http://www.zerohedge.com/news/2013-10-01/wtf-chart-day-vix-shutdown-edition
Rather than discuss this insanity in the end-of-day note, we though the following charts deserve their own moment in the limelight of algos-gone-wild "momentum ignition" infamy (as we explained here and here).
As Bart Chilton said - the CFTC is offline - so anyone can pummel the VIX; after all it's not a stock!!
The fun began as usual at 330ET as VIX and EURJPY was employed but clearly with S&P futures stuck at VWAP they needed some help... so with 10 minutes to go in the day, size entered and short-term protection was smashed lower, Dec VIX was sold heavily, and EURJPY (FX carry) bid aggressively... the result - a 9 point almost instantaneous ramp through the entire order stack to close the cash markets at their highs on the day the US government shutdown.
and in case you were wondering how the machines managed to get the Russell 2000 to new highs... here is the quote volume behavior for the Vanguard Russell 2000 Value fund VTWV...
These are your "markets"...
Rather than discuss this insanity in the end-of-day note, we though the following charts deserve their own moment in the limelight of algos-gone-wild "momentum ignition" infamy (as we explained here and here).
As Bart Chilton said - the CFTC is offline - so anyone can pummel the VIX; after all it's not a stock!!
The fun began as usual at 330ET as VIX and EURJPY was employed but clearly with S&P futures stuck at VWAP they needed some help... so with 10 minutes to go in the day, size entered and short-term protection was smashed lower, Dec VIX was sold heavily, and EURJPY (FX carry) bid aggressively... the result - a 9 point almost instantaneous ramp through the entire order stack to close the cash markets at their highs on the day the US government shutdown.
and in case you were wondering how the machines managed to get the Russell 2000 to new highs... here is the quote volume behavior for the Vanguard Russell 2000 Value fund VTWV...
These are your "markets"...
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