"We had practically zero—the lowest liquidity I've ever seen going into it," Hunsader said. "In past years, you've seen fewer and fewer orders sitting on the book, but this time nothing. So when the news got released it didn't take a whole lot to move it."
And as the moves on the news get bigger and bigger, traders have a larger incentive to "stay on the timelines and wait for it to settle out" when major news is released, exacerbating the liquidity problem over time.
"Experienced people try to stay away from the NFP for the most part," said Chris Ciovacco, CEO of Atlanta-based Ciovacco Capital Management, referring to the nonfarm payroll figure. "It's not unusual for traders to say, I want to come into this report flat. Meanwhile, if you're an investor, you try to just look away."
(Read more: Wits beat out speed in S&P's post-taper surge)