Even Bob Pisani knows by now that the European Close seems to create a trend-reversal moment intraday that few machines (and even fewer humans) are willing to fight. Whether this is remnants of short-term cycles found due to POMO or just a drop in liquidity is unclear; but what is clear, it happens, and all too regularly... except today. After a notably weak start to the day, the machines were just getting revved up for the 1130ET reversal to kick in and lift the market back to VWAP when a curious thing happened... "someone" canceled-and-replaced orders for 666 contracts 26 times in the 1130ET to 1200ET period... and selling accelerated lower, no reversal, to close at the lows on heavy volume.
Thanks to the incredibly detailed work of Nanex's Eric Hunsader, we can see the 'secret' signal that only the HFTs would have been capable of seeing...
For a sense of how out of place this was, here is the quote size histogram for that period:
We are sure this is nothing... just pure coincidence that on the 4th most active trading day in history and on following a huge surge day in stocks not trusted by any other asset class, someone would send 26 separate times in a few minutes orders for 666 contracts.
Only a tin-foil-hat-wearing digital dickweed would see anything odd about that: for everyone else this is merely yet another market anomaly that is best left unmentioned.
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Oh, one more thing, this all happened just after VIX 'fat-fingered' spike down and VXX volume surged, launching today's selloff.