I have noticed the same thing, large lots hitting the bid, and the offers getting tapped with small lots, whats annoying is how the offers get pulled and it gets jammed up by tapping the offer with small lots.
When was the last time all major world indexes we in sync like this its kind of scarry. The rush for the exits will be breath taking.
I went back all of history to find out what happens when the VIX is low (i.e. under 11), and I just don't see any really big selloff without a chance for people to reverse their longs...The VIX always spikes before a crash.
I hope we get a drop here, I've been waiting for 3-4 days for this since last week, been warning about VIX on my blog http://lauristonletter.blogspot.com/ until I feel embarrassed because nothing happened!! Well, we have dropped 30pts on the Dow and still the VIX and other volatility indexes have not budged, so I am not sure this is the top yet. This market is the most weird/strange I have seen in a long time. It just wants to keep going up forever and short-term bears like me are getting bored. This liquidity is infinite!!
The liquidity is drying up, though. That's what is happening and is reflected in the charts. Mutual Funds are lighter on cash than they have been since '02. They are pretty much fully invested. I'm quite sure hedgies are similarly positioned (far more so, with leverage, to be honest).
i hope the liquidity has/is drying up. even overseas markets are going crazy from China to Brazil and Mexico.