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S&P, Nikkei Futures Crash After Hours As VIX Volumes Hit All Time High

Courtesy of ZeroHedge. View original post here.

Here is the simple summary of what happened today courtesy of Morgan Stanley’s quants: market liquidity collapsed while VIX futs volumes hit an all time high, as countless vol-sellers were forced to cover.

The details from Morgan Stanley’s quant team:

  • Liquidity in the top of the S&P futures book 50% worse than Friday.
  • Avg available size is 111 contracts since 3PM today on the top of the S&P book. Friday avg. size was 209 (for the entire day
  • Beginning  of Jan this was 800.  End of Jan it was 300.
  • VIX futures traded 897k total across the curve so far today.   Previous FULL DAY record was 850k  (aug 10 2017)

For those wondering, the market on close imbalance was a whoppoing $3.4 billion.

What does this mean in practical terms: as shown in the chart below, the crash is continuing after the close.

Meanwhile, don’t wake up Mrs. Watanabe, she is due for a shock when she learns that Nikkei futures are now down -8% and crashing lower.


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