Wed 10:46 AM CTVXX and VIXY topped out at 6 percent gains at 10:38 am ET. At that time spot VIX was not even up 1 percent.
It is possible the HFT guys overloaded the direct exchange feeds by sending and canceling orders at a high enough rate to create latency this morning. Yeah, conspiracy theorys abound, but it appears to me this may have happened and if so, created that bubble of fear.
That was your capitulation trade, and took all that steepness of the backwardation (spot to futures) out.
In the next 40 minutes the VIX turned to the lows of the day at 22.76, down some 9 percent and the VXX and VIXY traded to down on the day. Hmmm...
VIX calls in first 2 hours trade 117,000 versus 80,000 puts.
During the panic from 10:34 to 10:44 am ET the average price for Aug 25 VIX calls was $1.76 on avg trade size of 98 contracts.