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Volatility Algo Freak Out Leads To VIX Crash, VXX Smash In Milliseconds
Earlier today, when previewing today's quad witching day, we casually predicted that a "vol surge" lay ahead. What we really meant was a vol of vol surge, because just over an hour into today's trading, an HFT algo briefly lost it as it sent the critical VXX ETF (whose continued decline today has assured that the June E-Mini contract is now trading solidly above 2100 and pushing the S&P to fresh record highs).
The spike can be seen here:
... Which in turn led to a matched and just as ridiculous move in VIX:
Nanex' Eric Hunsader provided a zoomed in version of the flash smashy festivities, which one really should just sit back and enjoy:
The new game: $VXX induced arbitrage, faster, and better than you. This went down in 3 seconds: pic.twitter.com/JpAdGCvzCf
— Eric Scott Hunsader (@nanexllc) March 20, 2015
Bad #HFT algo in $VIX - 33% of all U.S. stock trading in these symbols. Chart shows 10 seconds pic.twitter.com/vu2r7sxeDA
— Eric Scott Hunsader (@nanexllc) March 20, 2015
And the day is not even halfway done. Expect many more algo-induced market freak outs now that not only the biotech sector...
... but the entire S&P500 is back in parabolic blow off top mode.
As for the market, which is now nothing more than a daily crime scene, events like these will continue as long as they provide short-term, paper benefits to more than half of the trading population. It is only after the crash that the wrath of the regulators, misplaced for the past 7 years, will magically reappear.
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I lived through the contango my ass TVIX debacle at the end of 2011. Its the machines. They are going to rise up and kill us.
I am living the TVIX/VXX nightmare right now. The 'markets' should be volatile, but since they are rigged I am going to get effed out of my gambling funds as volatility is not in the plans of these manipulative banker assholes.
What is funnier is that I decided to wait a couple days to buy another hundred ounces of poor mans gold. That is working out quite well. Damnit.
I used to have stocks, then after losing a few bucks and finding this website, I'm completely out of the rigged market game and very happily dollar cost average gold and silver.
I totally agree wih you Agstacker...
Thinner and thinner and thinner and thinner. Like stretching out a piece of cheesecloth. Oh, hey, look at all the holes in this thing!
But the game will be played till the last bigger fool show's up. Computers do what they are programmed to do and do it very quickly so fasten your seatbelt cause there's rough weather ahead....
Easier to see the digital schizophrenia in low vol.
You're going to get killed in VXX. Spot VIX is at 12.88 and the two front month futures are at 15.98 and 17.93 respectively. Remember how those ETN's operate, sell them and stay out until there is major flattening in the VIX curve, and based on that curve, VXX is probably going to $20 within the next 2 - 3 weeks.
That fits in well with the new VXX "range-change" and the April thru mid-July "lower volatility in general. Thanks for the tip/opinion.
Would you post a link to the futures aspect of your comment if it different than this? http://www.cboe.com/DelayedQuote/SSFQuote.aspx Thank you and good luck and God bless all of us.
This is just the VIX and the 3 front month futures.
http://www.cboe.com/micro/VIX/vixintro.aspx
Thank you! Will bookmark immediately. Good luck in your trading; may the Lord give you wisdom.
No kidding the low end was $2.01-$2.05; now the new norm is $1.71 and maybe lower. It is somewhat normal for volatility to begin to decline between mid April to mid-July. Look for new lows on VXX options during this time-frame. Whatever the 52 week low/high is; shave off about 20%, for that is the new norm.
-The key is wait till "your" price comes in and then be patient to "your" higher price comes in. The key is patience and discipline because the vast majority are trading this based off of impatience, thus feeding into the algorithm machines. On volatility; at least 2-3 months out to give time for your price to come in and go out. Good luck.
The quad witching vol is nowhere to be seen. Prediction fail #2897
Just proves that the FED owns everything!
Flash Crash = Cash
"...the wrath of the regulators, misplaced for the past 7 years, will magically reappear."
LOL - made my day!
Neil Young: Look out mama, there's an algo comin' up the river
(on many charts, the 11:38 2-min candle just had a hellacious volume spike)
I have noticed that Yahoo Finance will literally "erase" those volumes a day or two later; I have been watching this for quite some time.
-For instance, the spike at 1:59:45pm est, seconds before Yellen spoke, we saw flashes on every chart, but now what is left is the trend line, but the volume spikes have been fractionalized to the downward side...thus destroying the evidence??
Interesting, but doubt investigators would get their volume data from Yahoo Finance, instead this is probably either an auto-draw program that removes spikes to keep the charts pretty, or manual “this can’t be right” data-cleansing adjustments. Should be an easy thing for the SEC to see, but of course they're underfunded, and underbrained.
It's all about the Federal Reserve (William Dudley) pumping these markets higher.
there is no market there is only a couple of old yeller financed algos playing pong
Pong. was thinking the exact same Buzz.
Dear SEC = where the fuck are you? I know, I know, they're needed for "liquidity."
Signed,
A Card-Carrying Cynic
isn't VXX a long Vix ETF... ?
Yep, that's why the sudden spike up on such a big bull ATH day, followed by an expected decline, is so fascinatin'
But the post implies a spike in VXX "led to" a plunge in the Vix, which makes no sense
I guess like everything else, lol
Tyler provided the pretty pink ovals to highlight the spike on both charts, so you can see VIX appeared to crash and pop, while VXX just popped then resumed normal day's trend.
BELIEVE IN THE ZERO HEDGE OVALS. CHARTS THAT LOOK SIMILAR ARE CORRELATED, WHICH MEANS THEY ONE CAUSES THE OTHER. IGNORE THE AXIS LABELS.
Do you work here? :)
As far back as the days of Adam & Eve, scaling has been utilized to prove a point, such as Adam's loincloth
OMG!
It's the dreaded pink penis spike.
Everyone mortgage is paid off, student debt is ZERO, Obamacare is breaking even, Social Security, Medicare, Medicaid are paid up....There is no debt, productivity increased 50%, the central bank is solvant, all the states have no deficits, Obama paid back the $10 Trillion Tab, we just apologized to all our pissed allies, we are friends with Russia....Did I miss any other news items driving the market higher?
If this wasn't our lives it would be funny....but the banks are killing society and no one understands this.
It's topping out, the process has just about run it's last algo.....
It's snowing in NYC\east, which means slower economy, which means stocks higher...
Why is silver "spiking" surely thats no longer allowed. (no seriously, any you genious,s enlighten a poor muppet ?)
this strategy seems to work:
JFB
Just Fucking Buy
btfd.
paper silver is part of the process...
paper, is only paper, you can possess a house with paper, when you wanna go in findong with 10 blacks with dogs and stuff, the only valuable key to the house is written on it s&w, colt, kimber, and some others famous key vendors.
So they smash it to pick up VIX shares on the cheap...knowing a disaster in credit markets and shadow banking is just around the corner. Well played Mr. HFT ALGO...well played.
Sell gold/buy equities is the only strategy that's worked for years.