S&P, Nikkei Futures Crash After Hours As VIX Volumes Hit All Time High

Here is the simple summary of what happened today courtesy of Morgan Stanley's quants: market liquidity collapsed while VIX futs volumes hit an all time high, as countless vol-sellers were forced to cover.

The details from Morgan Stanley's quant team:

  • Liquidity in the top of the S&P futures book 50% worse than Friday.
  • Avg available size is 111 contracts since 3PM today on the top of the S&P book. Friday avg. size was 209 (for the entire day
  • Beginning  of Jan this was 800.  End of Jan it was 300.
  • VIX futures traded 897k total across the curve so far today.   Previous FULL DAY record was 850k  (aug 10 2017)

For those wondering, the market on close imbalance was a whoppoing $3.4 billion.

What does this mean in practical terms: as shown in the chart below, the crash is continuing after the close.

S&P Futures (and Dow Futures) plunged back below the key 100-day moving average after the cash-close.

 

Meanwhile, don't wake up Mrs. Watanabe, she is due for a shock when she learns that Nikkei futures are now down -8% and crashing lower.

And here is the VIX move in context:

 

Comments

lester1 Mon, 02/05/2018 - 16:21 Permalink

Deep state/globalists fighting back against Trump. 

 

They tried everything in the book to take him out, and it's failed. His popularity has actually increased!!

 

Now they're messing with the markets and people's 401k's to try and make Trump look bad.

 

Time for Trump to go on the offensive and declassify all the shady shit the deep state has been doing. Expose their asses!!

dasein211 east of eden Mon, 02/05/2018 - 16:40 Permalink

So.... the markets are due for a crash and everyone on Zhedge expects this but now that Trump is past a year in office it’s a conspiracy to get him. Yeah fucking right. Only a dipshit asshat would try to take credit for an all time high stock market that’s 10 fucking years past it’s exp date. If you think this is a conspiracy then you’ll never expect anything other than that which you’ve deluded yourself with. Good fucking luck making money.

In reply to by east of eden

eclectic syncretist Pool Shark Mon, 02/05/2018 - 16:41 Permalink

Consider asking your loved ones who don't know any better to get their 401k's into cash. I'm talking especially about the 401ks that don't give you a true variety of possibilities. Bonds, stocks, and possibly even commodities are too risky to hold right now. Might be another year or more before it's safe, but right now it looks like a lot of shit has to clear out of the system first.

Of course, if the Fed moves in to pump the bubble back up they might have some impact, but with little room to move on interest rates and a runaway debt spiral threatening rampant inflation, their hands are increasingly tied. 

In reply to by Pool Shark

eclectic syncretist Pool Shark Mon, 02/05/2018 - 17:09 Permalink

If you know what you're doing that's awesome, but as long as the Fed is in an official tightening cycle, and is simultaneously starting a program to sell over two trillion worth of additional treasuries off their balance sheet from the last crash, I don't see US treasuries as an "excellent" investment. JMHO.

Fed sold 1.5 billion in treasuries last week, and over nine billion in MBSs.

https://www.federalreserve.gov/releases/h41/current/h41.htm

In reply to by Pool Shark

SDShack eclectic syncretist Mon, 02/05/2018 - 17:42 Permalink

You can't taper a Ponzi. Go ahead and try selling $2T of Ponzi Debt. Go Ahead. The only possible way the Fed can do this is, is if they implode the Yen and Euro first, and then eventually the Yuan. Then there will be plenty of demand for USSA Debt. It's ALL a shell game to protect the Petro$ at this point. It's not a coincidence that Exxon and Chevron were down massive today while the Petro$ was up big.

In reply to by eclectic syncretist

Winston Churchill SubjectivObject Mon, 02/05/2018 - 19:51 Permalink

Yes, but I suspect and have said for a while that the really massive steamer in the punchbowl

is going to be the ETFs.Mass redemptions  will expose them as hollow shells just like

the RMBS trusts turned out to be.For the same reason, re-hypothecation of the underlying assets.

The only reason to have such complicated frameworks and legal structures is to facilitate fraud,no

other.The same TBTJ banks run them , ran that control fraud.

The receding tide........

 

In reply to by SubjectivObject

east of eden lester1 Mon, 02/05/2018 - 16:31 Permalink

Well, let's look at this realistically. The P/E on both the DOW and the S&P were so far out of line that a retracement was inevitable. I don't think this has anything to do with Trump. I think it is more a matter of the Fed pressuring TBTF banks to sell stock and buy bonds, because as we all know, if the bond market goes, then it's game over.

In reply to by lester1

John Law Lives lester1 Mon, 02/05/2018 - 16:49 Permalink

"Deep state/globalists fighting back against Trump." - lester1

You are a certified moron.  You have been jawboning for a long time on ZH re. how the Fed has been buying stocks, and now you would have us believe the stock market is being dumped intentionally and the Fed is sitting by idly (or even actively punishing the market)?  Kindly go post your GUANO on Infowars.  That would be a better fit for you.

Moron.

In reply to by lester1