While the S&P closed lower for the day, the dramatic save as ES
(the S&P 500 e-mini) hit 1399.5 (again) pushed it all the way back
to the safety of VWAP and perfectly unchanged from pre-FOMC
news. Meanwhile, Gold and Silver lost around 2%, Treasuries
snapped 13-15bps higher in yield and the USD ripped 0.6% higher closing pretty
much at their extreme levels of the day. AAPL was unphased as the rest
of the world appeared to sell any and everything on news of no more Fed
liquidity in the short-term as the stock clung to its VWAP ending with new
all-time highs once again. VIX, which managed to surge over
16.5% once again - above yesterday's highs - recovered all the way back to
practically unchanged by the close (outperforming the small loss in stocks on
the day). With Treasury yields and the USD back at one-week highs and stocks
just 0.5% off their multi-year highs, it looked for a moment like equities were
going to reconnect with credit's much less sanguine perspective - and indeed
they covered half the difference at one point - but by the close HY and IG
credit remains unchanged from Friday 3/23 while the S&P is up over 2% from
then. Volume was average today but concentrated in the sell-off period of the
day but we note that average trade size was very near the lowest of the
year (suggesting algos using small lots to tickle us up to VWAP for the
close) and some larger blocks going thru in the last few minutes as we peered
above VWAP - combined with the shrug from credit, significant weakness
in the major US financials, and unwinds in every other asset class - make us
nervous for unhedged equity longs here - especially with European weakness now a
trend and not a one-off.
After touching yesterday's lows, ES managed to surge right back up to VWAP perfectly unchanged post FOMC...
The divergence between stocks (AAPL and SPY), Interest Rates (TLT), Credit (HYG), and the USD (UUP Inverted) is plain to see...
Some of the biggest yield increases in weeks across the Treasury complex today as various levels were broken and moving averages crossed as post LTRO2 - TSYs once again pull away from stocks...
And yet credit markets remain unmoved - selling off to near multi-week lows in HY and HYG today - as IG outperformed (safety flight in spread land as rates got crushed), and yet stocks remain exuberant despite the 'cheapness' of HY and its high-beta friend HYG...
And for CONTEXT, based on the correlations that have been working for the last few days, risk assets broadly were pointing to a notably weaker equity market...
And while Treasuries moved the most on a beta-adjusted basis, commodities had their fair share of excitement - but were notably recovering into the close - as Oil and Silver recoupled on the week and remain comfortably higher as Gold holds around $1650 down over 1% on the week so far - more than double USD's gain.
Stocks appear on their own once again in the hopes of a self-sustaining recovery and/or QE sooner rather than later - only time will tell but realistically, it seems odd that every other asset class trader has been shown up as a QE-hungry fool while stocks lament the wondrous macro-economic data that has blessed this nation for the last few weeks...
Charts: Bloomberg
After touching yesterday's lows, ES managed to surge right back up to VWAP perfectly unchanged post FOMC...
The divergence between stocks (AAPL and SPY), Interest Rates (TLT), Credit (HYG), and the USD (UUP Inverted) is plain to see...
Some of the biggest yield increases in weeks across the Treasury complex today as various levels were broken and moving averages crossed as post LTRO2 - TSYs once again pull away from stocks...
And yet credit markets remain unmoved - selling off to near multi-week lows in HY and HYG today - as IG outperformed (safety flight in spread land as rates got crushed), and yet stocks remain exuberant despite the 'cheapness' of HY and its high-beta friend HYG...
And for CONTEXT, based on the correlations that have been working for the last few days, risk assets broadly were pointing to a notably weaker equity market...
And while Treasuries moved the most on a beta-adjusted basis, commodities had their fair share of excitement - but were notably recovering into the close - as Oil and Silver recoupled on the week and remain comfortably higher as Gold holds around $1650 down over 1% on the week so far - more than double USD's gain.
Stocks appear on their own once again in the hopes of a self-sustaining recovery and/or QE sooner rather than later - only time will tell but realistically, it seems odd that every other asset class trader has been shown up as a QE-hungry fool while stocks lament the wondrous macro-economic data that has blessed this nation for the last few weeks...
Charts: Bloomberg
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