Starting at 11:06, S&P futures began to slide, picked up at 11:09, then at ~11:11:11, someone decided to dump 6,800 e-mini contracts in one second all at once in a nice fiduciary-duty-worthy trade as Europe begins to close and POMO ends: the kind of idiotic dumping through the bid stack that is not only allowed, but encouraged in gold and silver. That is around $625 million notional in a second. Volume overall was huge in the last few minutes (as the chart below shows). VIX jerked 0.4 vols higs to 13.4%; JPY banged higher against the USD (but stocks still well below JPY expectations); and bonds quickly bid 1-2bps. This dump in the S&P drops it back to one-week lows.
This is dramatically hgher volume than normal for the European close...
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As the waterfall selling progressed...
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Ad as is clear, once the S&P 500 tagged UNCH for year-to-date, the selling began...
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Paging Waddell & Reed...