A quick summary of where we have been this morning: VIX > 27 (3yr highs); S&P 500 -0.4% year-to-date (6mo lows); 2Y TSY yield < 25bps (17mo lows); 10Y TSY yield < 1.90% (17mo lows); European stocks -3% (11mo lows) lows; US HY credit 410bps (15mo wides); WTI Crude $80.01 (28mo lows). So that can mean only one thing... PPT is in the house, courtesy of USDJPY... and ultra-low levels of liquidity.
Where we've been...
[3]
and now...
[4]
which rescued institutional sellers to VWAP...
[5]
As Liquidty disappeared in bonds...
[6]
And stocks
eMini liquidity still at record lows for this time of day $ES_F [7]
— Eric Scott Hunsader (@nanexllc) October 15, 2014 [8]
But...
Whoa - More trades in CME Treasury futures as of 10am than the previous record day!
— Eric Scott Hunsader (@nanexllc) October 15, 2014 [9]
Charts: Bloomberg
