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Volume Crashes As S&P 500 Breaks Winning Streak And VIX Plunges To Five Year Lows

Tyler Durden's picture


The cash S&P 500 closed very modestly in the red - but tried its best into the end of the day-session to get green to make it seven-in-a-row. After-hours, amid heavier block size, S&P 500 e-mini futures (ES) pushed up to the overnight highs and tried to hold green but failed. NYSE volume plunged - almost unbelievably to be frank - to its lowest non-holiday-trading day volume in over a decade. Intraday ranges remain tiny and average trade size unremarkable as ES is still suffering from the post-Knight slashing in volume.

Credit underperformed once again - though a late-day surge up to Friday's closing VWAP in HYG (on decent volume) suggested sizable sellers as opposed to buyers (though some arb against intrinsics is likely too). All-in-all, an odd day (again): TSYs unch (though was -3-4bps intra), USD -0.18% (EUR +0.38%), Gold/Silver -1.2%, WTI unch (after a plungefest earlier that recovered about half its loss), Copper -0.7%. VIX clattered down to a 13 handle into the close - the lowest close in over 5 years - but notably unlike March when we were down here - the term-structure is considerably steeper.

Tech and Financials were the only sectors green today as Materials and Energy underperformed. Equities and broad risk-assets remained relatively in sync and correlated but by the close, US stocks had become modestly rich. Are we witnessing Gross' death of equities?


Stunningly - today's NYSE volume was 3 standard-deviations below its 9 year trend lower on an EXPONENTIAL chart!!! - this is easily the lowest NYSE volume day of trading that is not a holiday!!

Just to be clear - and with no hyperbole - NYSE volume has trended exponentially lower for over 8 years and today's volume was still a 3-Sigma outlier to the downside!!


Clearly something broke with Knight's algo going full-retard! ES volume since has plunged from an average over the last 4 months of 2.2 million contracts to an average over the last few days of only 1.25 million contracts - a 45% plunge instantaneously!!



The plunge in realized volatility given the extremely low ranges of the last few days has dragged VIX to five-year lows - though the term-structure is at its steepest  in years also now...


and credit remains a notable underperformer (despite HYG's cheapness relative to NAV)...


across asset classes, risk remained relative well-behaved - with VXX/TLT/HYG all staying closely in sync with SPY (despite some early exuberance by SPY -upper left). CONTEXT, our broad risk aset proxy - remained highly correlated, drove risk-off into the European close - but then US equities reovered notably more into the close...



Charts: Bloomberg and Capital Context


Bonus Chart: Group-OFF!

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Mon, 08/13/2012 - 16:28 | 2701866 Silver Bug
Silver Bug's picture

Have the robots gone to sleep?



Mon, 08/13/2012 - 16:31 | 2701882 Clueless Economist
Clueless Economist's picture

Very slow day, we need a Graham Summers post pushing his valuable newsletters.

Mon, 08/13/2012 - 16:38 | 2701906 Skateboarder
Skateboarder's picture

"I've been warning you about Europe's woes since the dawn of time blah blah blah...

Check out my newsletter report thing, it's absolutely free and rehashed poorly from previously written articles and stuff.



Mon, 08/13/2012 - 16:53 | 2701954 Michael
Michael's picture

Dylan Ratigan's Epic Rant on the International Banking Cartel and Political Corruption


Mon, 08/13/2012 - 17:07 | 2702004 SolarQuench
SolarQuench's picture

The guy's an arsehole but he makes a point. Up yours :)

Mon, 08/13/2012 - 17:16 | 2702039 crkennedymd
crkennedymd's picture

Fuck all the banksters/technocrats/lobbyist-puppet politicians. Mathematics will NOT suffer the nonbelievers. Belief will not prevent the exertion of reality.

Mon, 08/13/2012 - 17:21 | 2702060 SolarQuench
SolarQuench's picture

Okay but let's not get too upset about it all, faith is a spiritual channel...

Mon, 08/13/2012 - 18:46 | 2702273 rocker
rocker's picture

Show Pimper from ICE Captial said from the floor today. With no volume we can get the computers to push this much higher.  Nice !?!

Bloomberg should so proud of a suggestion that the machines run the market.  It's such a chippy moment. 

Mon, 08/13/2012 - 16:31 | 2701885 flacon
flacon's picture

VIX is giving me one hell of a vapour rub! 

Mon, 08/13/2012 - 17:14 | 2702030 Grinder74
Grinder74's picture

When oh when will TVIX reverse split so I can have some more muppet fun?  It now costs less than Sandra Fluke's birth control!

Mon, 08/13/2012 - 18:22 | 2702208 asteroids
asteroids's picture

One wonders what volume, VIX, and action will be like over the Labor Day holiday!

Tue, 08/14/2012 - 06:43 | 2703193 noname
noname's picture

LOL funny as shit-thanks for that sense of humor

Mon, 08/13/2012 - 16:34 | 2701891 Punct
Punct's picture

If this volume decrease goes on, in the end we will have only governments and hedge funds on the stock exchange to play against each other.

Mon, 08/13/2012 - 17:01 | 2701982 gunsmoke011
gunsmoke011's picture

Very True - which leads to two questions.

 (1) With no volume, how are Institutional Banks, Exchanges and Hedge Funds going to make any money?

(2) How long can this shit go on before one of the programers of the five robots left trading decides they are not going to be the one left holding the bag and decides to punch the sell algo activation button? I swear, it is beyond me how this will not end badly as soon as ONE Algo decides it is game over and the market goes NO BID!!

Mon, 08/13/2012 - 17:16 | 2702038 Grinder74
Grinder74's picture

The bots are waiting to get to the go-ahead from TPTB based on when they have decided to end King Barry's regime.  Probably right after his approval breaks the $40 level.

Mon, 08/13/2012 - 18:34 | 2702229 Jack Napier
Jack Napier's picture

Why would they not just run the algos to the moon? As long as there are suckers to be robbed it doesn't make sense to flip the switch just yet and freak people out again. May as well keep up the illusion while people are spending instead of scaring them into being hoarders.

Mon, 08/13/2012 - 19:05 | 2702332 GernB
GernB's picture

Algos don't care whether they make money on buyers or sellers. If there's more money to be made ripping off sellers...

Mon, 08/13/2012 - 18:53 | 2702297 rocker
rocker's picture

That's easy. Their bonuses are based on paper profits. Pirce does not have to be truth.

As long as they get the print, the Xmas bonus will be there. That's why it's called a Ponzi.

Tue, 08/14/2012 - 06:47 | 2703195 dexter bland
dexter bland's picture

Trading is just another industry in which there is overcapacity. That volume buildup over the years was artificial demand manufactured by the industry playing against itself. Most people outside wall street really aren't that interested.

Any way we can stockpile these algorithms?

Mon, 08/13/2012 - 16:36 | 2701900 Ying-Yang
Ying-Yang's picture

Dr. Chandra: HAL was told to lie - by people who find it easy to lie. HAL doesn't know how.

Mon, 08/13/2012 - 23:43 | 2702964 Cognitive Dissonance
Cognitive Dissonance's picture

HAL - "No, you may not exit the market. I'm sorry but I can't let you do that."

Mon, 08/13/2012 - 16:44 | 2701927 I should be working
I should be working's picture

All of them except the ones selling GRPN.  Those robots are extra awake.

And why did GRPN run up into earnings?  Did anyone really think they were gonna be good?

Mon, 08/13/2012 - 17:06 | 2701981 vast-dom
vast-dom's picture

witness the great ponzini can levitate anything even gravity even anti-matter less than zero (hedge) volume levitation. witness the great ponzini master levitator soothsayer metaphysician turn red to green back to black cast muppets back.


sheeple chum born every nanosecond for the algos to churn and gobble up.

Mon, 08/13/2012 - 17:12 | 2702023 Oldballplayer
Oldballplayer's picture

I though it might be that all the algo writers were at Comic con...but that was a few weeks ago.

Mon, 08/13/2012 - 17:17 | 2702041 Grinder74
Grinder74's picture

They're all busy chasing Kristen Stewart since they heard the faggy vampire dumped her.

Mon, 08/13/2012 - 16:30 | 2701879 NidStyles
NidStyles's picture

Silver Bitchez!!!!


Oh I wasn't first...

Mon, 08/13/2012 - 17:15 | 2702032 SolarQuench
SolarQuench's picture



Ag is the local whore who everyone loves to fuck.

Mon, 08/13/2012 - 18:20 | 2702204 IndicaTive
IndicaTive's picture

But she always comes home to sleep with me.

Mon, 08/13/2012 - 16:35 | 2701880 Ying-Yang
Ying-Yang's picture

HAL-9000: What is going to happen?
Dave: Something wonderful.
HAL-9000: I'm afraid.
Dave: Don't be. We'll be together.
HAL-9000: Where will we be?
Dave: Where I am now.

Mon, 08/13/2012 - 17:17 | 2702046 Republi-Ken
Republi-Ken's picture

This does not compute.

But very funny and witty.

Kudos Ying Yang!!!

Mon, 08/13/2012 - 17:20 | 2702056 Republi-Ken
Republi-Ken's picture

This does not compute...but funny nonetheless.

Mon, 08/13/2012 - 16:31 | 2701881 Hype Alert
Hype Alert's picture

It's dead and honestly, it's starting to smell.

Transports continue to separate on a downward trend.

Mon, 08/13/2012 - 16:46 | 2701932 NidStyles
NidStyles's picture

Weren't they saying like two months ago that Transports were ready to take off/

Mon, 08/13/2012 - 17:05 | 2701998 Hype Alert
Hype Alert's picture

I missed that, and apparently so did the transports.


Maybe there's an algo for that.

Mon, 08/13/2012 - 19:26 | 2702378 Alea Iactaest
Alea Iactaest's picture

Dow theory, really? Charts say whatever the computers want them to say. Same for all technicals. Just a head fake to get more shorts for now. Only after every short is broke or too gun shy to make a trade will the algo's be reversed.

Mon, 08/13/2012 - 16:50 | 2701948 FMR Bankster
FMR Bankster's picture

Still below the 200 day. While other indexes have been above. Something will give soon. Maybe after europe returns from their august recess.

Mon, 08/13/2012 - 17:10 | 2702013 Hype Alert
Hype Alert's picture

Good point.  Transports even have the Death Cross going.

That's so old school though.  I hear they're working on an algo for that.

Mon, 08/13/2012 - 17:11 | 2702014 Hype Alert
Hype Alert's picture

Oops, double tap.

Mon, 08/13/2012 - 16:52 | 2701953 chipworley
chipworley's picture

As does the BDI...

Mon, 08/13/2012 - 16:31 | 2701884 DavidJ
DavidJ's picture

Yes!  Knight capitol is resting for the night!

Mon, 08/13/2012 - 16:33 | 2701889 Meremortal
Meremortal's picture

What would the volume be without the HFTs?

Mon, 08/13/2012 - 19:27 | 2702383 Alea Iactaest
Alea Iactaest's picture

Are HFTs and dark pools a wash? If not, what's the net?

Mon, 08/13/2012 - 23:16 | 2702941 IrritableBowels
IrritableBowels's picture


Mon, 08/13/2012 - 16:33 | 2701890 Brother Sebastian
Brother Sebastian's picture

I know, it sounds incredible...but my SPX charts think we'll hit one more high before the pig drops hard.  That high, however, will probably be below the intraday high on April 2.  They want to trap as many bulls as possible.

Mon, 08/13/2012 - 16:35 | 2701895 not fat not stupid
not fat not stupid's picture

No human flesh left for the robots to ingest.

Mon, 08/13/2012 - 16:35 | 2701896 Jim in MN
Jim in MN's picture

Paper assets are D-E-D.

So what else is new?

Mon, 08/13/2012 - 16:36 | 2701898 bob_dabolina
bob_dabolina's picture

Sometimes I get confused around here. Isn't low volume a sign of things returning to normal? 

HFT algos trade 2,500 shares a second (or whatever it is)

So with lower volume couldn't one conclude that computers are trading less?

Mon, 08/13/2012 - 16:41 | 2701920 Hype Alert
Hype Alert's picture

Or they're the only one's trading.  As more and more humans pull their money out of the market, the algo's are becoming a larger percentage of the market and may be building their own little channel stuffed world.

Mon, 08/13/2012 - 17:15 | 2702035 GERxit
GERxit's picture

Need not be the worst thing! Let those bots fight the fight alone and let'em rip each other off. Nice show!

BTW this might create some very nice opportunities for the guys who still have cash.


Mon, 08/13/2012 - 18:37 | 2702244 Tijuana Donkey Show
Tijuana Donkey Show's picture

Buy when there is robotic blood in the streets.....

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