In the end, that "gamma neutral" level in the S&P at 3,046 which we highlighted earlier,  proved too much for the bulls...

... with stocks failing to rise above it after a curiously diagonal overnight levitation faded in early trading, followed by a subsequent bounce that got just shy of the neutral line before drifting lower for the rest of the day.

Stocks were looking ugly, with the ES below 3,000 when another 3:30pm ramp saved the S&P, as stocks ramped higher with barely any red candles in the last half hour of trading.

Besides gamma, what else drove Friday's market? Although it’s unclear exactly what’s led to today's rollercoaster moves that saw the Dow surge more than 800 points before sliding in the red and recovering some of the gains, several headlines weighed on the markets in early trading:

• WHO Director-General Tedros said the pandemic is escalating globally and the virus will wreak more havoc.
• The CDC said that if cases go up again dramatically, mitigation efforts as seen in March may be needed again.
• Florida Covid cases rise 2.8% vs pervious 7-day average of 2.0%
• The Fed said in its semi-annual report to Congress that the economic damage from the recession may be "persistent" as a collapse in consumer demand could bankrupt many businesses, and there’s uncertainty about future demand and productivity as firms shift production processes, which could lead to lower wages

In any case, there was no coherent market catalyst in either direction, which is probably why the VIX gyrated just as wildly, rising as high as 44 from a session low of 35 before trying to find a resting place somewhere inbetween.

One reason for the persistent volatility in the market is that it remains painfully illiquid as the following indicator shows: the turnover associated with a 1% range in the S&P's 40DMA is near the lowest on record.

The volatility led to some amusing intraday incidents such as this tweet from Reuters: "We are deleting a video saying Wall Street had bounced back on Friday, which went out after stocks had turned negative."

CORRECTION: We are deleting a video saying Wall Street had bounced back on Friday, which went out after stocks had turned negative

— Reuters Business (@ReutersBiz) June 12, 2020

And speaking of early surges, the divergence between the day and night session has exploded, and is now the widest it has been since the start of May as a result of Thursday's daytime rout even as overnight sessions remain largely upward bound.

While some have suggested that Thursday's market rout was reminiscent to the start of the March puke, one place where it differs is the apparent lack of a funding shortage: FX basis swaps trade at levels suggesting that dollar-funding pressures are missing for the time being, which is largely thanks to the expanded swap lines announced in March between the Fed and most central banks. As Bloomberg's Ye Xie writes, the lack of funding stress has "cut off the vicious feedback loop between stock declines and funding stress" which is good news for now, assuming the dollar doesn't spike in the coming days.

It didn't get much airplay today, but the PredictIt spread beteeen Biden and Trump remains at 13 points in the democrat's favor. If this is accurate, expect a sharp drop in 2021 EPS according to Goldman, which recently said that in case of a blue sweep, the bank will slash 20 points from its 2021 S&P EPS forecast of 170.

While stocks gyrated wildly in the past three days, rates have been a sea of tranquility by comparison, and after the 10Y hit 0.95% last week, it has drifter lower along with much of the curve, closing around 0.70% on Friday in a dramatic flattening of the yield curve, which incidentally comes just as most sellside desks start pushing for steepeners as the 10Y approached 1%.

Other assets were relatively tame with oil inching fractionally higher, the Bloomberg Dollar Index up just 0.1% after some earlier volatility and gold rose 0.2%. Not even Bitcoin dared to move much. 

Finally, while the broader market gyrated in a rollercoaster of illiquidity, one place where there was never any doubt was in Robinhood where the 20 biggest intraday moves were all additions... appropriately enough with bankrupt Hertz at the very top.