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Kris Sidial reports that over the past three months, there has been a repeatable and extremely sizable footprint in the ES futures market that has consistently pushed equities lower.
Sidial describes a specific execution pattern where significant flow aggressively enters the order book, taking liquidity and creating downward pressure on equity prices.
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Sidial has previously detailed how volatility hedge fund strategies use both quantitative and discretionary approaches to handle market shifts, as described in his overview of fund tactics. He has also recognized Vance Harwood for his research in the VIX ETP market and contributions to volatility products, according to a recent tribute. These insights add context to Sidial’s observations of persistent trading patterns in equities futures.