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: