Volume Crashes As S&P 500 Breaks Winning Streak And VIX Plunges To Five Year Lows

The cash S&P 500 closed very modestly in the red - but tried its best into the end of the day-session to get green to make it seven-in-a-row. After-hours, amid heavier block size, S&P 500 e-mini futures (ES) pushed up to the overnight highs and tried to hold green but failed. NYSE volume plunged - almost unbelievably to be frank - to its lowest non-holiday-trading day volume in over a decade. Intraday ranges remain tiny and average trade size unremarkable as ES is still suffering from the post-Knight slashing in volume.

Credit underperformed once again - though a late-day surge up to Friday's closing VWAP in HYG (on decent volume) suggested sizable sellers as opposed to buyers (though some arb against intrinsics is likely too). All-in-all, an odd day (again): TSYs unch (though was -3-4bps intra), USD -0.18% (EUR +0.38%), Gold/Silver -1.2%, WTI unch (after a plungefest earlier that recovered about half its loss), Copper -0.7%. VIX clattered down to a 13 handle into the close - the lowest close in over 5 years - but notably unlike March when we were down here - the term-structure is considerably steeper.

Tech and Financials were the only sectors green today as Materials and Energy underperformed. Equities and broad risk-assets remained relatively in sync and correlated but by the close, US stocks had become modestly rich. Are we witnessing Gross' death of equities?


Stunningly - today's NYSE volume was 3 standard-deviations below its 9 year trend lower on an EXPONENTIAL chart!!! - this is easily the lowest NYSE volume day of trading that is not a holiday!!

Just to be clear - and with no hyperbole - NYSE volume has trended exponentially lower for over 8 years and today's volume was still a 3-Sigma outlier to the downside!!


Clearly something broke with Knight's algo going full-retard! ES volume since has plunged from an average over the last 4 months of 2.2 million contracts to an average over the last few days of only 1.25 million contracts - a 45% plunge instantaneously!!



The plunge in realized volatility given the extremely low ranges of the last few days has dragged VIX to five-year lows - though the term-structure is at its steepest  in years also now...


and credit remains a notable underperformer (despite HYG's cheapness relative to NAV)...


across asset classes, risk remained relative well-behaved - with VXX/TLT/HYG all staying closely in sync with SPY (despite some early exuberance by SPY -upper left). CONTEXT, our broad risk aset proxy - remained highly correlated, drove risk-off into the European close - but then US equities reovered notably more into the close...



Charts: Bloomberg and Capital Context


Bonus Chart: Group-OFF!