To ensure the stability and reliability of service quality, large Internet companies need to closely monitor various KPIs (Key Performance Indicators, such as network throughput, CPU usages) and trigger timely troubleshooting or mitigation when any anomaly occurs. However, the diversity and complexity of anomalies bring great challenges to this work, especially when there is no manual label and low delay is required. In this paper, we propose HS-VAE (Highly Sensitive Variational Auto-Encoders), an unsupervised, robust algorithm based on CVAE (Conditional Variational Auto-Encoders) with high sensitivity to anomalies for KPIs, which contains mainly 3 parts: a simple but important data filter before training, improved conditional VAE with two dropout layers and adjusted anomaly detection method based on reconstruction probability. Our experiments using real-world data show that, HS-VAE's best F1-score ranges from 0.91 to 0.98. In addition, HS- VAE is excellent in sensitivity to anomaly and works well even with low latency requirements.