Volumes are fairly average today, but breadth is awful. Almost 95% of the SPX stocks are falling today, which would actually be the worst tumble in terms of breadth since the (in)famous Christmas panic move lower.

We outlined our recently bearish logic in a few posts over past days (Are you hedged, Buy protection…, Do you chase longs etc).

VIX is spiking and having the biggest move higher, +13%, since Christmas.

Even more interesting is the fact the VIX futures curve (here the 1st vs 6th month futures) has reversed into positive territory. Last time we saw these levels in the above VIX spread was in early December.

Of course, past three big reversals in the SPX were accompanied with the inverse high/low in VIX. The crowd continues to trade this like they are short gamma, but without the theta checks coming in.

Source: charts by Bloomberg