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VIXtermination: Vol Banged To Lowest Close Since June 2007

Tyler Durden's picture


Instead of a full recap of the market today, which did nothing all day on the lowest NYSE volume day of the year, we will present just one chart to show how it is that once again the market got its nearly miraculous green close and last hour ramp to avoid a red close for the day, and possibly week. The chart is, as has been so very often the case recently, that of the spot VIX, where the now usual gimmick of dumping oodles of VIX futures served to do one thing only: bang the close (a technical term, one which used to be illegal) so hard that the market's algos took the reflexivity signal implied by the evaporation in volatility as an all clear signal and bought risk in what is becoming an expected daily occurrence.

And while the spot slid to close at 13.36, the lowest closing print since June 19, 2007, it was the dump in the last 25 seconds of trading that just had to be seen to be believed. Luckily, it can be seen below on the Bloomberg QR page showing it taking a step move lower from 13.38 to 13.22 at 15:59:35, before "recovering" to 13.38 just after the close.

VIXtermination full frontal:

And the promised QR screen.


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Fri, 01/11/2013 - 17:38 | 3145553 LawsofPhysics
LawsofPhysics's picture

Who runs bartertown?  FUCK YOU Bernanke!!!!!


Now about those treasury yields....


Must not alarm the sheep (and their pension funds), all is well...

Fri, 01/11/2013 - 17:42 | 3145568 slaughterer
slaughterer's picture

It is not just the Fed selling VOL.  There are other accomplices in this gang bang.

Fri, 01/11/2013 - 17:52 | 3145595 FL_Conservative
FL_Conservative's picture

Selling VOL and buying ES.  I guess that's how you make the new normal.  Glad there's NOTHING to worry about.

Fri, 01/11/2013 - 18:03 | 3145622 bania
bania's picture

why bang the close when you can bang dae ho!?

Fri, 01/11/2013 - 20:51 | 3145961 whstlblwr
whstlblwr's picture

Of course, the Jews did it!

Fri, 01/11/2013 - 17:57 | 3145606 LawsofPhysics
LawsofPhysics's picture

sure, some of the participants don't even know they are at a gangbang, aside from the slight discomfort they feel from time to time.

Fri, 01/11/2013 - 18:07 | 3145635 Joe moneybags
Joe moneybags's picture

The Fed may indeed sell VOL (using futures or options on those futures), but that doesn't influence the underlying VIX.  The VIX is computed by quants and algos at the CBOE, using option premia on the latest sales of S&P index options to come up with an implied volatility number. VIX is not directly bought or sold. Any small hiccup in the CBOE data, which occurs in increments less than a second, might produce a bad tick.  This miniscule fluctuation hardly rates an investigation.

Fri, 01/11/2013 - 18:33 | 3145707 ArkansasAngie
ArkansasAngie's picture

Butcher's thumb?

Cut that sucker off!

Fri, 01/11/2013 - 17:49 | 3145589 Silver Bug
Silver Bug's picture

Wow just sad. Have the robots gone to sleep?


Protect your Wealth. Keep Stacking.

Fri, 01/11/2013 - 22:02 | 3146223 SnobGobbler
SnobGobbler's picture

not yet, these volumes are high compared to what can happen.  ZH has already surmised the timeline to a "no-bid" market volume btw.

Fri, 01/11/2013 - 18:33 | 3145708 Deacon Frost
Deacon Frost's picture

Who runs bartertown?

It has the hallmarks' of Bernanke being 'Master' to Simon 'Harry' Potter being 'Blaster'.

Sat, 01/12/2013 - 10:11 | 3146892 The Axe
The Axe's picture

The pattern day trading in friday's market(which has been absent for years) reappeared in RIMM  NOK BBY and of course FB....this wild non-algo based trading is been long gone....Helped by the weekly options    

Fri, 01/11/2013 - 17:36 | 3145554 Dollar Bill Hiccup
Dollar Bill Hiccup's picture

God Bless America!

Land of the ... ?

Fri, 01/11/2013 - 17:36 | 3145558 electricgorilla
electricgorilla's picture

All we need is Tilson to short the VIX then we'd know a crash is near

Fri, 01/11/2013 - 17:39 | 3145563 Boilermaker
Boilermaker's picture

Well, it works and they don't give a fuck what we think about it.

Why would this stop?

Fri, 01/11/2013 - 17:41 | 3145567 spastic_colon
spastic_colon's picture

S&P 1500+ at all costs! - Ben

Fri, 01/11/2013 - 17:43 | 3145572 debtor of last ...
debtor of last resort's picture

After the close... Nice term.

Fri, 01/11/2013 - 17:51 | 3145584 Cdad
Cdad's picture

Kevin Henry should write a book: "How to fool the dumbest algorithm in the room"  How all these stat arb hedge funds make any money at a mystery to me.

It is all so patently obvious...there is no longer a market.  Thank you, Ben Bernanke, for this wasteland you have created for us.

This is not the first time I have seen that closing pattern on the VIX.  Don't remember when it was...but that pattern did, indeed, mark a reversal.  Of course past is not prologue...but since there is no market, and I am talking to myself, what does any of it matter?

Sat, 01/12/2013 - 07:41 | 3146802 Yen Cross
Yen Cross's picture

You kick ass C-Dad

Fri, 01/11/2013 - 17:49 | 3145588 AldoHux_IV
AldoHux_IV's picture

In a world of algos, correlations, and grougthink who woulda thunk you can own the world with one button? Hint: marriner eccles

Fri, 01/11/2013 - 17:51 | 3145591 Martdin
Martdin's picture

I'm gonna make a mental note of this for the next time the world is ending.

Fri, 01/11/2013 - 17:58 | 3145598 Ham-bone
Ham-bone's picture

Since 2010, every new spike low in the vix descending lows has correlated w/ the short term S&P tops (each Vix low correlating w/ a new S&P post '09 high)...6 for 6, seems likely this will be 7 for 7.

Fri, 01/11/2013 - 17:59 | 3145612 LawsofPhysics
LawsofPhysics's picture

That would be a useful chart.

Fri, 01/11/2013 - 18:36 | 3145668 Ham-bone
Ham-bone's picture

just cross reference S&P 500 vs. vix on any charting service or Marketwatch or Yahoo finance.  However, just cause it has been working doesn't mean it will careful.

Funny thing...although vix spike lows have actually correlated perfectly w/ S&P tops since '09 (within days), vix peaks have not correlated w/ S&P bottoms...hmmm.  Vix peaks seem to have come several months prior to S&P bottoms.  Even funnier is every major vix spike low in '10, '11, '12 all saw within about 3 months a minimum doubling to tripling of the vix from spike low to peak.

Fri, 01/11/2013 - 17:58 | 3145610 disabledvet
disabledvet's picture

I feel as though I have impugned the honor of people in what is perceived as a public space. While I still feel like I "hanging out with the smokers" from back in my school daze being here...sorry for personal offense. Now excuse me while "project vix" takes a nap too.

Fri, 01/11/2013 - 19:55 | 3145881 knukles
knukles's picture

after 420 somewhere

Fri, 01/11/2013 - 17:59 | 3145613 dirtyfiles
dirtyfiles's picture

looks like this index will be replaced by some new centrally planed and more stable by re balancing maybe?

Fri, 01/11/2013 - 18:00 | 3145615 Quinvarius
Quinvarius's picture

If you hae infinite money, you can set paper wherever you the cost of the real economy.  That is why I prefer stuff they can't control with a printing press or a margin account.

Fri, 01/11/2013 - 18:00 | 3145617 Lord Of Finance
Lord Of Finance's picture

3/4 of a trillion flowing out of stocks and piling into bonds while the DOW flirts with all time highs is a recipe for great disaster. Probably not this year though. I believe the vix is always late to the "party". 

We clearly see this slow train wreck a commin'.


Forget the useless vix

Fri, 01/11/2013 - 18:09 | 3145640 otto skorzeny
otto skorzeny's picture

CNBC was touting all of the $ pouring back into mutual funds today-?????

Fri, 01/11/2013 - 18:04 | 3145624 LongSoupLine
LongSoupLine's picture

Like I said previous, nothing the fuck stick fed does shocks me anymore. Fucking corruption and collusion beyond fucking comprehension.

Fuck off wall street dickheads.

Fri, 01/11/2013 - 18:07 | 3145632 Say What Again
Say What Again's picture


Is it possible for the HFT Algos to perfom their "quote stuffing" tricks on the VIX futures, VXX, etc.?

Fri, 01/11/2013 - 18:18 | 3145671 Joe moneybags
Joe moneybags's picture

VIX futures and the VXX, like stocks, ETF's, and futures, can be and are easily influenced by HFT algos, and big traders.  There can be discounts and premiums in the VXX, as well as its underlying, the VIX futures, and those certainly can be influenced by large and multiple stuffed quotes.

Fri, 01/11/2013 - 19:54 | 3145877 disabledvet
disabledvet's picture

Oil and gasoline futures...that's where the big boys lurk. There is a point where the media will say the word "glut" and the term will stick. What's holding up that price given the ridiculous manipulation of GDP numbers is beyond me. From Ben Bernanke "shoving everyone into equities" to "bog oil shoving everyone into transports...with orders to do 90 mph."

Sat, 01/12/2013 - 19:57 | 3147771 smiler03
smiler03's picture

 "VIX futures and the VXX, like stocks, ETF's, and futures, can be and are easily influenced by HFT algos, and big traders."


Like I thought, the VIX is rigged.

Sun, 01/13/2013 - 14:15 | 3148999 MeelionDollerBogus
MeelionDollerBogus's picture

EVERYTHING is rigged.

I thought that would be obvious by now.

Fri, 01/11/2013 - 18:08 | 3145636 otto skorzeny
otto skorzeny's picture

at this rate TVIX will be due for another 10-for-1 split in a few weeks

Fri, 01/11/2013 - 18:08 | 3145637 alangreedspank
alangreedspank's picture

No VIX = fully centrally controlled command economy. It would have been awful to lose WW2 or the Cold War because we might have been under a fascist or socialist dictatorship #irony...

Fri, 01/11/2013 - 18:12 | 3145655 no life
no life's picture

Steve The Fuckbag Liesman likes it!

Fri, 01/11/2013 - 18:58 | 3145663 Say What Again
Say What Again's picture

Here is another interesting tidbit of info.

Look at the close for $VIN.X and compare that to $VIF.X.

VIN does NOT seem to have been slammed at the close, but  VIF WAS slammed.

Fri, 01/11/2013 - 18:15 | 3145664 ForWhomTheTollBuilds
ForWhomTheTollBuilds's picture

You know, I sometimes think the best argument that gold is not manipulated is that compared to all the other market charts, its not really that bad.

Sun, 01/13/2013 - 14:02 | 3148983 MeelionDollerBogus
MeelionDollerBogus's picture

so very true, look at the miners for rare earths, gold, silver, tell me those aren't each manipulated. May or may not be HFT involved but it's a great way to lose all your money.

Fri, 01/11/2013 - 18:47 | 3145746 Super Broccoli
Super Broccoli's picture

selling to green ? NO buying to green ! But does sell or buy makes any difference to an algo that drives the market up or down 1 to 2 % in a few miliseconds ?

Fri, 01/11/2013 - 19:11 | 3145806 ekm
ekm's picture

This is what happens when primary dealers are bouncing the same stocks over and over and over and over in dark pools.


We're close to the pooooooooooop.


Fri, 01/11/2013 - 19:35 | 3145838 El Hosel
El Hosel's picture

Bernanke has said the Fed targets volatility, wants orderly markets, wants the wealth effect.... Rigged markets plain and simple are the new  normal policy. Nobody but us doom and gloomers here at ZH gives a shit?

Fri, 01/11/2013 - 19:25 | 3145823 sablya
sablya's picture

I mystified by the explanation given for the drop in gold and silver today: 

Gold prices fell on Friday after investors sold the yellow metal to take profits, especially after Chinese inflation rates came in higher than expected.


Since when is higher inflation a reason to sell gold?  The further explanation is: 

Gold prices rallied to levels ripe for profit taking especially after Chinese inflation data came in stronger than expected, quelling expectations for Beijing to stimulate its economy, a potentially bullish event for gold.

The reason that stimulation is bullish for gold is because it is inflationary!  Right?? RIGHT??  So, wtf are these morons thinking _selling_ gold because inflation is too high to stimulate the economy?

Fri, 01/11/2013 - 22:16 | 3146250 SnobGobbler
SnobGobbler's picture

it's double-speak my friend, put your bullshit-colored glasses back on..seriously, it makes the bullshit invisible.


Fri, 01/11/2013 - 19:24 | 3145827 PAWNMAN
PAWNMAN's picture

Beyond belief how day after day, since New Years, Gold and Silver are one day up next day down. Meanwhile, theres a floor under the BS stock market. This article explains alot.

Sun, 01/13/2013 - 04:57 | 3148497 MeelionDollerBogus
MeelionDollerBogus's picture

goldpricemodel 2013 projection

You've seen TINY gold moves.

This is what we have been dealing with up to this point ... come on, grow a pair:

2012 11 05 277week ROC -goldpricemodel

2012 06 18 277week roc 02 goldpricemodel 2011 Jan to 2012 Dec 28

Fri, 01/11/2013 - 19:42 | 3145857 mrfreeman
mrfreeman's picture

I don't think gold and silver will be able to rally significantly while the commercials are long/neutral on the dollar.  And I smell a rat somewhere, because the commercials are MASSIVELY long on the JPY (probably due to the recent heavy sell-off).  So for the commercials to make money on those long positions (or not lose money), wouldn't there have to be a big rally in the JPY (which equals risk OFF doesn't it??)!!!  Maybe the JPY will rally hard, but the USD only a bit.  I suppose gold could find a bid too, but not if the commercials are heavily short on other risk assets (erm, like copper, silver, oil, AUD, GBP, S+P, stocks, etc. etc....which they ARE).

So in other words it looks like the opposite situation to last summer when Super Mario came out of his cave and did whatever it took! Lol

Fri, 01/11/2013 - 19:46 | 3145860 jonjon831983
jonjon831983's picture

Check out this casualty of low volumes: "Penson Worldwide Inc. Files for Bankruptcy in Delaware"


"“Average daily trading volume in equities fell by 5 percent in 2010 and 8 percent in 2011, and short selling continued to fall in each of the years from 2009 through 2011,” Bryce B. Engel, chief operating officer of Penson Worldwide, said in court papers.

“This decrease in market participation and activity had a direct, negative impact on Penson’s commission and interest revenues which were closely correlated to activity in the financial markets,” Engel said."

Sat, 01/12/2013 - 00:18 | 3146483 ekm
ekm's picture

It will continue and continue and continue and continue and continue until...........Primary Dealers are ordered to release the stocks into the market, thus collapsing 1 or 2 of them.


Currently, there's nothing to trade.

Fri, 01/11/2013 - 20:01 | 3145886 q99x2
q99x2's picture

How bout converting this site to a tech evolution site. Since the FED took over the world not much to talk about here. It would be different if the banksters could be prosecuted but not allowed under Holder's reign. So fake markets yeild hypothetical conversations. Its like lost its meaning.

Fri, 01/11/2013 - 20:19 | 3145950 Future Jim
Future Jim's picture

When will the VIX soar? How long can they keep this up?

VXX and VXZ were good bets a couple of times, but now I am getting killed.

Fri, 01/11/2013 - 22:18 | 3146271 Kr4sh35
Kr4sh35's picture

Patience grasshopper. Soon u shall be able to snatch the pebble.

Fri, 01/11/2013 - 20:58 | 3146056 glenlloyd
glenlloyd's picture

First, there will be no investigation into any of this wrong doing.

Second, at some point all parties will lose control, it can't go on forever, mean reversion will not be ignored.

When it will happen? Who knows...but it will happen.

Fri, 01/11/2013 - 21:42 | 3146171 Solarman
Solarman's picture

For some of you insiders, is it true that the banks need a reset of the Vix to be able to make money on selling options to speculators?


Thanks in advance for your response.

Fri, 01/11/2013 - 21:49 | 3146187 Solarman
Solarman's picture

My comparison chart on VXN and SPY, monthly.  Seems to be a correlation.

Sun, 01/13/2013 - 04:50 | 3148492 MeelionDollerBogus
MeelionDollerBogus's picture

Ya, it's this correlation:

vxx vs spy 02 zoomed in, see

vxx vs spy 01 zoomed out, see

vxx & vix move fairly closely together, not perfectly though.

Fri, 01/11/2013 - 21:52 | 3146195 Solarman
Solarman's picture

Probably a better look

Fri, 01/11/2013 - 23:50 | 3146448 Yen Cross
Yen Cross's picture

High Yield/ every one wants corporate high yield. POOF. Yields are going up and corporate bonds will be snuffed. There might be a buy back run s/t.

Fri, 01/11/2013 - 23:52 | 3146452 ReactionToClose...
ReactionToClosedMinds's picture

Tom McClellan has an interesting chart analysis as well on his website as weekly free article:

The Disappearing Volume


fascinating reading here at ZH and other experienced, astute, conflict-free analysts

Sat, 01/12/2013 - 04:14 | 3146717 Yen Cross
Yen Cross's picture


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Sat, 01/12/2013 - 05:12 | 3146718 Yen Cross
Yen Cross's picture
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Sat, 01/12/2013 - 07:44 | 3146736 Yen Cross
Yen Cross's picture

Hogs Breath! North Korean fantasies! Who pillaged my login?

Sat, 01/12/2013 - 09:26 | 3146855 dcb
dcb's picture

lol, the largest volume spike o the day was in the last two minutes, can't get more classic than banging the drum at the close. but I assure you the sec isn't going to see it day and and out

Sat, 01/12/2013 - 11:27 | 3146964 d edwards
d edwards's picture

Smacks of a classic market top.

Sat, 01/12/2013 - 16:48 | 3147478 Kreditanstalt
Kreditanstalt's picture

If every institutional/algo participant in this "market" is skimming and scamming one another, and real trading human participation is approaching extinction, trading profits must be shrinking.

Soon to be only thousanths-of-a-penny per trade...they HAVE to be cannibalizing one another already.


Sat, 01/12/2013 - 19:49 | 3147754 smiler03
smiler03's picture

The day the VIX atually "signals" anything will be the day that I take any notice of it.

Sun, 01/13/2013 - 01:48 | 3148345 resurger
resurger's picture

sup Liberty 33!

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