ProShares UltraPro Short S&P500 (SPXU)

[tw0122]

Yesterday's last 10 minutes action, when the S&P dumped by 40 points in seconds, when a $2.4BN "market on close" sale imbalance was announced at 3:50pm ET...


... moments ago, at exactly 350pm again when the market on close imbalance was unveiled, and revealed that there was $2 billion left to buy, the Emini future (i.e., the S&P500) spiked higher by 20 points, from 2,732 to 2,752, which was also the session high as algos scrambled to frontrun the residual buy orders in the last minutes of trading

As a reminder, this is at least the 4th time in the past two weeks - it started on March 26 - that the MOC imbalance announcement has led to a stunning move in the market, a striking phenomenon which is attributable to one simple thing: there is absolutely no liquidity in the market, and as a result the headline MOC announcement is sufficient to send the entire market surging or tumbling just due to the end of day rebalance, which as we reported last night, is now wreaking havoc on both option pricing and realized volatility