#HashCrash 2.0 - QE-OFF Rumor Sends Market Turmoiling By Whopping 0.37%

After another five-day run of higher prices and lower volumes (and following yesterday's 2013 high average trade size), all it took was a twitter-based rumor of the possibility of a pause in the Fed's punchbowl for the S&P 500 futures to see their biggest intraday drop in May. It seems, for once, that 330 Ramp Capital was trumped by the HashCrash as stocks closed an odd shade of green - called red. Today was extremely volatile where-ever you looked - FX, rates, credit, vol, and commodities; but perhaps the JPY move triggered some unintended consequences in rates/swaps.

 

The market moved on the rumor (even as everyone believed it was a rumor)... the algos tried to wrestle control (and we reverted back up to VWAP) but then faded into the close...

 

JPY smashed through 100 (and 100.50) - and FX markets cluttered into all sorts of USD strength-based stops...

 

Treasuries had a very odd day... typical equity up and bonds up early on behavior; but it seems like markets were on a roll from the JPY move - which seemed to get started when the auction went off better than expected...

 

Commodities were relatively well-behaved except for precious metals on the QE taper rumors.

 

Credit continues to decline its invitation to the dance this week from stocks...

 

 

and VIX remains well bid as managers protect rather than add...

 

Charts: Bloomberg and Capital Context

 

Bonus Chart: Did the shorts finally capitulate today? For a red day in broad indices, something very odd happened - 'most shorted' names were squeezed massively! first out of the gate and then again after the European close - so much so that at 1430ET, the 'most shorted' index had managed triple the performance of the market thanks to a huge covering drive... that marked the top...