Almost 130,000 September e-mini S&P contracts changed hands over five minutes starting at 9:45 a.m. in New York, five times the average for similar periods over the past month, data compiled by Bloomberg show.
“We go from sipping from the water fountain to drinking from the fire hose,” said Larry Weiss, head of equity trading at Instinet LLC in New York.
“The headlines certainly exacerbate intraday volatility, as summertime volumes present us with a decline in institutional and retail liquidity.”
“The headline comes out, everybody reacts, algos chase and the volume goes up,” said Joseph Saluzzi, Themis Trading LLC partner and co-head of equity trading.
“People need to digest the real news and don’t understand what it is, it doesn’t matter.”
But the surge in both prices and volume is starting to fade…
Yuan stalled and dropped at 7.00/USD
And The Dow stalled at the key Fib 61.8% retrace levels again…
Additionally the Treasury yield curve is flattening once again…
“Judging by our analysis of futures ‘lot size imbalance,’ we’d reasonably assume large covering of dynamic hedge ‘shorts’ from leveraged funds,” said Charlie McElligott, a cross-asset strategist at Nomura. He said he also saw “large buying from asset managers