Yesterday we said that we had a feeling the market would break today, and one look at the VXX volatility-tracking ETN, confirms just that.

As a reminder, on Monday morning Barclays announced - to the shock and dismay of millions of VXX investors on both the long and short side - that it would suspend any further sales from inventory and any further issuances of the VXX VIX Short-Term Futures ETN, claiming that "Barclays does not currently have sufficient issuance capacity to support further sales from inventory and any further issuances of the ETNs." As some humorously put it, a volatility ETN just broke because of... volatility.

As a result, we also said that it is likely that this product would trade significantly above its asset-based IV price; in fact it would become completely disconnected from its underlying volatility tracker,  it will likely become very difficult to short these products & without shares to short, authorized participants can't do arbitrage operations they typical run to drive price down to IV Price.