Equities collapsed over 1% today, while Bonds were bid. S&P Futures (ES) at cash close are down a stunning -1.24% at 1815 with 1.697M minis traded. Let’s be clear, a -1.2% drop is nothing crazy, but in today’s centrally manipulated markets, it’s a lot. Bonds ramped, with the yield on the 10Y dropping to 2.827%. The Yen dropped over 1%, to fall below the 103 level. The Nikkei Futures got slapped, dropping almost 400 points at one point. Tonight will be very interesting in the Asian sessions.
VIX was absolutely remarkable. It initially was pushed lower after the cash open, to drop to a low of 11.82, only to steadily climb the rest of the day to touch a high of 13.65. At close, VIX is up 9.39 at 13.28. VIX futures which were lower at the start of the day, popped across the curve. Today we saw massive volume, with over 1.2MM VIX contracts changing hands. Europe’s VIX closed up 3.23% at 17.09. As a note, every time the VIX drops to low 12s, or even below 12, we always get a nice pop.
VIX 15 DAY
VIX TERM STRUCTURE