>Kinda surprisingly here is the fact that the VIX did not spike when we had that massive EOD sell off. It id recoil a little bit eod and bounced off its daily 20ema and closed under its daily 8ema… but with a sell off of that size I would have expected more bounce there. That could come tomorrow though. One thing I did note that besides Friday the PC ratio is very low this week on Spy.

I believe VIX didn't spike because the EOD sell-off was actually EOM pension rebalancing. Especially due to this months underperformance leading to a EOM sell. Therefore it was actual selling of shares, rather than the put hedge buying lately which has driven VIX up. Calm, systematic rebalancing.

Equities outperformed bonds this month, so EOM rebalancing saw funds dumping stock and buying bonds, pushing yields down and TLT up by end of day, with SPY down. Was one big trade.

Vanna and charm flows return tomorrow, so more VIX crush can be expected going forward, especially with no more news til CPI 2 weeks from now.