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Brisk Wake Up Call

It never ceases to amaze me how risk-on can seem like a freight train until the day that it dies.  Today might have been that day.  With the VIX up 34% from 14.17 to 18.99, the VIX put itself in the 99.8%+ distribution of daily returns:

When was the last move of this magnitude you ask?  The debt ceiling debates in early August, 2011.

Another notable event was the all time daily peak in VXX volume traded at almost 100 Million shares:

Unfortunately, VXX is down over 5 fold since its last volume peak in August 2011 so we might have to wait a few weeks to get the record value traded as well.

Welcome back Europe.

Posted in Markets.

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