Just another day, where the overnight ramp in futures was caused by JPY carry trades and also due in part to the Chinese Central Bank caving, and injecting liquidity. S&P Futures (ES) at cash open were up over 9 handles and heavily disconnected from the JPY pairs, and also the VIX, which opened up over 1% despite a almost 10 point jump in SPX cash. At cash close, ES is up 3.25 handles, giving most of it back during the small heavy selling we saw. We fell over 17 handles from session high to low before the JPY came in for the rescue. Total volume on the day was weak, with only 1.3MM minis traded. Precious metals were pushed lower today, with Gold down -.95% at 1240/oz.
VIX was resilient all day, and helped provide a tell tale sign that we would head lower. At cash open, VIX was up over 1% despite the massive rally from ES. Then it began to creep higher all day as sell program began to hit the ES hard, sending the VIX to a session high of 13.42. At close, VIX is off the highs at 12.87 (+3.46%), and VIX futures ended off their session highs. Today was the last day to trade the January contracts, with settlement tomorrow morning.
ES (note the VWAP)