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VIX WTF Deja Vu

Tyler Durden's picture




 

On a day when the CBOE was struggling to disseminate data, exchanges proclaiming self-help against one another, weekly expirations and an AAPL share price well below early week pin-risk levels, it makes perfect sense that it would be a VIX-sparked momentum ignition algo that would lift a super-low-volume day in US stocks from perfectly at VWAP to close at their highs (banging them 0.25% higher in the last 3 minutes of the day)... all we can say is WTF...

VIX moved first - even as the S&P was falling, then that turned around and ripped stocks to their highs. Behold the now traditional "banging of the VIX close"

 

but the moment we hit VWAP... the algos kicked in and volume spiked...

 

and how that looked in the cash Dow market...

 

So it would appear someone was looking to unwind their hedged positions... i.e. sell puts back and sell their underlying stock (as is clear VIX was falling as stocks were falling in the few minutes from 1530-1555ET). Then once the selling had pushed ES down to VWAP, the algos were in trouble (remember they get paid for best execution and so want to execute client's selling orders ABOVE VWAP)... the momentum ignition algo was engaged and voila we see a 30 point ramp in the Dow and 5 point spurt in the S&P that provides the exits for a massive volume spike...

There were large blocks going through into the highs of the cash close - on wowuld assume professionals do not wait til the end of the day to buy in size like that after a week like we had...

 

Now - where have we seen that before? (Wednesday?).... at almost the exact same levels on the S&P

 

and the last time the Dow had such a great week!!! In January!!!

 

 

Charts: Bloomberg

 

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