waiting for.
any idea what the fnm/fre spike down at roughly 2:10 was about? 50% drops in tandem on nothing I could find. Looked like a case of 2 huge sell orders being given to a gopher clerk to execute (or margin call forced liquidation, often just as sloppy.)