It was all going to plan until that early angst from Egan-Jones Spain
downgrade was increased by L-Pap's 'sky-is-falling' Greek exit plans comments.
Treasuries had leaked higher in yield and recoupled with stocks
(after the divergence yesterday) but the USD (driven by EUR deterioration) was
pushing higher (diverging from its recent correlation). This was dragging
commodities lower but gently as stocks (especially financials) continued their
dead-cat impressions. Even Facebook showed signs that the deluge of reality was
coming off its shoulders. By the European close, stocks had pulled
unhealthily high relative to risk-assets in general (once again) and credit was
lagging a little. The Spain downgrade news stalled the EUR which began
to slide - as did Gold and Silver along with USD strength - but Treasuries kept
on limping higher in yield and tracking stocks, Then in the last hour of the day
the L-Pap headlines - along with an increasing sense of deceleration (we saw
heavy volume come in just after the European close - suggesting covering of the
heavy volume up from the bounce lows yesterday) - and all the momo names started
to lag with AAPL losing steam (more schadenfreude there after our comments
yesterday) and then financials stumbled off their exuberant highs (though JPM
managed a very good gain of over 4.5% still - as IG9 compressed for the first
time in a few weeks). S&P 500 e-mini futures (ES) managed only a small loss
but all the positive momentum was lost and large average trade size pressure
came in at the close as it tried to get up to VWAP. VIX gained 0.5vols to close
back above 22.5% and the term structure bear-steepened a little more.
Yesterday's credit-led strength faded today, as skews
normalized, with HYG losses and a renewed fear of the ETFs and indices leaking
into the real bond market soon once again. Clusterbook is trading $30.80
after-hours with over 101mm shares traded!
Stocks (blue) and Treasuries (red) recouple today - sliding together at the close. USD strength (green) and Gold weakness was notably divergent from early Monday's tight correlations...
Stocks played catch up to credit (upper left) and broad risk assets (CONTEXT upper right) this afternoon as their exuberance once again got the better of them. Correlations dropped (lower right) but VIX pushed up to its equity/credit fair-value by the close (lower left)...
Facebook dominated headlines and fell to an after-hours low of $30.79 after trying and failing to regain the lows of yesterday...more exits (and more lawsuits)....
Gold and Silver recoupled briefly this morning but then silver's higher beta nature took over as the USD surged this afternoon. Oil and Copper remained joined at the hip but slid on the USD strength also...
The USD is up 0.65% on the week - so Gold and Silver are likely suffering collateral/liquidation issues on top of currency translation - but the message today (as seen above in CONTEXT) was much more about carry-trades being lifted as AUD and EUR (relative to the JPY) were unwound notably - especially at the close in the bigger higher volume selloff...(higher on the chart is USD strength)...
Charts: Bloomberg and Capital Context
Stocks (blue) and Treasuries (red) recouple today - sliding together at the close. USD strength (green) and Gold weakness was notably divergent from early Monday's tight correlations...
Stocks played catch up to credit (upper left) and broad risk assets (CONTEXT upper right) this afternoon as their exuberance once again got the better of them. Correlations dropped (lower right) but VIX pushed up to its equity/credit fair-value by the close (lower left)...
Facebook dominated headlines and fell to an after-hours low of $30.79 after trying and failing to regain the lows of yesterday...more exits (and more lawsuits)....
Gold and Silver recoupled briefly this morning but then silver's higher beta nature took over as the USD surged this afternoon. Oil and Copper remained joined at the hip but slid on the USD strength also...
The USD is up 0.65% on the week - so Gold and Silver are likely suffering collateral/liquidation issues on top of currency translation - but the message today (as seen above in CONTEXT) was much more about carry-trades being lifted as AUD and EUR (relative to the JPY) were unwound notably - especially at the close in the bigger higher volume selloff...(higher on the chart is USD strength)...
Charts: Bloomberg and Capital Context
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