Currently, ES is down only -3.85 handles at 1638.25 with 1.5M minis traded. The Dow has briefly gone positive, after being down more than a hundred points in the morning. Europe has closed lower, roughly 1% across the board. The 10-year is 2.219%. The rest of the day should be interesting to say the least, especially given the massive disconnect from the Yen and the VIX.
Spot VIX well off its high of 17.09, sitting at 16.02 (+3.76%). Premiums are still up on the day. VIX Futures well off their highs as well. The most import thing to know and acknowledge, is that fact that fear is back whether you like it or not. Yesterday we held the 15 level, and today Spot VIX is holding the 16 level. We have seen some serious volume here in the June contracts. Also seeing heavy volume in July and August calls, along with heavy volume in September 21 Calls.
Biggest Volume June contracts:
June 15 Calls, 2 lots of 5k each
June 16 Calls total vol 55K
Also big volume in June Call 26s and 28s.