What a wild day indeed, as markets sold off yet again, taking the VIX to 3 month highs last seen after the June FOMC meeting. S&P Futures (ES) were a complete mess today, as algo programs wreaked havoc. ES at cash close is down -14.35 handles at 1668.75 with 2.25MM minis traded. Session high came in overnight at 1684.75, and session low at 1663.25 (21.5 handle drop). The Boehner headline saved the day, taking the futures and overall market off the lows, and saving the USDJPY which dropped below the 97 level. Tomorrow we have multiple Fed heads speaking.
VIX popped to a session high and 3 month high of 18.71. VIX closed up 6.45% at 17.67. Super heavy volume today, might make it into the top 5 days highest volume days. Front month contracts absolutely exploded, as everyone wanted exposure to protection. Algo’s were the most ridiculous we have ever seen in the VIX premiums today, with nothing but fake liquidity, or phantom liquidity. Premiums exploded over 200% on deep out of the money contracts, were we saw trading as far out as strike 50! Even 45 Calls were bidding .10 at one point!
VIX TERM STRUCTURE (vixcentral.com)