VIX Rises, Equity Futures Fall, Volume Disappears (Again)

For the 22nd day of the last 23, the S&P 500 was unable to manage a 1% gain or loss, having only managed to gain/lose more than 0.25% four days in the last 16. It's dead Jim. S&P 500 e-mini futures (ES) volume was equal to its lowest volume of the year (in years) and NYSE shares traded were also near multi-year lows. While cash equity indices closed very marginally green, ES ended modestly red (shock horror). VIX kept leaking higher, closing at 17% (up 0.5 vols), its highest close in a month (and the premium-to-realized just keeps growing) - seems like noone wants to sell their stocks and everyone wants to hedge - how did that portfolio insurance work out last time everyone was on one side? EURUSD sold off - even with Draghi's OpEd and so today saw Equities Up (all <0.15%), Treasury yields Up (1-2bps >7Y), EURUSD Down 35 pips (and implicitly USD stronger by 0.23%), Commodities - Gold/Silver/Oil/Copper Down around 0.3-0.5%, and credit tracked stocks. A 7.75 point range in ES over its 24-hour period is almost multi-year lows and once again the late-day pull back from highs to VWAP (and into the red) was the only volume of the day. Energy lost, Discretionary gained (consumption data up?) as AAPL and FB dropped (ugliest at the close), and the 18-day range is the lowest since May07 (and we know what that was).

The S&P 500 has been incredibley range-bound...

 

amid falling volumes (lower pane) and the lowest range in over 5 years...(click for large chart)

and the Draghi Bump and Fail along with US GDP's (and the Beige Book's) better than expected data produced a QE-OFF style day into the close...

 

the ratio of implied vol to realized vol - a measure of the market's concern into the future - broke to near six-month highs today...

 

Chart: Bloomberg