Something's Changed - 7 Days & Counting...

For the last 7 days, something odd has happened at the end of the day... stocks haven't ripped higher into the close.

While no confirmation has been received, we are hearing increasing chatter on desks about probes over index ETF rebalancing shenanigans which many have argued have been responsible for the ubiquitous end of day ramps in US equity markets over the last few years. Note that VIX has collapsed during this time but stocks have gone nowhere...

 

The 7 day streak is very unusual...

 

The last time this happened was in June/July 2015 (which coincided with turmoil in China)...

 

And the Yuan is tumbling once again...

 

Just like it did in Aug 2015...

 

Something has changed, there is no doubt. And judging by yesterday's utter chaos in the equity-vol complex, it's not over...