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Mini Flash Crash After Massive Sell Order Soaks Up All E-Mini Liquidity

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

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.