After surging away from risk-assets into Friday's close (only to revert
yesterday) and once again surging into yesterday's close, broad derisking among
most risk-assets finally saw US equities catching-down to that reality in the
short-term today - as they broke the EU-Summit/Spain-Bailout/Greek-Election
shoulder and ended comfortably below the 50DMA. Short-end Treasury
yields made new record lows as belly to long-end all fell notably close
to those record lows (with 10Y back under 1.50% and 30Y under 2.60%). The USD
rallied back from a 0.3% loss on the week to a 0.1% gain - thanks mostly to
EUR's new 2Y low at 1.2235 intraday and AUD weakness (as JPY
remains better on the week - more carry unwinds). Commodities
plunged - far exceeding the USD-implied moves - with WTI down over 3%
from yesterday's highs and Gold and Silver in sync down around 1% on the week.
Staples and Utilities were the only sectors holding green today (marginally) as
Industrials, Materials, and Energy (all the high beta QE-sensitive sectors) took
a dive. It seems the message that no NEW QE without a market plunge is getting
through and the reality of a global slowdown looms large. Credit outperformed
(though was very quiet flow-wise) but HYG underperformed - cracking
into the close - as it just seems like the most yield-chasing
'technicals-driven' market there is currently. Slightly below average volume and
above average trade size offers little insight here but a pop back above
19% in VIX (and a 2-month flat in term structure), a rise in implied
correlation, a rise in systemic cross-asset class correlation, and the leaking
negatives of broad risk assets suggest there is more to come here
(especially given the BUBA's comments this morning and a lack of real progress
in Europe). The ubiquitous late-day ramp saw aggressive trade size and volume
(with a delta bias to selling) as it remained far below VWAP.
HYG and VXX were actually outperforming (relatively speaking) SPY (upper left) until SPY ramped a little into the close (as the VIX term structure flattened to two-month lows). VIX did push higher towards fair (lower left) but remains cheap in our view. Carrying on from yesterday, S&P 500 e-mini futures (ES) remained rich (upper right) to CONTEXT (our broad risk asset proxy) but as the day wore on and cross asset-class correlations picked up (lower right) so ES converged down to CONTEXT's reality and stalled the sell-off for now.
We will need to see USD extend gains here for some follow through...
and even though Treasury yields are at or near record lows, 2s10s30s continues to flatten and drag risk off...
and HYG snapped lower into the close today (while HY/IG remained very quiet and outperformed)...
but SPY remains rich to credit overall still by around 20 S&P equivalent points for now (given current levels)...
and while today was weak for commodities (especially WTI) and even Corn lost a little - we note WTI is still up over 8% from pre-EU-Summit (perhaps Iran embargo premium or just hope?) while Copper/Silver/Gold are up between 1 and 2%...
Charts: Bloomberg and Capital Context
Bonus Chart: CRAAPL had a high volume reversal day at the post-massive-gap-after-earnings level - allowing a few more out...
Bonus Bonus Chart: Today's move In ES (the 24-hour session version) closes perfectly at the 50% retracement of the March to June swing lower...
HYG and VXX were actually outperforming (relatively speaking) SPY (upper left) until SPY ramped a little into the close (as the VIX term structure flattened to two-month lows). VIX did push higher towards fair (lower left) but remains cheap in our view. Carrying on from yesterday, S&P 500 e-mini futures (ES) remained rich (upper right) to CONTEXT (our broad risk asset proxy) but as the day wore on and cross asset-class correlations picked up (lower right) so ES converged down to CONTEXT's reality and stalled the sell-off for now.
We will need to see USD extend gains here for some follow through...
and even though Treasury yields are at or near record lows, 2s10s30s continues to flatten and drag risk off...
and HYG snapped lower into the close today (while HY/IG remained very quiet and outperformed)...
but SPY remains rich to credit overall still by around 20 S&P equivalent points for now (given current levels)...
and while today was weak for commodities (especially WTI) and even Corn lost a little - we note WTI is still up over 8% from pre-EU-Summit (perhaps Iran embargo premium or just hope?) while Copper/Silver/Gold are up between 1 and 2%...
Charts: Bloomberg and Capital Context
Bonus Chart: CRAAPL had a high volume reversal day at the post-massive-gap-after-earnings level - allowing a few more out...
Bonus Bonus Chart: Today's move In ES (the 24-hour session version) closes perfectly at the 50% retracement of the March to June swing lower...
No comments:
Post a Comment