Feb 5, 2018 was the 4th largest price drop (midnight to midnight) percentage wise since 2005.

Wow. ES just rose 43 points in 12 minutes. 9:24 to 9:36 ET.

EDIT up 60 points in 16 minutes.

EDIT up 78 points in 28 minutes.

EDIT up 94.75 points in 31 minutes. (1 minute chart). Now coming off high.

EDIT down 40 points in 19 minutes.

EDIT from 2:25 to 3:09 pm ET up 67 points.

Here is why extreme price movements lately in ES. No liquidity. Been dropping all year.

A great article by Epsilon theory on how smart people in finance sometimes over-engineer things and create monsters:

Too Clever By Half - Epsilon Theory


This has been an interesting few days, gutted to be on gardening leave at the moment as missing out on key experience but also relieved as it's a lot less stressful from the sidelines. I worry that we may see further contagion across ETFs/ETNs etc especially any inverse products, but time will tell. I'd be surprised if we didn't see CB intervention here.

ron99 

FWIW Here Is What Was Behind The "Largest VIX Buy Order In History https://www.zerohedge.com/news/2018-02-06/here-what-was-behind-largest-vix-buy-order-history Another reason to be even more careful in trading now and in the future.

I read the attached article, interesting for sure. But can you help me interpret this line...

The good news from the effective wipeout of a major part of the vol-selling market is that "this means there is much less risk going forward of further vol to buy from rebalancing of these products."

On the subject of VIX / XIV...

Implosion of XIV the inverse VIX ETN WSJ :- Born to Die: Inside XIV, the Busted Volatility ETF Would be better is it was an article rather than mostly twitter posts, but very interesting none the less... It went up 96% yesterday. Yikes! We multiply yesterday's value by 0.04. That's …

rsm005 

I read the attached article, interesting for sure. But can you help me interpret this line... The good news from the effective wipeout of a major part of the vol-selling market is that "this means there is much less risk going forward of further vol to buy from rebalancing of these products."

Because they are gone. they don't exit anymore. They went to zero. They imploded. See the thread I linked which has a link to the WSJ that shows how the NAV calculation was done.

rsm005 

I read the attached article, interesting for sure. But can you help me interpret this line... The good news from the effective wipeout of a major part of the vol-selling market is that "this means there is much less risk going forward of further vol to buy from rebalancing of these products."

ETNs don't have their short VIX positions anymore. So they won't be buying VIX and running up volatility to get out.

The ES spread strategy I have been trading made it through this extreme test. I did not exit any positions. As I write this I have made back 90% of what I lost yesterday.

I will be adding more cash excess because this was too close for comfort. I'm going from 4xIM to 5xIM. 80% cash instead of 75% cash.

ES margin rising by 9.9% effective Thursday.