Volumes in cash equities (NYSE) and futures (ES) were on the low-side for the year today but what was shocking and perhaps the sign that this rally has run out of real-money to push it higher is that fact that today saw the lowest average trade size in the S&P 500 e-mini futures contract of the year. This follows the peak (in average trade size of the entire rally) on Friday as stocks bump up against the March 2009 low up-trendline. We can't help but feel the professionals (who will tend to trade in larger size) are leaving the building rapidly with only the algos and correlations to hold this up for now (as Treasuries start to lag back down) as we note (h/t John Lohman) that this was the 6th lowest relative range in cash S&P for the year. The sell-off into the close dragged stocks back in line with broad risk (as CONTEXT had underperformed all day) as well as credit and vol markets as 10Y Treasuries rallied the most in two weeks now lower in yield for the week (and flatter). Oil outperformed as the USD meandered higher (and JPY stronger) while commodities were generally quiet. Credit was weak - led by HYG - as IG remains the up-in-quality favorite (though suffered a little from its richness today) as VIX dropped and its term structure flattened modestly led by the longer-end.
And the little extension we have seen off the QE-boxes seems to have run its course at this long-run trendline...
Equities pulled back down to catch up with correlated risk assets (CONTEXT) and credit/vol markets at the close...
Treasuries shifted rapidly as they pulled off that October swing high in yields as resistance...shifting to down in yield for the week...
Credit was weak - led by HYG (which opened high and closed notably low) and underperformed stocks (though at the close equities caught up to credit weakness) but once again we note that investment grade credit was favored and the up-in-quality rotation that we have been on about as a canary continues.
Commodities were relatively quiet today (aside from WTI which was the outperformer and most volatile) as the USD meandered as EUR leaked lower off the US open and JPY pushed higher (smelling like more carry unwinds as AUD was holding).
VIX ended the day lower (down 0.5vols, though above 15%) but the term structure flattened - led by the far dates more than that near-date vol rallies.
Charts: Capital Context
And the little extension we have seen off the QE-boxes seems to have run its course at this long-run trendline...
Equities pulled back down to catch up with correlated risk assets (CONTEXT) and credit/vol markets at the close...
Treasuries shifted rapidly as they pulled off that October swing high in yields as resistance...shifting to down in yield for the week...
Credit was weak - led by HYG (which opened high and closed notably low) and underperformed stocks (though at the close equities caught up to credit weakness) but once again we note that investment grade credit was favored and the up-in-quality rotation that we have been on about as a canary continues.
Commodities were relatively quiet today (aside from WTI which was the outperformer and most volatile) as the USD meandered as EUR leaked lower off the US open and JPY pushed higher (smelling like more carry unwinds as AUD was holding).
VIX ended the day lower (down 0.5vols, though above 15%) but the term structure flattened - led by the far dates more than that near-date vol rallies.
Charts: Capital Context
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