VWAPalooza Keeps Risk Anchored (For Now)

After last night's craziness, equity markets anchored off the synthetics and the synthetics anchored to VWAP. We clung there at VWAP all day long in S&P 500 futures with some rumor-driven angst into the close to try and get some levitation. Much was made of VIX's decline from its opening highs, however, a look back at the week and it is obvious that this was hedgers unwinding their positions (leaving VIX still notably more worried than stocks). Equities in general collapsed down to where yesterday's risk-assets had languished and cross-asset-class correlations were very high today (which makes sense as every algo in the market was working over time to hold us together after the flash crash overnight). The USD ends the week unchanged (with AUD 1.5% weaker and SEK 1.9% stronger) and early winners and losers in commodities reverted (oil down and silver/gold up today) leaving Silver -7% ...