ZZZZZZZZZZZZZZZZZZ!

Today was the lowest volume in S&P 500 e-mini futures (for a non-holiday trading day) in, well, bloody years (and NYSE volume was as dire as Monday's). Today's ES range, under 9 points, was the lowest in the last eight days of low ranges and in fact the eight-day range has only been this low a few times in the last few years and all but one of those marked a significant top. The S&P wavered around unch for most of the day with a US day-session-open ramp, post weak-data that signaled bad-is-good buying in Gold and stocks. Treasuries kept on leaking higher in yield, now up 12-16bps on the week as the USD meandered around unch on the week - with EUR weakness pulling it also back to unch on the week. VIX limped lower by 0.25 vols to 14.6 (after touching unch) but we do note that VVIX (the implied vol of VIX) has been diverging higher in the last two days but it's getting kinda crazy when we are looking at compound options for any signal. HY credit underperformed once again - with a quite ugly flush into the close (on heavy volume).

Weak Empire data provided just the QE lift the pre-open needed and we wriggled higher in ES (blue) all day - as TSY yields also pushed further up...

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Intraday ranges remain remarkably low - for eight days now - and volume a disaster. The chart below highlights the last few times that intraday ranges over an eight day period have been so low...

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SPY was in a low volume world of its own today as HYG notably underperformed once again (and we have seen some selling in the underlying high yield bonds too)...

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