Just as we warned, liquidity was incomprehensibly low today (below normal pre-market levels during the peak of the trading day) and the intraday whipsaws were meteoric as a closed cash bond market enabled the slightest twitch in USDJPY to send S&P algos into conniptions. Biotech crashed. Trannies were ripped ridiculously higher at the open - then collapsed into correction (-11% from highs); US Airlines have fallen for 6 straight days, crashing 17% (with today's 7% plunge - driven by chatter over airborne Ebola - its biggest in over years). Tresury futures implied a notable drop in yields across the curve (10Y -7bps at 2.21%, 30Y 2.97%, and 5Y 1.45%). The USdollar closed -0.33% led by EUR and JPY strength (but AUD surged 1% extending gains after China data). Gold ($1234), Silver, and copper all gained on the day as WTI fell once again (despite some intraday strength in the middle of the day). Stocks "flash-crashed" on very heavy volume in the last 30 mins with VIX breaking above 24 (highest in 16 months). All major equity indices are now below their 200DMA with the worst 3-day loss since late 2011.
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Liquidity was simply not there - but but but HFTs?
eMini liquidity is lower than normal pre-market levels $ES_F [13] $SPY [14] pic.twitter.com/dJXkRGA2Gt [15]
— Eric Scott Hunsader (@nanexllc) October 13, 2014 [16]
Which meant - just as we warned - epic whipsaws in stocks...
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As USDJPY tested down towards 107...
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and Tresasuries led stocks lower all day...
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Leaving all the major indices red on the day (even after Russell tried to stage a big comeback)... just look at Trannies at the open!! (that's not a fat finger!!!)
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A look at futures trading shows the magical levitation overnight giving way to reality in the US session...
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Year-to-date, Dow joins Russell in the red, Nasdaq getting close...
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VIX punched above 24...
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Stocks - always the last to catch on..
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Airlines index crushed...
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Bonds may have been closed but futures implied some big yield drops on the day...
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Credit was closed today but just as a quick context for where stocks might end up...
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FX markets were also thin but notable moves in AUD and SEK as the USD weakened again... the moves were dominated by the overnight China data
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Commodsities rallied (on safety and weaker dollar) but WTI fell once again... (even after a modest rally intraday)
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Charts: Bloomberg
Bonus Chart: Remember what happened the last time Japan raised taxes...
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Bonus Bonus Chart: Hindenburg Omen 2008 and 2014...
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In summary:
