Surrealer and Surrealer (sp.) is the only way to describe today’s activity. With a technical halt in CME’s oil complex trading which was quite obviously driven by some rogue algo between Oil futures and the USO oil ETF, perhaps it is no surprise that today’s NYSE volume (16% below the year’s average volume) is the lowest on Bloomberg data for a non-Holiday day in over a decade. ES (the e-mini S&P futures contract) also had a dismal day with the day’s total just beating February 6th previous multi-year low (non-holiday) volume and 30% below the 50-day average volume.
NYSE volume (NYSEVOL on BBG) made a new low for the year (which means decade also) as today saw volumes 16% below an already terribly low year average.
ES volumes were terrible too though average trade size is dropping at around 4.14 contracts per trade (well off its peak over 5 last week) perhaps suggesting the bigger players are positioned and now the smaller ones are chasing (who is trading European financial credit – which has sold off significantly and is at two week wides? big professional traders or small retail traders?). Also perhaps its a notable coincidence that we have seen these kind of ‘incredible’ ramps a few times in the last few years – each red block is the same size and period.