4-Week Bill Announcement Offering Amount data reported 4-Week Bill Announcement Offering Amount at $40.0 B
U.S. VIX equity volatility went vertical U.S. VIX equity volatility went vertical as expected, gapping to session highs of 53.3 from opening lows of 28.03, before pulling back to the 45.6 area. That was about a 90% move at its peak and certainly wrung some long-held complacency out of the volatility index after hitting the highest level in nearly 7-years. That took the VIX through the August 2011 high of 48.0 like butter, along with the 49.9 50% retrace area compared to the October 2008 peak near 89.5. Pretty good move for a single session, with room for some clawback now.
Euro$ interest rate futures are ratcheting higher Euro$ interest rate futures are ratcheting higher as the stock market implosion further distances the Fed from a September hike, tipping the scales back to the doves. The December 2015 contract is 3.5-ticks firmer near 99.56 (0.445% implied 3-month rate) compared to 99.525 (0.475%) late Friday and 99.46 (0.540%) in the middle of last week. That clearly shows a trend of scaling back Fed expectations and the deferreds are 3-8 ticks lower out the curve, indicating that this lowering the whole rate complex accordingly.