Just A Very Visible Fat Finger?

Tyler Durden's picture

Equities did it again - and no matter what narrative a mainstream media channel needs to comprehend the monkey-hammering that occurs every second in our 'market', it seems a fat-finger 50k block of S&P 500 e-mini futures (or around $3.3bn notional equivalent) was enough drive the nominal price index up 1% to close the day-session almost green (and rather notably right at yesterday's closing VWAP). All the highly correlated sectors of the equity market surged with them (led by Energy and leaving financials just in the red) and while Treasury yields did leak higher and EURUSD did rally, the moves were miniscule in comparison to someone's desire to own $3.3bn equivalent equity market risk into the close. Silver and Oil plunged early but recovered some into the close as stocks surged but tracked each other tick for tick for tick in general. Equities end the day modestly lower with VIX modestly higher as they saw average volume (thanks to the surge) but a drop in average trade size (algo tickler). Financials were saved by this as most recovered some of their losses with JPM limping up to close at Tuesday's closing VWAP. Credit and equity closed generally in line as IG/HY were very quiet and just being reracked along with stocks as opposed to seeing heavy flow.

The chart below shows ES along with VWAP (red) and 1- and 2-sigma VWAP bands around it. The green dotted line links yesterday's closing VWAP to today's ES close - coincidence?

It seems that there is some mirroring in the early selling and late buying pressure so we would not get too excited by the suggestion that someone knows something...

shown clearly aberrant relative to Treasuries, Gold, and the USD...

 

and commodities which plunged early, recovered a little on the equity surge...

 

Perhaps it was the 'over-reaction' of stocks relative to credit early on that spurred the late-day reaction? Though from talking to desks, credit was dead quiet and was being re-racked as opposed to 'traded' up and down...

 

Charts: Bloomberg