Well that escalated quickly.... a huge volume move soaked up the entire S&P 500 e-mini liquidity stack... a "flash-crash" that saw VIX burst above 23. Massive futures sell order takes down the index... A zoom in https://twitter.com/nanexllc/status/521746031231664128/photo/1!function(d,s,id){var js,fjs=d.getElementsByTagName(s)[0],p=/^http:/.test(d.location)?'http':'https';if(!d.getElementById(id)){js=d.createElement(s);js.id=id;js.src=p+"://platform.twitter.com/widgets.js";fjs.parentNode.insertBefore(js,fjs);}}(document,"script","twitter-wjs"); of how ES liquidity literally evaporated by over 70% when the massive sell order hit at a time when usually everyone expected the ETF/PPT levitation to take stocks higher: And VIX jerks above 23... As USDJPY waterfalls: Just as we warned was likely into the open - no liquidity, means whiplash galore.