VIX Rises, Equity Futures Fall, Volume Disappears (Again)

Tyler Durden's picture

For the 22nd day of the last 23, the S&P 500 was unable to manage a 1% gain or loss, having only managed to gain/lose more than 0.25% four days in the last 16. It's dead Jim. S&P 500 e-mini futures (ES) volume was equal to its lowest volume of the year (in years) and NYSE shares traded were also near multi-year lows. While cash equity indices closed very marginally green, ES ended modestly red (shock horror). VIX kept leaking higher, closing at 17% (up 0.5 vols), its highest close in a month (and the premium-to-realized just keeps growing) - seems like noone wants to sell their stocks and everyone wants to hedge - how did that portfolio insurance work out last time everyone was on one side? EURUSD sold off - even with Draghi's OpEd and so today saw Equities Up (all <0.15%), Treasury yields Up (1-2bps >7Y), EURUSD Down 35 pips (and implicitly USD stronger by 0.23%), Commodities - Gold/Silver/Oil/Copper Down around 0.3-0.5%, and credit tracked stocks. A 7.75 point range in ES over its 24-hour period is almost multi-year lows and once again the late-day pull back from highs to VWAP (and into the red) was the only volume of the day. Energy lost, Discretionary gained (consumption data up?) as AAPL and FB dropped (ugliest at the close), and the 18-day range is the lowest since May07 (and we know what that was).

The S&P 500 has been incredibley range-bound...


amid falling volumes (lower pane) and the lowest range in over 5 years...(click for large chart)

and the Draghi Bump and Fail along with US GDP's (and the Beige Book's) better than expected data produced a QE-OFF style day into the close...


the ratio of implied vol to realized vol - a measure of the market's concern into the future - broke to near six-month highs today...


Chart: Bloomberg

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FL_Conservative's picture

At this rate, I guess we can look forward to eventually there being a trading day without any volume.

Hype Alert's picture

I thought the market flatlined today.  I expect someone to apply the paddles on Friday though.

intric8's picture

More charts of interest that an 8 year old could even read -

resurger's picture

If you see ten troubles coming down the road, you can be sure that nine will run into the ditch ....

HaroldWang's picture

And AMZN hits an all time high again with a 300 p/e. It's a strange world.

Mugatu's picture

Bernanke is now pushing for verbal QE versus real QE.  Expect more bullshit hope QE talk tomorrow.  

Go long bullshit and short equities.

trebuchet's picture

many peepz ( liquid money) short on this one, rest hedging with VIX......     

.... all the fast money is on no action yet the Unemployment is not budging down. 


Enthusiastic Ben may well surprise to the upside

connel20's picture

Times are good on Wall Street.  This year they could afford to take their algos with them on vacation.

mammoth mo's picture

QE3 priced in but not coming.

The Powers that be are trying to figure out which lie to go with.  Not to bump the price up because they know how to do that.  They need a lie that gets retail into the market.

Something snazzy.  Facebook didn't work.  Pumping Apple to the heavens isn't really working.  Printing money along QE3 lines will only make the rich richer.  They would much rather sucker retail in and steal their money.

As the old crazy guy that predicted the market crash back in the spring stated.  Price follows volume.  Low volume then soon to come low prices.  The only problem with his theory was he assumed this was a "normal" market.

What he forgot to factor in was the volume of a zombie market is not related to reality. 

resurger's picture

You are right, i think you are talking about Joe Granville

His theory of OBS is correct, the ramp in stocks from HFT, PPT and Fed's prop desk was astounding.

And if i was the Federal Reserve head, i wont do a LSAP and expand my balance sheet on the current market prices, at the end of the day you need a bargain

Will we see "On Plunge Volume"


malikai's picture

If QE3 is priced in, we're going to see some fire and brimstone if/when Benocide says icksnay. Either way, if there is a QE3, I'm still seeing it as a sell event. Too many high expectations of easy money combined with too many sharks in these here waters.

trebuchet's picture

Easy money has been promised to 2014 and no real action. 

Fed has dual mandate.

Not currency mandate, Not equities mandate, Not wealth mandate, Not election mandate. 


Inflation in target, expectations FIRMLY anchored (beige book confirming this morning)


Unemployment ticking up as world economy ticks down and US struggling to "decouple/stay afloat".


look at the BLS current State of Play. 


Consumer Price Index (CPI):
unchanged in Jul 2012

Unemployment Rate:
8.3% in Jul 2012

Payroll Employment:
+163,000(p) in Jul 2012

Average Hourly Earnings:
+$0.02(p) in Jul 2012

Producer Price Index (PPI):
+0.3%(p) in Jul 2012

Employment Cost Index (ECI):
+0.5% in 2nd Qtr of 2012

+1.6% in 2nd Qtr of 2012

U.S. Import Price Index:
-0.6% in Jul 2012

U.S. Export Price Index:
+0.5% in Jul 2012



To me, those numbers signal something needs to be done for unemployment mandate and could be on its way. 

Ben has been saying how "frustratingly slow" unemployment was falling - and numbers falling off the Aid programmes/long term unemployed/involuntary unemployment jeapordise income growth. productivity solid but undermined by strong dollar etc




Mugatu's picture

You forget that the FOMC is composed of the board of governors - seven members and five reserve bank presidents. The Bernank only has one vote.  He can't do whatever he pleases.  He needs a majority and he does not have it yet.

Just because the Bernank wants to do QE, it does not mean it will happen.  You need to learn how the system works.

trebuchet's picture

when i said "The Ben" i was using the term to mean the FOMC.   And indeed, your point i think adds to the possibility of an unemployment surprise...   Jackson Hole notwithstanding. 


LEt us put into context the way in which QE1,2,3 etc worked. IT was aimed at velocity of money action, liquidity action, preventing bank collapse. 

That is and remains the primary goal of ANY central bank: uphold the stability of the financial SYSTEM. Right now that has been "achieved", from a policy point of view (not debating how much).  Was QE an economic policy? YES to prevent collapse of money velocity, but it didnt stp deleveraging (GOOD) and it stoked inflation... which in a MEDIUM TERM inflation targeing institue is NOT A PROBLEM if that happens over 1-2 years AND inflation expectations remain anchored. 

Which they are, coz there is SO MUCH UNEMPLOYMENT. 

So now the Fed can turn to its second mandate - unemployment. This is NOT QE+ coz that doesnt address the issue. 

Its policy moves have been more and more biased towards that goal as inflation has come down: 

LSAP, OP TWIST, the "ZIRP is here to stay until 2014" = are all aimed at lowering long term interest rates/reduced uncertainty => increased INVESTMENT. 


Right NOW that isnt happening and hte latest Q2 results out of corporates is saying they are cutting investment to prop up falling EPS as revenues decline. 


So fed Knows it is heading into recession and existing policies DONT WORK. 


Q: if you were a fed govnur and you had spent last 5 yrs stopping the juggernaut from going off the cliff and the only thing left dragging it towards the cliff was lack of growth which was now slowing to point of recession, would you find a  way to fulfill your "dual mandate?"  or say:

"lets wait and see"?




Shelby Moore III's picture

CPI is a lie. Fed doesn't look at that for inflation expectations, as it says nothing about the market expectations. It looks at the 5 years treasury minus TIPS, which is nearing 2%, much too high for any QE3 now:

Hype Alert's picture

All the green shoots that were in the Beige Book today got walked on.  Where was the media hoopla?  Something's up.

malikai's picture

The luscious green shoots of plenty have become the burning, sloppy green sharts of paultry.

Hype Alert's picture

DOW might be green, but DOW transports aren't too happy.  In fact..

trebuchet's picture

This is Roboland ATM 

magpie's picture

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Hadda be said with big mouth

LiesAreTheOnlyTruth's picture

Hey, it takes time to get out of a billions of shares of stock at the top ... 100 shares at a time! Once the funds are done, and the saps are soaked, then it's ok to let it fall :)

gunsmoke011's picture

Thanks for the daily raps Tyler - they are great. In the old days, I would have associated this low volume churn near the highs as distribution - with those holding stocks finding it very hard to find buyers. In this "New Normal" ALGO Driven HFT market however I really don't know what to make of it. Technically - it looks to me like we are nearing oversold and have completely worked off the overbought without suffering much price damage. Then again, they say real CRASHES come from oversold reading. Guess we should find out soon since this compression can't go on forever.

Rainman's picture

Institutionals are locked up with nowhere to go..for now

Meesohaawnee's picture

lets just close the NYSE,NAS all markets at 12 ct..  its pointless. dont apply technicals to this abortion.

slewie the pi-rat's picture

perhaps everything is screwed.down.tight?

how could anyone rilly evah know 4 sure?

tyler would hafta tell her?  or him, of course...

JeremyWS's picture

What charting platform is the Second ES_F (black background)?

Many thanks.

Hype Alert's picture

Not sure, but it looks like the volume drop off we are seeing today is closer to the fade of Aug-Sept of 08.

Zero Govt's picture

the Elliot (Idiot?) Wavers have been calling for a correction for months.. every week/month they fail they go up another level in pitch, rather than admit they're totally clueless and fuking crap.... they're at Fever Pitch Def-Con 10 Uranus at the moment ..i don't think Prechter has any balls left he's so squeeky and shrill

seataka's picture

shorted financials, in FAZ

chump666's picture

The whole market is waiting for that idiot/s at Jackson Hole.  It's priced in, with end month selling sprinkled on top.  Equities need to recouple back to industrial metals that have been slaughtered despite the melt-up.  The industrial commodity market has priced out QE as ineffective, that and China is crashing, which means for a major melt up everything, China needs to go full mental on a stimulus program... but they do that and China will blow apart (housing bubble, food/oil inflation =  riots).

So, end month selling/profit taking with a panic + HFT madness + central bank confusion and uselessness = major sell.  Trade this, you best lock in the ECB and Fed puts, but you get a fat range between the lows and highs.

End 2012 to the election will be volatility, 2013 will be total chaos.  What ever central banks and governments do now will have little effect on boosting markets, but rather will cause major anguish/inflation/stagflation and turmoil as the oil price inflation rips into us all.

USD will be bid.

chump666's picture

that is f*cking frightening, one for the deflationists:

*near 5% slide in the iron ore price o/n to 90.30

but oil is bid.


Siegfried's picture

Yes the VIX surge, but why the VXX stall?

FinLen's picture

VXX is correlated to the futures...