Finally, we see a decent enough down day, after further economic reports add to the probability of a Taper announcement. And like clockwork, it seems the BTFD crowd is at it again. S&P Futures (ES) hit a low of 1656.50, and high at 1682. Another qtr of disappointing results from Walmart, and the bad news out of Cisco yesterday, added fuel to the fire ahead of cash open. Currently we have ES down -18.50 handles at 1663.50 with very good volume of 1.38M minis traded. Philly Fed also missed expectations, as did Industrial Production. The 10-Year popped yet again, as the bond selling continued. Yield touched a high of 2.807%. A very interesting post this morning from ZeroHedge showed that Foreigners have sold more securities than after the Lehman crisis.
VIX popped immediately after open, which was no surprise as it popped above 13 yesterday after the cash close. VIX opened up at 14.14, then climbed to a session high of 14.85. Currently VIX is up +6.9% at 13.94, session low. VIX Futures also saw a nice pop. Front month VIX, and all contracts in general, popped, with action as far out as Call 29s in the front month.