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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